DUG Options History — June 2013

In June 2013, DUG traded between $1243.00 and $1371.20. ATM implied volatility averaged 39.6%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.4% (HV 20d: 35.1%). Max pain ranged from $1120.00 to $1360.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 13.69.

Notable Days

2013-06-24: Highest Volume — 28 contracts
2013-06-20: Largest IV spike — 28.4% change
2013-06-20: Highest IV Rank — 92.5%
2013-06-20: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1295.61	$1243.00	$1371.20	$1252.80	$1323.60
Max Pain	$1204.44	$1120.00	$1360.00	$1120.00	$1320.00
ATM IV	39.6%	36.3%	46.7%	38.7%	36.4%
Expected Move	11.4%	10.4%	13.4%	11.1%	10.4%
HV 20d	35.1%	28.6%	40.5%	28.6%	40.3%
HV 60d	35.4%	33.0%	37.7%	33.0%	37.0%
IV Rank	61.4%	49.0%	92.5%	49.0%	59.9%
IV Percentile	76.6%	60.3%	98.4%	73.8%	61.9%
Term Structure	0.4%	-3.8%	3.2%	0.0%	2.6%
VWIV	40.1%	35.3%	46.4%	38.5%	36.1%
Skew 25d	-8.9%	-13.2%	-5.2%	-13.2%	-5.2%
Skew 10d	-19.2%	-25.9%	-13.4%	-25.9%	-15.2%
Call IV 25d	45.3%	40.1%	54.3%	44.4%	40.1%
Put IV 25d	36.4%	31.2%	42.0%	31.2%	34.9%
Bid-Ask Spread %	51.85	15.13	78.42	19.43	77.79
Gamma HHI	0.18	0.09	0.31	0.20	0.18
Net GEX	68.5K	-22.3K	207.4K	145.0K	111.5K
Net DEX	-1.1M	-3.7M	773.3K	-2.6M	-1.6M
Net VEX	-10.9K	-20.2K	0	-18.9K	-16.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.69	0.00	150.50	0.12	14.50
Total Volume	6.842	1	28	1	4
Total OI	61.211	0	132	122	97

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
2013-06-03	$1252.80	$1120.00	38.7%	11.1%	28.6%	49.0%	38.5%	-13.2%	0.0%	145.0K	-2.6M	-18.9K	0.12	19.43	N/A	N/A	1	0	97	25
2013-06-04	$1270.40	$1120.00	39.6%	11.4%	28.9%	51.1%	43.8%	-6.0%	-0.4%	146.8K	-2.9M	-19.2K	0.21	15.13	N/A	N/A	1	0	97	25
2013-06-05	$1297.60	$1120.00	41.9%	12.0%	29.4%	56.4%	42.9%	-5.4%	-2.3%	152.2K	-3.4M	-19.8K	0.01	22.52	N/A	N/A	9	0	97	25
2013-06-06	$1277.60	$1200.00	40.2%	11.5%	30.0%	52.4%	45.9%	-7.8%	-1.3%	192.3K	-3.7M	-20.2K	0.04	18.54	N/A	N/A	3	0	105	25
2013-06-07	$1248.80	$1360.00	37.8%	10.8%	31.1%	51.0%	37.5%	-10.6%	3.2%	207.4K	-2.6M	-18.8K	0.16	26.50	N/A	N/A	1	0	107	25
2013-06-11	$1290.00	$0.00	37.0%	11.7%	33.0%	50.4%	42.2%	-8.3%	-3.3%	0	0	0	0.46	55.46	N/A	N/A	3	1	0	0
2013-06-12	$1315.60	$1280.00	43.1%	11.9%	33.8%	66.3%	0.0%	-9.0%	-0.4%	1.6K	-107.3K	-1.1K	4.57	50.13	N/A	N/A	1	3	3	1
2013-06-13	$1269.40	$1280.00	37.9%	10.9%	34.8%	52.7%	37.5%	-9.2%	3.0%	-4.4K	-5.8K	-2.2K	85.50	47.98	N/A	N/A	0	9	3	5
2013-06-14	$1291.80	$1260.00	40.4%	11.6%	35.3%	59.1%	39.0%	-7.6%	-1.6%	-20.0K	571.5K	-4.6K	1.83	59.01	N/A	N/A	2	3	4	13
2013-06-17	$1257.60	$1120.00	37.9%	10.9%	36.5%	58.3%	37.2%	-11.0%	2.3%	-22.3K	773.3K	-5.2K	0.17	51.17	N/A	N/A	1	0	4	16
2013-06-18	$1243.00	$1120.00	38.0%	10.9%	34.9%	58.6%	0.0%	-11.3%	1.3%	-19.5K	754.7K	-5.5K	0.00	59.46	N/A	N/A	2	0	5	16
2013-06-19	$1265.20	$1120.00	36.3%	10.4%	33.7%	53.8%	36.1%	-7.9%	3.2%	-14.7K	583.5K	-6.0K	0.00	69.79	N/A	N/A	13	0	7	16
2013-06-20	$1338.40	$1120.00	46.7%	13.4%	38.7%	92.5%	46.4%	-12.3%	-3.8%	1.9K	-65.8K	-8.8K	0.00	58.34	N/A	N/A	9	0	20	16
2013-06-21	$1331.40	$1120.00	43.1%	12.3%	38.2%	81.1%	43.7%	-11.3%	-0.7%	97.8K	-649.3K	-9.6K	0.56	62.19	N/A	N/A	4	2	28	16
2013-06-24	$1371.20	$1160.00	41.5%	11.9%	39.2%	76.1%	40.4%	-10.0%	1.2%	16.0K	-698.5K	-9.8K	0.08	67.45	N/A	N/A	26	2	26	16
2013-06-25	$1339.00	$1260.00	41.1%	11.8%	40.5%	74.8%	40.5%	-8.3%	1.1%	121.2K	-2.1M	-13.3K	1.24	70.71	N/A	N/A	2	2	50	18
2013-06-26	$1319.00	$1260.00	37.4%	10.7%	40.2%	63.0%	38.3%	-8.4%	1.8%	131.5K	-1.8M	-13.0K	150.50	75.16	N/A	N/A	0	15	51	19
2013-06-27	$1314.20	$1340.00	36.6%	10.5%	40.3%	60.4%	35.3%	-6.9%	2.7%	57.1K	-534.0K	-15.0K	0.10	78.42	N/A	N/A	10	1	51	34
2013-06-28	$1323.60	$1320.00	36.4%	10.4%	40.3%	59.9%	36.1%	-5.2%	2.6%	111.5K	-1.6M	-16.3K	14.50	77.79	N/A	N/A	0	4	61	36