DUG Options History — January 2010

In January 2010, DUG traded between $4568.00 and $5532.00. ATM implied volatility averaged 40.1%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 6.5% (HV 20d: 33.6%). Max pain ranged from $4400.00 to $4800.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.32.

Notable Days

2010-01-11: Highest Volume — 12 contracts
2010-01-12: Largest IV spike — 67.3% change
2010-01-29: Highest IV Rank — 26.8%
2010-01-29: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4881.47	$4568.00	$5532.00	$4788.00	$5532.00
Max Pain	$4673.68	$4400.00	$4800.00	$4800.00	$4800.00
ATM IV	40.1%	26.3%	49.8%	37.4%	49.8%
Expected Move	12.3%	10.0%	14.3%	11.9%	14.3%
HV 20d	33.6%	27.5%	40.4%	31.5%	40.4%
HV 60d	40.6%	36.4%	42.8%	42.8%	36.9%
IV Rank	13.8%	0.0%	26.8%	4.8%	26.8%
IV Percentile	6.8%	0.0%	23.4%	2.0%	23.4%
Term Structure	4.8%	0.1%	8.1%	5.1%	4.3%
VWIV	42.9%	35.5%	49.3%	42.0%	49.3%
Skew 25d	-7.1%	-14.4%	-1.9%	-8.0%	-2.4%
Skew 10d	-12.4%	-28.1%	12.1%	-6.8%	-3.6%
Call IV 25d	46.7%	39.1%	52.8%	47.2%	52.8%
Put IV 25d	39.6%	31.1%	50.4%	39.2%	50.4%
Bid-Ask Spread %	15.00	10.12	19.33	11.95	18.01
Gamma HHI	0.30	0.23	0.44	0.27	0.23
Net GEX	131.3K	13.4K	275.6K	34.5K	275.6K
Net DEX	-116.8K	-10.0M	6.2M	4.1M	-10.0M
Net VEX	-27.5K	-35.1K	-21.9K	-26.0K	-35.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.05	1.26	0.27	0.30
Total Volume	5.474	2	12	4	5
Total OI	74.211	36	101	92	57

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$4788.00	$4800.00	37.4%	11.9%	31.5%	4.8%	42.0%	-8.0%	5.1%	34.5K	4.1M	-26.0K	0.27	11.95	N/A	N/A	3	1	60	32
2010-01-05	$4712.00	$4800.00	36.7%	12.7%	30.9%	4.0%	43.5%	-9.4%	5.5%	20.3K	4.6M	-25.2K	0.33	13.75	N/A	N/A	2	1	61	31
2010-01-06	$4608.00	$4800.00	42.0%	12.6%	31.3%	10.6%	42.1%	-14.4%	6.1%	13.4K	6.1M	-23.4K	0.23	10.12	N/A	N/A	2	1	62	31
2010-01-07	$4628.00	$4800.00	38.6%	12.9%	27.8%	6.4%	45.1%	-8.9%	3.8%	24.0K	5.4M	-24.0K	0.08	15.16	N/A	N/A	4	0	63	31
2010-01-08	$4568.00	$4800.00	31.4%	11.4%	27.7%	0.0%	42.5%	-9.3%	6.5%	29.0K	5.8M	-23.0K	0.32	15.26	N/A	N/A	6	2	65	31
2010-01-11	$4568.00	$4400.00	26.3%	11.6%	27.5%	0.0%	43.0%	-6.2%	6.4%	32.2K	6.2M	-22.4K	0.05	17.52	N/A	N/A	11	1	66	31
2010-01-12	$4708.00	$4400.00	43.9%	12.6%	30.7%	20.1%	43.6%	-9.7%	3.2%	85.6K	3.0M	-26.2K	0.28	16.11	N/A	N/A	3	1	68	31
2010-01-13	$4680.00	$4400.00	34.2%	12.4%	30.6%	9.0%	43.4%	-14.1%	3.4%	84.1K	3.3M	-25.6K	0.32	16.58	N/A	N/A	3	1	69	30
2010-01-14	$4648.00	$4400.00	41.1%	11.8%	30.6%	16.9%	40.1%	-7.2%	7.2%	123.4K	5.2M	-23.2K	0.51	12.75	N/A	N/A	1	1	70	31
2010-01-15	$4724.00	$4400.00	39.0%	11.2%	31.5%	14.4%	38.5%	-9.8%	7.6%	155.9K	4.3M	-23.6K	1.26	14.79	N/A	N/A	2	3	70	30
2010-01-19	$4644.00	$4400.00	37.0%	10.6%	30.8%	12.2%	36.3%	-8.6%	4.7%	120.3K	-958.9K	-21.9K	0.47	12.51	N/A	N/A	6	3	25	11
2010-01-20	$4792.00	$4800.00	34.9%	10.0%	33.6%	9.9%	35.5%	-4.6%	8.1%	150.2K	-1.7M	-25.4K	0.41	10.49	N/A	N/A	5	2	29	14
2010-01-21	$4976.00	$4800.00	39.4%	11.3%	36.0%	14.9%	39.9%	-2.5%	6.4%	166.8K	-3.2M	-28.8K	0.18	15.89	N/A	N/A	5	1	31	15
2010-01-22	$5200.00	$4800.00	45.3%	13.0%	39.3%	21.7%	46.6%	-3.6%	2.4%	171.1K	-5.7M	-32.2K	0.06	14.07	N/A	N/A	7	1	33	15
2010-01-25	$5136.00	$4800.00	46.0%	13.2%	39.3%	22.5%	45.3%	-5.3%	1.9%	228.6K	-5.8M	-33.4K	0.17	16.42	N/A	N/A	3	1	37	15
2010-01-26	$5204.00	$4800.00	46.0%	13.2%	39.4%	22.5%	44.9%	-5.7%	0.1%	251.8K	-6.6M	-34.0K	0.75	16.11	N/A	N/A	1	1	39	15
2010-01-27	$5256.00	$4800.00	45.6%	13.1%	39.2%	22.0%	46.5%	-1.9%	3.1%	253.2K	-7.4M	-33.7K	0.09	18.26	N/A	N/A	5	1	39	16
2010-01-28	$5376.00	$4800.00	46.6%	13.3%	39.5%	23.1%	47.2%	-3.8%	5.1%	274.2K	-8.8M	-34.8K	0.08	19.33	N/A	N/A	7	1	40	16
2010-01-29	$5532.00	$4800.00	49.8%	14.3%	40.4%	26.8%	49.3%	-2.4%	4.3%	275.6K	-10.0M	-35.1K	0.30	18.01	N/A	N/A	4	1	41	16