DUG Options History — September 2012

In September 2012, DUG traded between $1516.00 and $1784.00. ATM implied volatility averaged 35.3%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.4% (HV 20d: 29.9%). Max pain ranged from $1680.00 to $1840.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.59.

Notable Days

2012-09-14: Highest Volume — 17 contracts
2012-09-13: Largest IV spike — 14.0% change
2012-09-05: Highest IV Rank — 19.0%
2012-09-05: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1627.41	$1516.00	$1784.00	$1772.80	$1628.00
Max Pain	$1776.84	$1680.00	$1840.00	$1760.00	$1680.00
ATM IV	35.3%	30.9%	41.5%	38.8%	32.2%
Expected Move	10.3%	9.2%	11.9%	11.1%	9.2%
HV 20d	29.9%	18.6%	35.1%	21.3%	34.2%
HV 60d	38.2%	33.0%	41.7%	41.5%	33.0%
IV Rank	11.1%	5.6%	19.0%	15.6%	7.2%
IV Percentile	15.4%	2.8%	40.1%	29.0%	4.0%
Term Structure	3.9%	1.8%	7.8%	5.3%	2.7%
VWIV	36.9%	31.3%	41.1%	37.8%	31.3%
Skew 25d	-9.0%	-17.9%	-6.6%	-9.0%	-8.6%
Skew 10d	-19.6%	-29.5%	-11.1%	-19.9%	-14.3%
Call IV 25d	41.4%	36.3%	47.8%	44.5%	39.5%
Put IV 25d	32.4%	24.0%	38.2%	35.5%	30.9%
Bid-Ask Spread %	30.23	14.33	77.93	33.22	26.31
Gamma HHI	0.22	0.15	0.49	0.17	0.16
Net GEX	156.8K	75.2K	285.2K	144.6K	153.6K
Net DEX	1.7M	-1.0M	3.9M	-940.8K	527.0K
Net VEX	-12.4K	-18.7K	-7.9K	-18.6K	-13.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.05	3.91	0.33	0.05
Total Volume	6.842	2	17	8	2
Total OI	121.316	104	149	109	114

Daily Data (19 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
2012-09-04	$1772.80	$1760.00	38.8%	11.1%	21.3%	15.6%	37.8%	-9.0%	5.3%	144.6K	-940.8K	-18.6K	0.33	33.22	N/A	N/A	6	2	77	32
2012-09-05	$1784.00	$1760.00	41.5%	11.9%	18.6%	19.0%	40.8%	-9.6%	3.0%	145.4K	-1.0M	-18.7K	0.13	29.40	N/A	N/A	3	1	78	33
2012-09-06	$1709.60	$1760.00	35.7%	10.2%	24.2%	11.7%	37.2%	-8.4%	1.8%	149.3K	543.6K	-16.0K	0.34	48.69	N/A	N/A	6	2	80	33
2012-09-07	$1652.80	$1840.00	30.9%	10.7%	26.7%	5.6%	36.7%	-10.8%	5.6%	139.0K	1.8M	-13.9K	0.40	18.32	N/A	N/A	5	2	81	34
2012-09-10	$1671.20	$1840.00	34.4%	10.6%	27.1%	9.9%	38.4%	-8.4%	5.2%	152.6K	1.6M	-13.4K	0.43	31.18	N/A	N/A	3	1	83	35
2012-09-11	$1640.00	$1840.00	33.8%	10.3%	27.5%	9.2%	39.9%	-9.7%	5.1%	138.4K	2.1M	-12.8K	0.20	20.02	N/A	N/A	4	1	83	36
2012-09-12	$1625.60	$1840.00	32.4%	10.1%	27.5%	7.5%	38.6%	-7.3%	4.0%	132.0K	2.6M	-11.2K	0.30	24.74	N/A	N/A	3	1	82	36
2012-09-13	$1564.00	$1840.00	37.0%	10.6%	30.2%	13.2%	38.7%	-17.9%	3.8%	102.1K	3.6M	-8.5K	0.43	55.82	N/A	N/A	8	3	84	36
2012-09-14	$1516.00	$1840.00	36.3%	10.4%	31.1%	12.3%	41.1%	-12.7%	3.2%	75.2K	3.9M	-7.9K	0.26	49.64	N/A	N/A	13	4	86	37
2012-09-17	$1543.20	$1760.00	35.6%	10.2%	32.1%	11.5%	38.1%	-7.6%	2.9%	161.4K	3.2M	-9.3K	1.07	77.93	N/A	N/A	5	5	96	39
2012-09-18	$1568.00	$1760.00	37.8%	10.8%	32.6%	14.3%	37.1%	-8.3%	3.3%	206.1K	2.4M	-10.7K	0.23	30.96	N/A	N/A	8	2	99	41
2012-09-19	$1599.20	$1760.00	37.0%	10.6%	33.5%	13.3%	36.8%	-7.3%	2.9%	272.4K	1.7M	-11.5K	0.51	17.66	N/A	N/A	4	2	103	42
2012-09-20	$1584.80	$1760.00	36.5%	10.5%	33.5%	12.7%	37.8%	-8.8%	4.2%	285.2K	2.2M	-11.0K	3.91	15.61	N/A	N/A	2	7	104	43
2012-09-21	$1577.60	$1760.00	33.4%	9.6%	32.2%	8.8%	34.1%	-7.3%	7.8%	241.3K	3.2M	-11.4K	0.84	30.04	N/A	N/A	2	2	103	46
2012-09-24	$1591.20	$1760.00	32.8%	9.4%	32.4%	7.9%	33.4%	-7.6%	3.0%	84.8K	1.9M	-10.7K	0.10	14.33	N/A	N/A	3	0	73	31
2012-09-25	$1624.00	$1760.00	33.5%	9.6%	33.5%	8.8%	33.8%	-8.1%	5.1%	113.0K	1.3M	-11.9K	0.15	14.66	N/A	N/A	3	1	75	31
2012-09-26	$1656.00	$1760.00	38.1%	10.9%	34.5%	14.6%	36.6%	-7.6%	1.8%	130.5K	617.4K	-13.3K	0.18	21.05	N/A	N/A	9	2	75	31
2012-09-27	$1612.80	$1680.00	32.8%	9.4%	35.1%	8.0%	32.5%	-6.6%	2.9%	152.3K	767.5K	-12.3K	1.33	14.87	N/A	N/A	1	2	82	31
2012-09-28	$1628.00	$1680.00	32.2%	9.2%	34.2%	7.2%	31.3%	-8.6%	2.7%	153.6K	527.0K	-13.2K	0.05	26.31	N/A	N/A	2	0	82	32