DUG Options History — May 2010

In May 2010, DUG traded between $4348.00 and $5802.40. ATM implied volatility averaged 63.8%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 7.4% (HV 20d: 56.4%). Max pain ranged from $4320.00 to $5040.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2010-05-06: Highest Volume — 33 contracts
2010-05-27: Largest IV drop — 17.5% change
2010-05-07: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5153.44	$4348.00	$5802.40	$4348.00	$5526.40
Max Pain	$4680.00	$4320.00	$5040.00	$4400.00	$5040.00
ATM IV	63.8%	50.6%	80.9%	50.6%	59.0%
Expected Move	18.2%	14.5%	23.2%	14.5%	16.9%
HV 20d	56.4%	38.7%	70.3%	38.7%	70.3%
HV 60d	42.2%	35.1%	50.1%	37.4%	50.1%
IV Rank	77.8%	56.0%	100.0%	56.0%	61.8%
IV Percentile	84.7%	47.6%	100.0%	47.6%	83.7%
Term Structure	-0.9%	-4.5%	5.5%	-2.0%	0.7%
VWIV	65.4%	48.6%	84.0%	48.6%	60.6%
Skew 25d	-16.1%	-30.3%	1.4%	-10.3%	-17.3%
Skew 10d	-27.1%	-39.4%	3.5%	-22.5%	-32.7%
Call IV 25d	75.3%	57.5%	98.2%	57.5%	71.7%
Put IV 25d	59.2%	47.2%	71.4%	47.2%	54.4%
Bid-Ask Spread %	47.85	31.20	69.53	47.94	59.36
Gamma HHI	0.08	0.05	0.38	0.15	0.05
Net GEX	193.3K	-72.2K	770.0K	-72.2K	168.5K
Net DEX	-15.1M	-34.7M	404.2K	404.2K	-15.8M
Net VEX	-52.1K	-63.7K	-30.5K	-30.5K	-63.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.12	2.43	0.90	1.13
Total Volume	14.6	4	33	23	11
Total OI	127.85	61	184	61	127

Daily Data (20 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
2010-05-03	$4348.00	$4400.00	50.6%	14.5%	38.7%	56.0%	48.6%	-10.3%	-2.0%	-72.2K	404.2K	-30.5K	0.90	47.94	N/A	N/A	12	11	30	31
2010-05-04	$4566.40	$4320.00	54.4%	15.6%	41.1%	63.7%	56.1%	-11.9%	0.1%	86.7K	-5.2M	-35.4K	0.41	37.64	N/A	N/A	5	2	39	33
2010-05-05	$4704.00	$4320.00	58.8%	16.9%	42.5%	72.9%	57.3%	-16.2%	-1.6%	130.1K	-7.4M	-36.3K	2.13	46.40	N/A	N/A	8	17	42	32
2010-05-06	$5048.80	$4320.00	63.4%	18.2%	48.8%	82.2%	65.8%	1.4%	-2.6%	148.7K	-13.2M	-38.3K	0.89	69.53	N/A	N/A	17	16	47	41
2010-05-07	$5220.80	$4480.00	72.1%	19.9%	49.6%	100.0%	70.1%	-13.0%	-1.0%	130.5K	-15.3M	-48.0K	0.64	31.20	N/A	N/A	13	8	57	55
2010-05-10	$4819.20	$4560.00	64.9%	18.0%	57.7%	85.3%	63.6%	-12.0%	-2.2%	111.5K	-9.3M	-52.9K	2.43	40.06	N/A	N/A	8	20	65	59
2010-05-11	$4858.40	$4720.00	56.6%	16.0%	57.7%	68.3%	57.1%	-13.2%	2.3%	31.2K	-8.4M	-58.9K	0.47	33.70	N/A	N/A	4	2	68	76
2010-05-12	$4729.60	$4720.00	54.0%	15.1%	58.7%	62.8%	55.0%	-14.4%	-0.9%	34.1K	-6.2M	-57.3K	0.31	41.66	N/A	N/A	4	1	69	77
2010-05-13	$4805.60	$4720.00	52.8%	15.1%	58.2%	60.3%	56.3%	-12.5%	-1.2%	93.2K	-7.8M	-56.8K	1.10	39.82	N/A	N/A	2	2	72	78
2010-05-14	$4980.00	$4720.00	59.7%	17.1%	58.7%	74.6%	59.7%	-16.7%	2.7%	169.1K	-13.2M	-58.1K	0.12	40.81	N/A	N/A	12	2	73	80
2010-05-17	$5079.20	$4720.00	63.0%	18.1%	58.9%	81.4%	66.2%	-16.2%	0.2%	344.1K	-18.3M	-55.8K	0.46	46.19	N/A	N/A	10	5	81	81
2010-05-18	$5160.00	$4720.00	65.3%	18.7%	56.2%	86.0%	67.7%	-15.8%	-4.5%	368.1K	-20.2M	-57.2K	0.35	42.49	N/A	N/A	7	3	85	82
2010-05-19	$5263.20	$4720.00	69.9%	20.0%	56.3%	95.5%	74.4%	-16.5%	-2.1%	347.4K	-23.1M	-60.0K	0.26	40.30	N/A	N/A	9	2	87	84
2010-05-20	$5733.60	$4800.00	80.9%	23.2%	62.2%	100.0%	84.0%	-23.6%	-4.4%	405.9K	-34.7M	-53.2K	0.12	49.09	N/A	N/A	16	2	92	86
2010-05-21	$5538.40	$4800.00	77.2%	22.1%	60.9%	93.5%	80.8%	-30.3%	-1.9%	770.0K	-31.6M	-55.4K	0.98	52.60	N/A	N/A	8	8	97	87
2010-05-24	$5795.20	$4800.00	72.8%	20.9%	61.8%	86.0%	74.8%	-21.6%	0.1%	126.8K	-18.3M	-50.9K	0.77	56.52	N/A	N/A	7	6	54	45
2010-05-25	$5780.80	$4880.00	75.0%	21.5%	60.4%	89.7%	80.2%	-27.0%	-4.0%	110.6K	-19.7M	-55.7K	0.56	60.01	N/A	N/A	7	4	59	50
2010-05-26	$5802.40	$4880.00	68.7%	19.7%	59.3%	78.8%	69.0%	-17.3%	-1.9%	170.5K	-20.5M	-54.3K	0.34	61.52	N/A	N/A	8	3	64	50
2010-05-27	$5308.80	$4960.00	56.7%	16.3%	69.6%	57.9%	60.0%	-17.3%	5.5%	191.7K	-13.3M	-62.4K	1.41	60.23	N/A	N/A	4	6	70	52
2010-05-28	$5526.40	$5040.00	59.0%	16.9%	70.3%	61.8%	60.6%	-17.3%	0.7%	168.5K	-15.8M	-63.7K	1.13	59.36	N/A	N/A	5	6	71	56