DUG Options History — July 2012

In July 2012, DUG traded between $1808.00 and $2116.00. ATM implied volatility averaged 41.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 10.0% (HV 20d: 51.1%). Max pain ranged from $2080.00 to $2240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2012-07-23: Highest Volume — 21 contracts
2012-07-09: Largest IV spike — 15.4% change
2012-07-24: Highest IV Rank — 19.7%
2012-07-24: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1961.03	$1808.00	$2116.00	$2032.00	$1851.20
Max Pain	$2140.95	$2080.00	$2240.00	$2080.00	$2080.00
ATM IV	41.1%	36.5%	45.9%	38.1%	44.5%
Expected Move	12.0%	10.7%	13.2%	10.9%	12.8%
HV 20d	51.1%	40.1%	58.1%	56.5%	41.4%
HV 60d	46.4%	45.5%	47.8%	46.1%	46.6%
IV Rank	14.7%	10.1%	19.7%	11.7%	18.2%
IV Percentile	27.9%	14.3%	42.5%	18.7%	40.5%
Term Structure	3.1%	0.1%	8.0%	3.6%	0.5%
VWIV	41.6%	34.4%	49.8%	37.1%	49.0%
Skew 25d	-9.5%	-13.8%	-6.0%	-6.0%	-8.6%
Skew 10d	-22.2%	-32.8%	-12.5%	-24.4%	-15.7%
Call IV 25d	47.0%	40.5%	53.8%	43.4%	50.7%
Put IV 25d	37.6%	31.9%	42.5%	37.4%	42.1%
Bid-Ask Spread %	56.75	20.44	85.02	32.14	52.20
Gamma HHI	0.17	0.14	0.22	0.14	0.16
Net GEX	52.9K	13.7K	89.7K	28.3K	48.7K
Net DEX	1.8M	-1.2M	4.8M	1.0M	1.9M
Net VEX	-17.2K	-21.9K	-11.0K	-19.9K	-18.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	7.88	0.13	0.53
Total Volume	5.238	1	21	1	1
Total OI	123.143	64	148	130	96

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
2012-07-02	$2032.00	$2080.00	38.1%	10.9%	56.5%	11.7%	37.1%	-6.0%	3.6%	28.3K	1.0M	-19.9K	0.13	32.14	N/A	N/A	1	0	83	47
2012-07-03	$1938.40	$2080.00	37.2%	10.7%	58.1%	10.8%	38.6%	-8.6%	4.4%	13.7K	2.8M	-16.6K	0.13	20.44	N/A	N/A	5	1	84	47
2012-07-05	$1989.60	$2080.00	37.6%	10.8%	55.5%	11.2%	34.4%	-9.8%	4.2%	25.9K	2.1M	-16.9K	0.22	85.02	N/A	N/A	4	1	85	48
2012-07-06	$2034.40	$2240.00	36.5%	12.1%	56.4%	10.1%	40.8%	-10.8%	3.6%	33.6K	1.1M	-18.4K	0.10	49.66	N/A	N/A	6	1	86	48
2012-07-09	$2052.80	$2240.00	42.1%	12.8%	56.5%	15.8%	49.0%	-10.1%	1.7%	35.5K	642.8K	-18.2K	0.38	60.01	N/A	N/A	12	5	87	48
2012-07-10	$2116.00	$2240.00	42.3%	13.2%	57.0%	16.0%	41.2%	-12.2%	0.1%	87.0K	-1.2M	-21.9K	0.17	69.01	N/A	N/A	2	0	94	50
2012-07-11	$2060.00	$2160.00	41.7%	13.0%	56.9%	15.4%	42.0%	-9.8%	2.7%	69.5K	479.4K	-20.2K	0.25	61.62	N/A	N/A	1	0	95	50
2012-07-12	$2073.60	$2160.00	45.8%	13.1%	56.2%	19.5%	42.6%	-9.9%	1.5%	65.5K	12.5K	-20.3K	0.00	53.92	N/A	N/A	3	0	95	50
2012-07-13	$2003.20	$2160.00	41.5%	11.9%	56.2%	15.1%	41.4%	-7.9%	6.3%	63.3K	2.1M	-17.3K	0.03	60.98	N/A	N/A	3	0	96	50
2012-07-16	$1988.00	$2160.00	43.0%	12.3%	54.9%	16.7%	39.5%	-8.6%	2.7%	80.1K	2.5M	-15.9K	0.80	49.56	N/A	N/A	1	1	98	50
2012-07-17	$1941.60	$2160.00	41.1%	11.8%	54.8%	14.8%	42.5%	-13.8%	8.0%	89.7K	4.0M	-14.0K	0.09	83.48	N/A	N/A	2	0	98	50
2012-07-18	$1907.20	$2160.00	39.4%	11.3%	54.2%	13.0%	40.9%	-10.0%	4.0%	48.9K	4.8M	-12.0K	0.21	43.15	N/A	N/A	3	1	98	50
2012-07-19	$1893.60	$2160.00	39.9%	11.4%	54.0%	13.6%	39.0%	-8.6%	2.9%	53.3K	4.4M	-11.2K	0.27	39.86	N/A	N/A	2	1	97	47
2012-07-20	$1890.40	$2160.00	38.2%	10.9%	43.4%	11.8%	39.5%	-8.8%	5.1%	59.9K	4.5M	-11.0K	7.88	62.51	N/A	N/A	1	10	98	47
2012-07-23	$1932.80	$2160.00	40.9%	11.7%	44.7%	14.5%	44.1%	-9.6%	1.5%	28.1K	926.6K	-13.9K	0.11	56.22	N/A	N/A	19	2	39	25
2012-07-24	$1985.60	$2160.00	45.9%	13.2%	42.9%	19.7%	49.8%	-11.1%	1.1%	77.2K	-871.2K	-20.7K	0.84	67.03	N/A	N/A	4	4	55	27
2012-07-25	$1986.40	$2080.00	44.9%	12.9%	42.7%	18.6%	43.2%	-10.1%	2.2%	73.6K	-547.1K	-21.8K	4.96	58.52	N/A	N/A	1	3	57	31
2012-07-26	$1881.60	$2080.00	41.0%	11.8%	44.3%	14.7%	39.5%	-10.0%	3.6%	45.8K	1.5M	-19.3K	0.20	43.63	N/A	N/A	3	1	58	34
2012-07-27	$1815.20	$2080.00	39.2%	11.2%	45.5%	12.8%	40.6%	-7.1%	2.2%	41.1K	2.3M	-17.1K	0.30	67.93	N/A	N/A	2	1	59	34
2012-07-30	$1808.00	$2080.00	41.4%	11.9%	40.1%	15.1%	38.1%	-7.2%	2.8%	42.9K	2.5M	-16.4K	0.14	74.80	N/A	N/A	2	0	60	35
2012-07-31	$1851.20	$2080.00	44.5%	12.8%	41.4%	18.2%	49.0%	-8.6%	0.5%	48.7K	1.9M	-18.1K	0.53	52.20	N/A	N/A	1	0	61	35