DUG Options History — February 2014

In February 2014, DUG traded between $993.00 and $1154.60. ATM implied volatility averaged 30.1%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.9% (HV 20d: 32.0%). Max pain ranged from $980.00 to $1040.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.22.

Notable Days

2014-02-04: Highest Volume — 41 contracts
2014-02-06: Largest IV drop — 12.9% change
2014-02-03: Highest IV Rank — 78.2%
2014-02-03: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1058.67	$993.00	$1154.60	$1153.20	$993.80
Max Pain	$1022.11	$980.00	$1040.00	$980.00	$980.00
ATM IV	30.1%	26.6%	40.2%	40.2%	28.3%
Expected Move	8.8%	7.7%	11.5%	11.5%	8.1%
HV 20d	32.0%	29.7%	33.8%	29.7%	30.7%
HV 60d	26.8%	26.0%	27.5%	26.3%	27.5%
IV Rank	44.4%	32.4%	78.2%	78.2%	38.2%
IV Percentile	43.3%	17.5%	95.2%	95.2%	32.1%
Term Structure	0.8%	-0.5%	2.3%	0.4%	1.4%
VWIV	29.8%	18.4%	37.9%	37.9%	24.2%
Skew 25d	-6.6%	-9.2%	-3.3%	-7.8%	-5.3%
Skew 10d	-13.5%	-17.7%	-7.7%	-13.2%	-17.6%
Call IV 25d	34.8%	29.6%	44.5%	44.5%	31.6%
Put IV 25d	28.2%	25.3%	36.7%	36.7%	26.3%
Bid-Ask Spread %	47.24	27.63	63.61	30.33	59.12
Gamma HHI	0.10	0.09	0.13	0.10	0.10
Net GEX	153.7K	15.6K	299.4K	176.3K	67.4K
Net DEX	-83.2K	-7.3M	3.5M	-6.0M	3.0M
Net VEX	-33.2K	-44.9K	-24.9K	-39.3K	-26.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.01	1.01	0.01
Total Volume	16.684	2	41	38	28
Total OI	312.789	257	340	270	271

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
2014-02-03	$1153.20	$980.00	40.2%	11.5%	29.7%	78.2%	37.9%	-7.8%	0.4%	176.3K	-6.0M	-39.3K	1.01	30.33	N/A	N/A	19	19	160	110
2014-02-04	$1136.20	$980.00	35.4%	10.1%	30.6%	62.0%	36.8%	-8.5%	-0.2%	186.2K	-5.2M	-41.0K	0.41	29.84	N/A	N/A	29	12	172	127
2014-02-05	$1154.60	$1040.00	38.0%	10.9%	29.7%	70.8%	34.3%	-8.3%	0.4%	268.2K	-7.3M	-44.9K	0.18	36.78	N/A	N/A	17	3	196	139
2014-02-06	$1120.60	$1040.00	33.1%	9.5%	32.4%	54.3%	31.0%	-9.2%	1.6%	265.7K	-5.0M	-43.2K	0.87	37.16	N/A	N/A	9	8	197	142
2014-02-07	$1096.60	$1040.00	29.5%	9.3%	33.7%	42.1%	18.4%	-8.0%	0.6%	259.6K	-2.9M	-41.4K	0.00	30.01	N/A	N/A	20	0	197	143
2014-02-10	$1109.40	$1040.00	30.3%	9.1%	33.7%	44.8%	30.3%	-7.5%	1.0%	299.4K	-3.8M	-40.7K	0.11	27.63	N/A	N/A	10	1	197	143
2014-02-11	$1077.40	$1040.00	27.5%	8.7%	33.0%	35.5%	27.7%	-7.9%	-0.5%	217.6K	-461.7K	-36.2K	0.12	38.19	N/A	N/A	9	1	191	144
2014-02-12	$1077.20	$1040.00	26.6%	8.7%	31.7%	32.4%	30.9%	-5.8%	1.0%	220.2K	-444.8K	-35.7K	0.10	47.26	N/A	N/A	6	1	192	144
2014-02-13	$1066.60	$1040.00	29.9%	8.6%	31.9%	43.6%	31.5%	-7.1%	-0.1%	242.2K	12.0K	-33.8K	0.02	43.87	N/A	N/A	10	0	195	145
2014-02-14	$1036.60	$1040.00	28.1%	8.1%	33.6%	37.6%	29.0%	-7.0%	2.3%	118.3K	2.3M	-32.0K	0.70	46.21	N/A	N/A	2	2	195	145
2014-02-18	$1027.60	$1040.00	28.8%	8.3%	33.8%	40.0%	35.3%	-6.8%	-0.1%	79.4K	3.0M	-29.5K	0.19	53.16	N/A	N/A	2	0	196	144
2014-02-19	$1028.60	$1040.00	29.4%	8.4%	33.5%	42.0%	29.5%	-4.1%	0.6%	73.0K	3.5M	-28.4K	0.05	63.45	N/A	N/A	20	1	195	145
2014-02-20	$1013.20	$1020.00	28.4%	8.1%	33.8%	38.4%	28.9%	-7.4%	0.7%	120.5K	2.9M	-27.4K	0.12	56.37	N/A	N/A	8	1	205	135
2014-02-21	$1026.00	$1020.00	28.3%	8.1%	33.1%	38.1%	28.5%	-5.7%	0.8%	175.0K	2.7M	-26.7K	0.05	60.53	N/A	N/A	13	1	199	135
2014-02-24	$993.00	$1020.00	26.9%	7.7%	31.1%	33.4%	29.2%	-4.0%	1.6%	17.9K	3.5M	-24.9K	0.17	56.78	N/A	N/A	17	3	146	111
2014-02-25	$993.80	$1020.00	28.2%	8.1%	30.9%	37.9%	30.0%	-6.4%	0.7%	15.6K	3.3M	-25.7K	0.02	59.57	N/A	N/A	23	1	146	114
2014-02-26	$1005.40	$1020.00	27.9%	8.0%	31.1%	37.0%	28.3%	-3.3%	1.3%	42.5K	3.0M	-27.0K	0.02	63.61	N/A	N/A	10	0	146	114
2014-02-27	$1005.00	$980.00	28.0%	8.0%	30.6%	37.0%	25.3%	-5.8%	0.8%	76.1K	2.4M	-27.5K	0.02	57.74	N/A	N/A	11	0	152	115
2014-02-28	$993.80	$980.00	28.3%	8.1%	30.7%	38.2%	24.2%	-5.3%	1.4%	67.4K	3.0M	-26.3K	0.01	59.12	N/A	N/A	28	0	156	115