DUG Options History — July 2010

In July 2010, DUG traded between $5022.40 and $6081.60. ATM implied volatility averaged 52.3%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 1.2% (HV 20d: 51.2%). Max pain ranged from $5120.00 to $5200.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2010-07-06: Highest Volume — 23 contracts
2010-07-07: Largest IV drop — 27.4% change
2010-07-06: Highest IV Rank — 88.3%
2010-07-01: Largest Expected Move — 21.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5378.25	$5022.40	$6081.60	$6059.20	$5104.80
Max Pain	$5131.43	$5120.00	$5200.00	$5200.00	$5120.00
ATM IV	52.3%	43.5%	74.2%	73.7%	44.7%
Expected Move	15.1%	12.5%	21.1%	21.1%	12.8%
HV 20d	51.2%	41.5%	62.4%	61.8%	41.6%
HV 60d	64.4%	62.9%	65.1%	63.0%	63.7%
IV Rank	50.3%	35.0%	88.3%	87.4%	37.0%
IV Percentile	51.4%	27.4%	97.6%	97.2%	29.8%
Term Structure	3.5%	-7.5%	10.1%	-7.5%	7.5%
VWIV	54.9%	45.5%	80.1%	80.1%	51.2%
Skew 25d	-14.1%	-21.3%	-5.4%	-13.5%	-13.5%
Skew 10d	-28.4%	-42.7%	-15.8%	-27.6%	-20.6%
Call IV 25d	62.3%	49.0%	81.8%	81.8%	56.4%
Put IV 25d	48.2%	40.2%	68.2%	68.2%	42.9%
Bid-Ask Spread %	48.30	34.27	64.37	47.79	56.92
Gamma HHI	0.09	0.04	0.22	0.06	0.11
Net GEX	112.1K	-217.1K	462.0K	370.5K	56.3K
Net DEX	-6.5M	-25.6M	876.0K	-24.6M	-1.5M
Net VEX	-75.6K	-89.3K	-63.8K	-85.7K	-75.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.12	2.39	0.27	0.47
Total Volume	9.81	3	23	18	6
Total OI	150.571	91	196	143	132

Daily Data (21 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
2010-07-01	$6059.20	$5200.00	73.7%	21.1%	61.8%	87.4%	80.1%	-13.5%	-7.5%	370.5K	-24.6M	-85.7K	0.27	47.79	N/A	N/A	14	4	86	57
2010-07-02	$6081.60	$5200.00	70.4%	20.2%	57.9%	81.6%	69.4%	-13.7%	-1.9%	462.0K	-25.6M	-86.6K	0.56	51.17	N/A	N/A	8	4	96	59
2010-07-06	$5964.80	$5120.00	74.2%	19.3%	58.1%	88.3%	69.0%	-21.3%	-0.6%	436.3K	-23.5M	-84.2K	0.89	34.27	N/A	N/A	12	11	98	62
2010-07-07	$5565.60	$5120.00	53.9%	17.2%	62.3%	53.0%	57.1%	-20.3%	2.4%	253.4K	-12.7M	-89.3K	0.12	42.55	N/A	N/A	12	2	107	72
2010-07-08	$5416.00	$5120.00	54.5%	16.2%	62.4%	54.1%	60.3%	-17.0%	4.6%	253.9K	-9.0M	-86.4K	0.64	36.68	N/A	N/A	3	2	115	72
2010-07-09	$5364.80	$5120.00	48.4%	15.5%	50.6%	43.5%	63.4%	-17.6%	4.8%	167.0K	-5.6M	-80.9K	1.02	35.20	N/A	N/A	2	2	117	73
2010-07-12	$5386.40	$5120.00	52.7%	15.2%	50.3%	50.9%	50.5%	-17.7%	6.5%	-41.4K	-3.2M	-73.3K	0.73	37.11	N/A	N/A	4	3	118	73
2010-07-13	$5268.00	$5120.00	48.8%	14.4%	51.0%	44.2%	47.6%	-13.9%	6.2%	8.9K	-142.1K	-70.7K	2.39	36.85	N/A	N/A	2	6	120	74
2010-07-14	$5278.40	$5120.00	50.8%	14.4%	46.6%	47.6%	51.0%	-14.6%	7.9%	-1.9K	-836.6K	-67.0K	0.33	40.09	N/A	N/A	4	1	121	73
2010-07-15	$5267.20	$5120.00	49.1%	14.1%	46.6%	44.8%	51.4%	-15.3%	10.1%	48.7K	-792.5K	-65.3K	0.72	45.67	N/A	N/A	6	4	122	73
2010-07-16	$5550.40	$5120.00	52.1%	14.9%	49.7%	49.9%	56.0%	-15.3%	5.8%	-217.1K	-7.9M	-63.8K	0.71	40.21	N/A	N/A	11	8	123	73
2010-07-19	$5468.80	$5120.00	49.8%	14.3%	49.7%	45.8%	49.2%	-10.5%	5.5%	200.7K	-8.2M	-65.1K	1.30	47.65	N/A	N/A	10	13	59	32
2010-07-20	$5242.40	$5120.00	43.5%	12.5%	52.6%	35.0%	45.5%	-17.3%	7.0%	96.6K	-4.9M	-66.3K	0.97	57.21	N/A	N/A	5	5	61	39
2010-07-21	$5392.00	$5120.00	50.2%	14.4%	49.8%	46.6%	49.9%	-5.4%	-0.3%	111.6K	-5.4M	-71.0K	0.91	53.70	N/A	N/A	7	7	65	43
2010-07-22	$5168.00	$5200.00	48.9%	14.0%	51.8%	44.4%	53.5%	-13.7%	0.7%	43.0K	-1.5M	-76.1K	0.39	64.37	N/A	N/A	4	1	69	48
2010-07-23	$5128.80	$5120.00	49.4%	14.2%	49.4%	45.2%	50.1%	-13.7%	1.3%	44.6K	-2.1M	-76.8K	0.85	53.80	N/A	N/A	4	4	70	49
2010-07-26	$5022.40	$5120.00	47.9%	13.7%	49.8%	42.6%	52.8%	-14.8%	2.2%	11.1K	512.9K	-75.6K	0.29	58.89	N/A	N/A	3	1	73	52
2010-07-27	$5060.00	$5120.00	45.9%	13.1%	48.6%	39.0%	49.1%	-8.6%	3.5%	18.1K	250.2K	-77.0K	0.45	53.97	N/A	N/A	2	1	75	53
2010-07-28	$5080.00	$5120.00	44.9%	12.9%	42.3%	37.4%	46.2%	-13.8%	3.8%	24.4K	-61.7K	-76.6K	0.39	57.79	N/A	N/A	3	1	75	53
2010-07-29	$5073.60	$5120.00	45.5%	13.1%	41.5%	38.5%	48.6%	-5.4%	3.3%	7.3K	876.0K	-74.2K	0.43	62.33	N/A	N/A	3	1	76	54
2010-07-30	$5104.80	$5120.00	44.7%	12.8%	41.6%	37.0%	51.2%	-13.5%	7.5%	56.3K	-1.5M	-75.2K	0.47	56.92	N/A	N/A	4	2	78	54