DUG Options History — March 2012

In March 2012, DUG traded between $1684.80 and $1864.00. ATM implied volatility averaged 34.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.7% (HV 20d: 28.3%). Max pain ranged from $1760.00 to $2000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.45.

Notable Days

2012-03-22: Highest Volume — 11 contracts
2012-03-15: Largest IV spike — 20.3% change
2012-03-27: Highest IV Rank — 10.2%
2012-03-06: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1770.76	$1684.80	$1864.00	$1691.20	$1837.60
Max Pain	$1963.64	$1760.00	$2000.00	$1760.00	$1920.00
ATM IV	34.0%	26.5%	38.4%	33.1%	34.3%
Expected Move	10.3%	8.5%	12.1%	9.5%	9.8%
HV 20d	28.3%	22.6%	35.3%	23.1%	34.4%
HV 60d	33.2%	28.7%	39.3%	38.6%	28.9%
IV Rank	5.8%	0.0%	10.2%	1.4%	7.9%
IV Percentile	7.4%	0.0%	16.3%	1.2%	8.7%
Term Structure	4.5%	1.6%	7.3%	4.1%	2.8%
VWIV	35.6%	27.8%	43.0%	31.8%	37.3%
Skew 25d	-7.8%	-16.5%	-5.6%	-16.5%	-6.1%
Skew 10d	-17.1%	-30.8%	1.1%	-25.5%	-4.4%
Call IV 25d	40.0%	34.0%	47.4%	39.0%	37.9%
Put IV 25d	32.2%	22.5%	37.9%	22.5%	31.8%
Bid-Ask Spread %	42.63	15.66	90.82	36.02	33.53
Gamma HHI	0.18	0.13	0.37	0.17	0.13
Net GEX	55.1K	14.7K	93.6K	37.5K	40.5K
Net DEX	833.0K	-332.8K	2.5M	1.4M	430.0K
Net VEX	-11.7K	-15.3K	-8.3K	-10.8K	-15.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	2.54	0.58	0.30
Total Volume	4.091	0	11	3	3
Total OI	85.636	72	94	82	94

Daily Data (22 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
2012-03-01	$1691.20	$1760.00	33.1%	9.5%	23.1%	1.4%	31.8%	-16.5%	4.1%	37.5K	1.4M	-10.8K	0.58	36.02	N/A	N/A	2	1	52	30
2012-03-02	$1726.40	$1760.00	38.3%	11.0%	25.0%	6.9%	35.1%	-6.6%	1.7%	47.7K	1.0M	-12.2K	0.07	52.98	N/A	N/A	2	0	53	31
2012-03-05	$1742.40	$2000.00	37.3%	11.7%	22.6%	5.8%	42.5%	-8.9%	5.9%	51.5K	1.1M	-10.7K	0.06	41.87	N/A	N/A	4	0	54	31
2012-03-06	$1800.00	$2000.00	38.4%	12.1%	24.5%	6.9%	43.0%	-9.7%	5.4%	65.8K	203.8K	-12.1K	0.07	53.53	N/A	N/A	5	0	55	31
2012-03-07	$1771.20	$2000.00	35.8%	11.7%	24.8%	4.2%	39.5%	-6.8%	6.4%	78.5K	609.9K	-11.0K	0.00	42.26	N/A	N/A	1	0	57	31
2012-03-08	$1750.40	$2000.00	35.0%	11.5%	25.0%	3.3%	38.9%	-8.9%	5.4%	73.9K	554.5K	-11.5K	0.01	41.33	N/A	N/A	2	0	57	31
2012-03-09	$1752.80	$2000.00	30.7%	10.8%	25.1%	0.0%	37.1%	-8.5%	7.3%	80.7K	499.9K	-11.3K	0.29	66.84	N/A	N/A	0	0	58	31
2012-03-12	$1771.20	$2000.00	32.3%	10.7%	24.3%	1.7%	40.6%	-6.1%	6.0%	93.6K	752.4K	-9.1K	0.27	32.90	N/A	N/A	0	0	58	31
2012-03-13	$1723.20	$2000.00	26.5%	10.0%	25.4%	0.0%	33.9%	-7.4%	7.2%	56.3K	1.2M	-9.0K	0.36	64.41	N/A	N/A	6	2	57	31
2012-03-14	$1759.20	$2000.00	29.7%	10.0%	26.6%	3.3%	27.8%	-8.2%	7.3%	83.2K	1.1M	-10.6K	0.39	40.64	N/A	N/A	1	0	57	32
2012-03-15	$1753.60	$2000.00	35.8%	10.3%	26.6%	9.4%	35.5%	-7.9%	6.3%	87.0K	1.2M	-10.3K	1.52	43.38	N/A	N/A	2	2	57	32
2012-03-16	$1706.40	$2000.00	32.2%	9.2%	26.4%	5.7%	32.1%	-11.2%	7.0%	14.7K	2.5M	-8.3K	0.38	49.11	N/A	N/A	7	3	57	34
2012-03-19	$1684.80	$2000.00	29.7%	8.5%	26.6%	3.2%	29.4%	-5.9%	4.3%	24.2K	2.0M	-9.0K	0.01	36.44	N/A	N/A	7	0	43	29
2012-03-20	$1737.60	$2000.00	34.9%	10.0%	28.7%	8.5%	34.0%	-6.7%	3.5%	34.8K	1.2M	-11.2K	0.36	68.85	N/A	N/A	2	1	49	29
2012-03-21	$1772.80	$2000.00	31.5%	9.0%	29.4%	5.1%	32.8%	-7.5%	3.9%	37.3K	1.1M	-11.3K	0.26	90.82	N/A	N/A	4	1	49	29
2012-03-22	$1849.60	$2000.00	35.9%	10.3%	32.2%	9.6%	39.2%	-8.1%	3.0%	45.3K	-252.0K	-13.4K	2.54	18.18	N/A	N/A	3	8	51	29
2012-03-23	$1808.80	$2000.00	35.6%	10.2%	33.3%	9.3%	37.7%	-6.5%	2.2%	47.2K	547.5K	-14.0K	0.25	55.69	N/A	N/A	4	1	52	32
2012-03-26	$1776.00	$1920.00	32.8%	9.4%	34.3%	6.3%	30.3%	-6.4%	2.7%	58.4K	941.9K	-13.4K	0.33	19.21	N/A	N/A	1	0	54	32
2012-03-27	$1814.40	$1920.00	36.6%	10.5%	34.9%	10.2%	35.2%	-6.5%	1.6%	57.5K	419.7K	-13.7K	0.68	15.66	N/A	N/A	1	1	54	32
2012-03-28	$1863.20	$1920.00	35.6%	10.2%	35.3%	9.2%	33.3%	-5.6%	2.1%	58.4K	-332.8K	-14.5K	0.66	17.31	N/A	N/A	5	3	55	33
2012-03-29	$1864.00	$2000.00	35.8%	10.3%	34.3%	9.4%	35.3%	-5.7%	2.5%	37.2K	166.9K	-15.0K	0.49	17.02	N/A	N/A	3	2	54	36
2012-03-30	$1837.60	$1920.00	34.3%	9.8%	34.4%	7.9%	37.3%	-6.1%	2.8%	40.5K	430.0K	-15.3K	0.30	33.53	N/A	N/A	2	1	57	37