DUG Options History — December 2011

In December 2011, DUG traded between $2009.60 and $2341.60. ATM implied volatility averaged 59.1%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 8.8% (HV 20d: 67.9%). Max pain ranged from $2240.00 to $2400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.38.

Notable Days

2011-12-14: Highest Volume — 20 contracts
2011-12-09: Largest IV drop — 12.2% change
2011-12-14: Highest IV Rank — 46.3%
2011-12-14: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2118.55	$2009.60	$2341.60	$2063.20	$2050.40
Max Pain	$2354.29	$2240.00	$2400.00	$2240.00	$2240.00
ATM IV	59.1%	45.8%	73.5%	65.1%	49.4%
Expected Move	16.4%	13.1%	19.3%	18.7%	14.2%
HV 20d	67.9%	54.9%	74.2%	71.5%	54.9%
HV 60d	74.4%	68.0%	78.2%	77.2%	68.0%
IV Rank	31.5%	17.6%	46.3%	37.7%	21.4%
IV Percentile	65.1%	47.6%	84.5%	70.2%	56.0%
Term Structure	4.6%	-4.0%	15.8%	-1.6%	6.0%
VWIV	59.6%	47.4%	70.5%	65.2%	51.9%
Skew 25d	-15.1%	-21.3%	-11.2%	-13.9%	-13.5%
Skew 10d	-29.8%	-46.0%	-17.3%	-17.3%	-26.4%
Call IV 25d	67.3%	53.1%	78.3%	73.4%	57.6%
Put IV 25d	52.2%	42.0%	60.7%	59.6%	44.1%
Bid-Ask Spread %	48.58	21.50	71.67	63.04	21.50
Gamma HHI	0.11	0.07	0.25	0.08	0.12
Net GEX	70.0K	29.3K	170.9K	68.1K	50.3K
Net DEX	649.7K	-4.6M	2.9M	1.4M	2.2M
Net VEX	-20.9K	-26.4K	-14.2K	-26.2K	-15.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.08	1.22	0.34	0.41
Total Volume	6.381	2	20	3	2
Total OI	131.714	99	158	142	115

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
2011-12-01	$2063.20	$2240.00	65.1%	18.7%	71.5%	37.7%	65.2%	-13.9%	-1.6%	68.1K	1.4M	-26.2K	0.34	63.04	N/A	N/A	2	1	89	53
2011-12-02	$2067.20	$2240.00	63.0%	18.0%	69.5%	35.4%	67.0%	-16.9%	0.6%	70.4K	1.4M	-26.4K	0.15	52.55	N/A	N/A	4	1	90	54
2011-12-05	$2016.00	$2400.00	63.9%	18.1%	70.1%	36.4%	70.5%	-21.3%	1.2%	59.7K	2.2M	-23.7K	0.60	50.51	N/A	N/A	9	5	91	55
2011-12-06	$2009.60	$2400.00	64.7%	17.5%	70.0%	37.2%	65.6%	-16.5%	3.6%	60.0K	2.3M	-22.6K	0.79	39.93	N/A	N/A	3	2	90	53
2011-12-07	$2033.60	$2400.00	65.3%	17.0%	69.3%	37.8%	64.0%	-17.1%	5.5%	61.0K	1.9M	-23.2K	0.19	37.33	N/A	N/A	5	1	91	55
2011-12-08	$2147.20	$2400.00	72.5%	18.2%	66.1%	45.3%	62.4%	-16.7%	6.5%	99.7K	-465.2K	-26.1K	0.27	50.75	N/A	N/A	4	1	93	55
2011-12-09	$2052.00	$2400.00	63.6%	17.7%	66.9%	36.1%	61.3%	-17.3%	4.6%	69.4K	1.7M	-22.5K	0.77	57.37	N/A	N/A	2	1	94	55
2011-12-12	$2144.80	$2400.00	69.3%	17.9%	67.4%	42.0%	63.2%	-18.4%	5.9%	104.8K	-247.1K	-23.6K	0.40	45.87	N/A	N/A	6	2	94	55
2011-12-13	$2176.00	$2400.00	67.0%	18.1%	67.1%	39.6%	64.9%	-17.1%	-4.0%	114.0K	-385.0K	-22.6K	0.33	52.03	N/A	N/A	6	2	96	57
2011-12-14	$2302.40	$2400.00	73.5%	19.3%	69.8%	46.3%	67.5%	-17.7%	2.2%	166.5K	-4.6M	-25.3K	0.15	42.19	N/A	N/A	17	3	97	58
2011-12-15	$2318.40	$2400.00	65.3%	18.7%	69.4%	37.8%	66.5%	-16.4%	-1.0%	170.9K	-4.5M	-25.0K	0.46	39.52	N/A	N/A	7	3	99	59
2011-12-16	$2269.60	$2400.00	58.7%	16.8%	68.5%	31.0%	62.1%	-13.8%	15.8%	42.7K	-2.6M	-22.0K	0.08	37.58	N/A	N/A	6	1	99	59
2011-12-19	$2341.60	$2400.00	57.6%	16.5%	69.3%	29.8%	60.1%	-15.5%	4.3%	54.2K	-1.2M	-21.6K	0.22	35.91	N/A	N/A	4	1	60	39
2011-12-20	$2155.20	$2400.00	54.1%	15.5%	74.2%	26.3%	55.2%	-13.1%	3.8%	44.9K	1.0M	-18.0K	0.22	57.81	N/A	N/A	5	1	62	39
2011-12-21	$2108.00	$2320.00	48.7%	14.0%	74.1%	20.7%	53.2%	-13.1%	12.2%	47.0K	1.3M	-17.2K	1.22	67.27	N/A	N/A	3	4	65	40
2011-12-22	$2055.20	$2320.00	48.0%	13.8%	70.6%	20.0%	49.2%	-11.3%	6.0%	29.3K	2.5M	-15.7K	0.29	58.65	N/A	N/A	2	1	65	43
2011-12-23	$2027.20	$2320.00	45.8%	13.1%	70.0%	17.6%	47.4%	-11.2%	6.0%	30.9K	2.8M	-15.8K	0.51	69.26	N/A	N/A	1	1	66	44
2011-12-27	$2016.00	$2320.00	48.1%	13.8%	65.9%	20.0%	49.3%	-11.4%	4.9%	32.9K	2.9M	-14.2K	0.18	71.67	N/A	N/A	4	1	66	44
2011-12-28	$2091.20	$2320.00	49.1%	14.1%	67.2%	21.2%	51.2%	-13.0%	7.0%	47.2K	1.7M	-16.4K	0.15	47.71	N/A	N/A	5	1	69	44
2011-12-29	$2044.80	$2320.00	49.3%	14.1%	54.9%	21.4%	53.5%	-12.7%	6.5%	45.9K	2.3M	-15.8K	0.15	21.70	N/A	N/A	3	1	69	45
2011-12-30	$2050.40	$2240.00	49.4%	14.2%	54.9%	21.4%	51.9%	-13.5%	6.0%	50.3K	2.2M	-15.3K	0.41	21.50	N/A	N/A	1	1	70	45