DUG Options History — February 2011

In February 2011, DUG traded between $2210.40 and $2536.00. ATM implied volatility averaged 39.2%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.2% (HV 20d: 35.0%). Max pain ranged from $2320.00 to $2800.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2011-02-23: Highest Volume — 22 contracts
2011-02-22: Largest IV spike — 39.0% change
2011-02-22: Highest IV Rank — 44.5%
2011-02-22: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2393.77	$2210.40	$2536.00	$2486.40	$2210.40
Max Pain	$2505.26	$2320.00	$2800.00	$2800.00	$2320.00
ATM IV	39.2%	34.9%	49.0%	37.7%	41.1%
Expected Move	11.5%	10.1%	14.0%	10.8%	11.8%
HV 20d	35.0%	33.0%	37.3%	34.3%	36.8%
HV 60d	30.0%	28.0%	31.0%	30.9%	28.0%
IV Rank	27.5%	20.0%	44.5%	24.9%	30.8%
IV Percentile	32.7%	11.1%	73.0%	24.2%	46.4%
Term Structure	3.8%	-2.2%	21.6%	1.1%	2.9%
VWIV	40.9%	36.3%	48.7%	38.5%	43.7%
Skew 25d	-7.9%	-10.3%	-4.8%	-6.3%	-8.2%
Skew 10d	-18.7%	-28.3%	-12.2%	-26.9%	-13.0%
Call IV 25d	45.2%	39.9%	54.3%	42.0%	46.6%
Put IV 25d	37.3%	34.0%	45.3%	35.6%	38.5%
Bid-Ask Spread %	83.88	67.98	97.85	77.69	97.73
Gamma HHI	0.11	0.04	0.40	0.04	0.10
Net GEX	134.1K	-146.3K	361.6K	151.5K	111.0K
Net DEX	2.3M	-365.0K	6.3M	96.4K	2.2M
Net VEX	-34.3K	-49.6K	-22.4K	-49.6K	-33.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.06	1.50	0.40	1.18
Total Volume	12	5	22	9	13
Total OI	208.474	173	247	173	234

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
2011-02-01	$2486.40	$2800.00	37.7%	10.8%	34.3%	24.9%	38.5%	-6.3%	1.1%	151.5K	96.4K	-49.6K	0.40	77.69	N/A	N/A	6	3	144	29
2011-02-02	$2480.00	$2720.00	37.9%	10.9%	33.5%	25.3%	39.4%	-4.8%	2.3%	156.9K	1.3M	-40.5K	0.51	78.69	N/A	N/A	4	2	149	30
2011-02-03	$2478.40	$2720.00	36.7%	10.5%	33.6%	23.1%	38.0%	-4.9%	3.4%	166.0K	1.4M	-39.5K	0.35	88.42	N/A	N/A	4	1	151	32
2011-02-04	$2494.40	$2640.00	35.6%	11.1%	33.0%	21.3%	40.3%	-8.6%	3.5%	186.2K	1.1M	-40.8K	0.38	67.98	N/A	N/A	5	2	153	32
2011-02-07	$2459.20	$2640.00	35.4%	10.9%	33.0%	21.0%	41.5%	-8.3%	2.5%	150.4K	2.4M	-32.9K	0.13	72.97	N/A	N/A	8	1	155	32
2011-02-08	$2476.00	$2560.00	34.9%	11.1%	33.1%	20.0%	42.5%	-9.4%	0.6%	182.2K	1.6M	-37.0K	0.15	76.62	N/A	N/A	18	3	158	33
2011-02-09	$2536.00	$2560.00	36.4%	11.7%	34.2%	22.7%	40.8%	-9.8%	0.5%	361.6K	-365.0K	-43.9K	0.10	76.47	N/A	N/A	8	1	173	33
2011-02-10	$2487.20	$2480.00	39.0%	11.2%	33.8%	27.1%	38.2%	-9.9%	1.5%	296.4K	1.5M	-34.3K	0.73	78.51	N/A	N/A	3	2	176	33
2011-02-11	$2485.60	$2480.00	38.2%	11.0%	33.6%	25.8%	38.2%	-7.1%	1.1%	274.3K	1.6M	-35.7K	0.52	80.26	N/A	N/A	5	3	179	35
2011-02-14	$2376.80	$2480.00	37.9%	10.9%	35.8%	25.2%	41.1%	-8.6%	5.5%	118.7K	3.7M	-27.6K	1.50	83.02	N/A	N/A	7	11	182	36
2011-02-15	$2424.80	$2480.00	37.7%	10.8%	36.9%	24.9%	38.5%	-6.7%	1.3%	133.6K	4.0M	-28.2K	0.95	86.03	N/A	N/A	7	7	187	43
2011-02-16	$2364.00	$2480.00	38.6%	11.1%	35.9%	26.4%	37.5%	-10.3%	3.8%	54.5K	5.0M	-30.5K	1.12	86.70	N/A	N/A	4	4	191	47
2011-02-17	$2314.40	$2480.00	36.5%	10.5%	35.2%	22.9%	38.4%	-7.0%	21.6%	-63.8K	4.7M	-34.2K	0.41	92.88	N/A	N/A	9	4	194	46
2011-02-18	$2291.20	$2400.00	35.3%	10.1%	35.2%	20.6%	36.3%	-5.4%	17.2%	-146.3K	6.3M	-22.4K	0.60	87.57	N/A	N/A	6	4	200	47
2011-02-22	$2328.80	$2400.00	49.0%	14.0%	36.4%	44.5%	45.3%	-8.7%	4.3%	96.7K	1.6M	-28.9K	0.45	97.85	N/A	N/A	14	6	159	31
2011-02-23	$2242.40	$2320.00	48.4%	13.9%	37.2%	43.5%	48.7%	-9.0%	-2.2%	89.8K	2.4M	-28.0K	0.57	88.69	N/A	N/A	14	8	164	34
2011-02-24	$2304.00	$2320.00	46.5%	13.3%	37.1%	40.1%	47.1%	-9.6%	-0.1%	141.8K	631.1K	-36.6K	0.34	87.05	N/A	N/A	14	5	174	39
2011-02-25	$2241.60	$2320.00	42.4%	12.1%	37.3%	33.0%	43.0%	-7.2%	1.0%	85.9K	2.4M	-28.5K	0.06	88.65	N/A	N/A	11	1	183	43
2011-02-28	$2210.40	$2320.00	41.1%	11.8%	36.8%	30.8%	43.7%	-8.2%	2.9%	111.0K	2.2M	-33.0K	1.18	97.73	N/A	N/A	6	7	191	43