DUG Options History — August 2011

In August 2011, DUG traded between $2183.20 and $3100.00. ATM implied volatility averaged 77.7%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 14.5% (HV 20d: 92.2%). Max pain ranged from $2160.00 to $2640.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.53.

Notable Days

2011-08-05: Highest Volume — 39 contracts
2011-08-08: Largest IV spike — 59.2% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2657.43	$2183.20	$3100.00	$2183.20	$2482.40
Max Pain	$2448.70	$2160.00	$2640.00	$2320.00	$2640.00
ATM IV	77.7%	52.5%	125.4%	52.9%	65.6%
Expected Move	21.4%	15.1%	27.1%	15.2%	18.8%
HV 20d	92.2%	38.8%	117.4%	38.8%	116.5%
HV 60d	64.0%	41.1%	75.4%	41.1%	75.0%
IV Rank	63.3%	35.6%	100.0%	87.6%	38.1%
IV Percentile	97.5%	92.9%	100.0%	97.2%	93.3%
Term Structure	-2.6%	-10.5%	3.7%	-1.5%	0.1%
VWIV	76.8%	54.2%	94.0%	55.1%	70.5%
Skew 25d	-18.4%	-28.8%	-5.3%	-11.4%	-15.3%
Skew 10d	-30.1%	-53.4%	3.0%	-19.0%	3.0%
Call IV 25d	88.2%	57.9%	106.6%	61.2%	77.3%
Put IV 25d	69.8%	49.8%	87.3%	49.8%	62.0%
Bid-Ask Spread %	51.73	18.07	82.35	22.52	82.35
Gamma HHI	0.08	0.07	0.23	0.08	0.08
Net GEX	131.3K	10.1K	305.2K	10.1K	90.6K
Net DEX	-11.1M	-23.8M	-119.0K	-119.0K	-3.5M
Net VEX	-50.3K	-56.4K	-45.4K	-45.4K	-49.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.22	1.17	0.58	0.30
Total Volume	13.13	4	39	11	8
Total OI	183.739	137	219	159	185

Daily Data (23 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
2011-08-01	$2183.20	$2320.00	52.9%	15.2%	38.8%	87.6%	55.1%	-11.4%	-1.5%	10.1K	-119.0K	-45.4K	0.58	22.52	N/A	N/A	7	4	89	70
2011-08-02	$2297.60	$2320.00	54.4%	15.6%	42.7%	93.1%	54.2%	-5.3%	-1.6%	60.7K	-2.7M	-46.8K	0.32	21.48	N/A	N/A	9	3	92	70
2011-08-03	$2321.60	$2320.00	52.5%	15.1%	42.8%	86.3%	54.3%	-12.1%	-0.2%	106.5K	-4.2M	-48.2K	0.68	18.07	N/A	N/A	8	5	96	70
2011-08-04	$2640.00	$2320.00	74.4%	21.3%	60.4%	100.0%	73.5%	-7.1%	-5.2%	159.0K	-12.5M	-49.8K	0.23	31.78	N/A	N/A	16	4	100	71
2011-08-05	$2659.20	$2160.00	78.8%	20.7%	60.5%	100.0%	71.8%	-24.2%	-5.8%	166.0K	-13.9M	-52.7K	0.50	29.01	N/A	N/A	26	13	104	72
2011-08-08	$3100.00	$2400.00	125.4%	27.1%	78.5%	100.0%	94.0%	-14.7%	-10.5%	174.8K	-23.8M	-53.2K	0.73	40.32	N/A	N/A	13	10	115	80
2011-08-09	$2808.80	$2400.00	94.9%	24.5%	88.4%	68.5%	84.7%	-18.9%	-3.5%	167.9K	-20.0M	-53.9K	0.77	74.90	N/A	N/A	12	9	117	84
2011-08-10	$3009.60	$2400.00	111.9%	25.5%	90.2%	86.0%	91.7%	-15.9%	-4.2%	158.0K	-22.9M	-51.5K	0.29	63.55	N/A	N/A	8	3	122	90
2011-08-11	$2704.80	$2400.00	82.4%	23.6%	100.0%	55.5%	82.0%	-28.8%	-0.3%	136.2K	-14.1M	-56.4K	0.97	73.51	N/A	N/A	5	5	120	92
2011-08-12	$2660.00	$2480.00	73.5%	21.1%	97.4%	46.4%	74.0%	-23.3%	-5.5%	139.8K	-12.2M	-55.2K	1.15	52.32	N/A	N/A	3	3	121	91
2011-08-15	$2477.60	$2480.00	65.3%	18.7%	101.6%	37.9%	77.6%	-18.4%	2.7%	98.6K	-6.1M	-50.0K	0.25	53.14	N/A	N/A	7	2	120	94
2011-08-16	$2561.60	$2400.00	68.5%	19.7%	100.8%	41.2%	70.3%	-18.5%	-3.8%	110.4K	-8.6M	-52.0K	0.22	52.32	N/A	N/A	10	2	124	93
2011-08-17	$2536.80	$2400.00	69.8%	20.0%	101.0%	42.5%	64.6%	-16.3%	-1.6%	113.5K	-7.9M	-48.4K	1.17	50.54	N/A	N/A	2	2	127	92
2011-08-18	$2825.60	$2400.00	89.0%	25.5%	105.3%	62.3%	87.2%	-22.5%	-6.9%	218.4K	-18.2M	-49.5K	0.36	54.10	N/A	N/A	7	3	126	89
2011-08-19	$2939.20	$2480.00	89.3%	25.6%	105.0%	62.7%	90.2%	-23.6%	-5.0%	305.2K	-22.0M	-47.2K	0.30	47.76	N/A	N/A	14	4	128	90
2011-08-22	$2976.00	$2480.00	89.4%	25.6%	104.9%	62.8%	88.9%	-20.1%	-4.7%	115.4K	-13.3M	-45.7K	0.26	50.51	N/A	N/A	7	2	81	56
2011-08-23	$2705.60	$2480.00	77.2%	22.1%	112.5%	50.1%	81.7%	-28.1%	1.9%	109.4K	-9.9M	-47.7K	0.61	55.61	N/A	N/A	7	4	84	57
2011-08-24	$2683.20	$2560.00	77.0%	22.1%	112.5%	50.0%	86.8%	-22.5%	-0.5%	112.9K	-9.2M	-49.6K	0.83	51.44	N/A	N/A	5	4	89	59
2011-08-25	$2804.80	$2560.00	82.4%	23.6%	113.0%	55.6%	81.8%	-17.0%	-1.2%	124.9K	-10.7M	-51.7K	0.32	59.72	N/A	N/A	7	2	92	63
2011-08-26	$2695.20	$2640.00	82.2%	23.6%	114.6%	55.4%	88.6%	-21.9%	-5.8%	141.3K	-10.0M	-52.4K	0.52	60.32	N/A	N/A	12	6	97	65
2011-08-29	$2535.20	$2640.00	66.3%	19.0%	117.4%	38.9%	72.6%	-16.3%	0.7%	106.7K	-5.2M	-50.6K	0.57	68.69	N/A	N/A	4	2	104	69
2011-08-30	$2512.80	$2640.00	63.1%	18.1%	116.4%	35.6%	70.3%	-20.3%	3.7%	94.5K	-4.7M	-49.3K	0.26	75.90	N/A	N/A	10	3	105	71
2011-08-31	$2482.40	$2640.00	65.6%	18.8%	116.5%	38.1%	70.5%	-15.3%	0.1%	90.6K	-3.5M	-49.2K	0.30	82.35	N/A	N/A	6	2	113	72