DUG Options History — February 2010

In February 2010, DUG traded between $4988.00 and $5624.00. ATM implied volatility averaged 48.8%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 0.8% (HV 20d: 49.7%). Max pain ranged from $4800.00 to $5200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2010-02-04: Highest Volume — 14 contracts
2010-02-04: Largest IV spike — 19.9% change
2010-02-05: Highest IV Rank — 39.3%
2010-02-05: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5247.79	$4988.00	$5624.00	$5192.00	$5224.00
Max Pain	$5031.58	$4800.00	$5200.00	$4800.00	$5200.00
ATM IV	48.8%	41.0%	60.8%	47.5%	41.1%
Expected Move	14.0%	11.8%	17.5%	13.6%	11.8%
HV 20d	49.7%	41.7%	54.5%	46.8%	50.0%
HV 60d	40.6%	38.7%	42.2%	38.7%	39.3%
IV Rank	25.7%	16.8%	39.3%	24.2%	16.8%
IV Percentile	25.5%	7.5%	61.9%	16.3%	7.9%
Term Structure	2.3%	-0.1%	4.9%	0.7%	2.0%
VWIV	50.1%	42.8%	61.8%	49.1%	42.8%
Skew 25d	-10.7%	-20.9%	-3.8%	-5.7%	-7.0%
Skew 10d	-25.0%	-43.9%	2.8%	-21.5%	-11.2%
Call IV 25d	55.6%	46.4%	68.4%	52.9%	46.4%
Put IV 25d	44.9%	32.9%	56.3%	47.1%	39.4%
Bid-Ask Spread %	20.23	13.17	36.30	17.71	15.34
Gamma HHI	0.29	0.22	0.53	0.25	0.25
Net GEX	344.3K	130.9K	526.5K	291.1K	248.2K
Net DEX	-7.0M	-14.7M	-2.0M	-6.8M	-4.1M
Net VEX	-32.5K	-40.0K	-24.7K	-34.5K	-31.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.04	1.62	0.28	0.17
Total Volume	4.211	1	14	6	1
Total OI	64.526	45	75	57	55

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
2010-02-01	$5192.00	$4800.00	47.5%	13.6%	46.8%	24.2%	49.1%	-5.7%	0.7%	291.1K	-6.8M	-34.5K	0.28	17.71	N/A	N/A	5	1	41	16
2010-02-02	$5040.00	$4800.00	47.5%	13.6%	42.1%	24.1%	48.9%	-12.9%	3.9%	325.4K	-5.5M	-34.8K	0.32	19.40	N/A	N/A	2	1	45	17
2010-02-03	$5120.00	$4800.00	45.4%	13.0%	41.7%	21.8%	44.1%	-9.8%	4.9%	331.4K	-6.4M	-34.8K	0.58	19.41	N/A	N/A	2	1	45	17
2010-02-04	$5536.00	$4800.00	54.4%	15.6%	48.0%	32.1%	54.0%	-3.8%	0.7%	332.1K	-11.7M	-36.7K	0.05	13.85	N/A	N/A	13	1	46	17
2010-02-05	$5544.00	$4800.00	60.8%	17.5%	48.1%	39.3%	61.8%	-13.7%	3.2%	408.0K	-14.7M	-40.0K	0.36	22.47	N/A	N/A	7	2	54	17
2010-02-08	$5624.00	$4800.00	57.8%	16.8%	47.4%	35.9%	58.4%	-11.3%	-0.1%	434.8K	-14.7M	-39.2K	0.33	16.14	N/A	N/A	3	1	55	18
2010-02-09	$5404.00	$5200.00	58.1%	16.7%	50.6%	36.2%	58.0%	-13.2%	-0.1%	459.9K	-11.3M	-38.2K	0.60	36.30	N/A	N/A	1	1	54	19
2010-02-10	$5456.00	$5200.00	55.3%	16.2%	49.9%	33.0%	55.9%	-11.3%	-0.1%	466.5K	-12.2M	-37.9K	1.06	23.68	N/A	N/A	1	1	55	19
2010-02-11	$5276.00	$5200.00	52.4%	15.0%	51.8%	29.8%	53.5%	-15.4%	1.5%	485.5K	-9.1M	-36.3K	0.29	28.34	N/A	N/A	1	0	55	20
2010-02-12	$5292.00	$5200.00	49.8%	14.3%	51.6%	26.8%	51.1%	-10.5%	1.4%	526.5K	-9.3M	-35.8K	0.09	28.81	N/A	N/A	4	0	55	20
2010-02-16	$5064.00	$5200.00	50.1%	14.4%	54.5%	27.1%	53.8%	-13.2%	4.2%	459.4K	-4.0M	-28.4K	0.16	20.71	N/A	N/A	4	1	54	20
2010-02-17	$5072.00	$5200.00	49.4%	14.2%	53.9%	26.3%	49.6%	-15.0%	2.3%	403.7K	-3.9M	-28.3K	0.17	18.13	N/A	N/A	2	1	53	20
2010-02-18	$5020.00	$4800.00	46.8%	13.4%	53.2%	23.4%	45.9%	-20.9%	1.5%	354.0K	-2.6M	-26.3K	0.69	15.77	N/A	N/A	2	1	53	20
2010-02-19	$4988.00	$4800.00	41.3%	11.8%	51.6%	17.1%	43.7%	-5.3%	2.1%	264.4K	-2.0M	-24.9K	1.62	25.43	N/A	N/A	1	2	52	20
2010-02-22	$5120.00	$5200.00	42.2%	12.1%	49.9%	18.2%	43.4%	-7.6%	4.8%	130.9K	-2.2M	-24.7K	0.04	14.90	N/A	N/A	4	0	30	15
2010-02-23	$5276.00	$5200.00	43.5%	12.5%	50.9%	19.6%	46.2%	-6.0%	3.8%	186.1K	-4.3M	-26.9K	0.13	18.59	N/A	N/A	4	1	32	15
2010-02-24	$5224.00	$5200.00	43.1%	12.3%	50.8%	19.1%	44.7%	-10.8%	2.9%	209.9K	-4.2M	-28.1K	0.66	13.17	N/A	N/A	2	1	35	15
2010-02-25	$5236.00	$5200.00	41.0%	11.8%	50.7%	16.8%	47.0%	-10.6%	3.5%	223.6K	-4.5M	-30.1K	0.27	16.20	N/A	N/A	4	1	36	16
2010-02-26	$5224.00	$5200.00	41.1%	11.8%	50.0%	16.8%	42.8%	-7.0%	2.0%	248.2K	-4.1M	-31.8K	0.17	15.34	N/A	N/A	1	0	39	16