DUG Options History — February 2012

In February 2012, DUG traded between $1672.80 and $1942.40. ATM implied volatility averaged 38.2%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 12.2% (HV 20d: 26.0%). Max pain ranged from $1680.00 to $1920.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2012-02-14: Highest Volume — 10 contracts
2012-02-09: Largest IV spike — 17.9% change
2012-02-10: Highest IV Rank — 15.6%
2012-02-10: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1775.44	$1672.80	$1942.40	$1942.40	$1724.80
Max Pain	$1812.00	$1680.00	$1920.00	$1920.00	$1680.00
ATM IV	38.2%	33.8%	46.5%	39.4%	37.1%
Expected Move	11.3%	9.7%	13.3%	11.3%	10.6%
HV 20d	26.0%	21.7%	29.4%	26.1%	22.6%
HV 60d	48.6%	38.2%	54.0%	53.5%	38.5%
IV Rank	6.8%	2.0%	15.6%	8.0%	5.6%
IV Percentile	15.8%	2.4%	46.0%	18.3%	11.5%
Term Structure	3.8%	2.0%	6.8%	4.0%	4.2%
VWIV	41.0%	34.7%	47.6%	40.8%	35.3%
Skew 25d	-8.5%	-11.0%	-5.9%	-6.5%	-8.6%
Skew 10d	-18.1%	-29.1%	33.8%	33.8%	-2.6%
Call IV 25d	44.9%	38.1%	52.1%	43.6%	40.2%
Put IV 25d	36.4%	29.1%	42.3%	37.1%	31.6%
Bid-Ask Spread %	51.99	22.86	101.01	101.01	58.45
Gamma HHI	0.17	0.12	0.31	0.20	0.18
Net GEX	49.0K	4.0K	84.1K	67.1K	52.2K
Net DEX	1.3M	-680.4K	2.9M	-680.4K	952.3K
Net VEX	-12.3K	-14.6K	-9.3K	-13.7K	-11.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.01	1.18	0.58	0.38
Total Volume	4.25	2	10	3	6
Total OI	83.85	68	101	74	81

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
2012-02-01	$1942.40	$1920.00	39.4%	11.3%	26.1%	8.0%	40.8%	-6.5%	4.0%	67.1K	-680.4K	-13.7K	0.58	101.01	N/A	N/A	2	1	47	27
2012-02-02	$1922.40	$1920.00	38.6%	11.1%	26.3%	7.2%	40.1%	-8.9%	4.5%	74.6K	-484.2K	-14.3K	0.72	50.02	N/A	N/A	2	2	48	28
2012-02-03	$1853.60	$1920.00	34.0%	11.4%	28.9%	2.2%	39.5%	-8.6%	3.0%	55.1K	694.2K	-13.4K	0.60	76.68	N/A	N/A	4	3	50	29
2012-02-06	$1809.60	$1920.00	36.5%	11.8%	29.4%	5.0%	41.1%	-8.0%	2.7%	50.1K	1.2M	-12.7K	0.42	53.95	N/A	N/A	5	2	52	30
2012-02-07	$1789.60	$1920.00	35.5%	11.6%	29.4%	3.9%	42.6%	-8.8%	2.5%	44.3K	1.6M	-13.1K	0.19	36.71	N/A	N/A	3	1	55	32
2012-02-08	$1799.20	$1840.00	34.9%	11.5%	29.1%	3.2%	47.6%	-8.9%	2.4%	58.7K	1.4M	-13.5K	0.25	54.67	N/A	N/A	2	0	56	32
2012-02-09	$1800.00	$1840.00	41.1%	11.8%	27.0%	9.9%	43.4%	-9.0%	2.2%	49.6K	1.5M	-13.0K	0.10	49.29	N/A	N/A	2	0	57	32
2012-02-10	$1835.20	$1840.00	46.5%	13.3%	27.2%	15.6%	47.6%	-9.8%	2.0%	84.1K	666.3K	-14.6K	0.24	48.76	N/A	N/A	3	1	58	32
2012-02-13	$1804.00	$1840.00	43.8%	12.6%	27.1%	12.8%	44.2%	-11.0%	2.2%	71.2K	1.4M	-13.1K	0.38	62.09	N/A	N/A	1	1	60	32
2012-02-14	$1794.40	$1840.00	41.4%	11.9%	26.8%	10.2%	46.2%	-9.3%	6.6%	65.0K	1.5M	-12.9K	0.47	61.78	N/A	N/A	7	3	60	33
2012-02-15	$1799.20	$1840.00	42.9%	12.3%	24.8%	11.8%	43.1%	-8.4%	3.0%	36.6K	1.8M	-13.0K	0.29	39.25	N/A	N/A	2	1	63	35
2012-02-16	$1748.80	$1760.00	42.8%	12.3%	26.3%	11.6%	43.4%	-10.2%	3.6%	66.9K	2.5M	-11.9K	0.21	68.50	N/A	N/A	2	1	65	35
2012-02-17	$1733.60	$1760.00	38.8%	11.1%	26.3%	7.4%	40.0%	-8.4%	4.6%	61.0K	2.9M	-11.4K	0.40	24.32	N/A	N/A	4	2	66	35
2012-02-21	$1715.20	$1760.00	34.1%	9.8%	26.1%	2.4%	37.4%	-8.0%	6.8%	18.2K	1.4M	-10.9K	0.24	23.73	N/A	N/A	5	1	42	26
2012-02-22	$1706.40	$1760.00	35.3%	10.1%	25.9%	3.7%	36.2%	-7.0%	5.7%	24.1K	1.4M	-11.0K	1.18	58.01	N/A	N/A	2	2	44	27
2012-02-23	$1685.60	$1760.00	33.8%	9.7%	25.1%	2.0%	37.3%	-8.9%	4.5%	4.0K	2.0M	-9.7K	0.01	61.87	N/A	N/A	2	0	45	29
2012-02-24	$1672.80	$1760.00	36.5%	10.5%	22.1%	4.9%	37.2%	-10.3%	2.3%	20.4K	1.7M	-10.8K	0.18	22.86	N/A	N/A	5	1	46	29
2012-02-27	$1682.40	$1680.00	37.8%	10.8%	22.1%	6.4%	42.0%	-6.0%	3.0%	36.7K	1.5M	-11.3K	0.03	64.41	N/A	N/A	2	0	50	29
2012-02-28	$1689.60	$1680.00	34.1%	9.8%	21.7%	2.4%	34.7%	-5.9%	5.4%	39.5K	1.8M	-9.3K	0.08	23.47	N/A	N/A	2	0	51	29
2012-02-29	$1724.80	$1680.00	37.1%	10.6%	22.6%	5.6%	35.3%	-8.6%	4.2%	52.2K	952.3K	-11.5K	0.38	58.45	N/A	N/A	4	2	52	29