DAVE Options History — May 2007

Name: DAVE Options Analytics - May 2007
Creator: Options Analysis Suite

In May 2007, DAVE traded between $606.72 and $682.24. ATM implied volatility averaged 26.4%. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 7.5% (HV 20d: 33.9%). Max pain ranged from $560.00 to $640.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2007-05-03: Highest Volume — 1 contracts
2007-05-30: Largest IV drop — 33.7% change
2007-05-02: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$636.83	$606.72	$682.24	$615.36	$682.24
Max Pain	$629.09	$560.00	$640.00	$560.00	$640.00
ATM IV	26.4%	15.7%	29.3%	27.2%	15.7%
Expected Move	7.6%	4.5%	8.3%	7.8%	4.5%
HV 20d	33.9%	28.0%	39.0%	31.1%	32.0%
HV 60d	27.3%	24.8%	29.1%	25.4%	29.1%
Term Structure	1.0%	-1.2%	10.2%	0.2%	8.9%
VWIV	27.1%	27.1%	27.1%	27.1%	27.1%
Bid-Ask Spread %	36.12	18.71	75.16	30.97	75.02
Gamma HHI	0.80	0.65	0.96	0.65	0.69
Net GEX	2.9K	1.1K	4.7K	4.3K	1.1K
Net DEX	-132.6K	-198.4K	-80.4K	-142.2K	-161.4K
Net VEX	-599	-683	-463	-624	-463
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.40	0.00	0.00
Total Volume	0.182	0	1	0	0
Total OI	5.318	5	6	5	5

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
2007-05-01	$615.36	$560.00	27.2%	7.8%	31.1%	0.0%	0.0%	0.0%	0.2%	4.3K	-142.2K	-624	0.00	30.97	N/A	N/A	0	0	4	1
2007-05-02	$618.88	$560.00	28.8%	8.3%	31.1%	0.0%	0.0%	0.0%	-1.2%	4.1K	-147.4K	-617	0.00	27.74	N/A	N/A	0	0	4	1
2007-05-03	$634.56	$560.00	27.5%	7.9%	31.7%	0.0%	0.0%	0.0%	0.1%	3.6K	-167.3K	-591	0.00	23.83	N/A	N/A	1	0	4	1
2007-05-04	$647.36	$640.00	28.0%	8.0%	32.1%	0.0%	0.0%	0.0%	-0.3%	4.7K	-198.4K	-633	0.00	54.59	N/A	N/A	1	0	5	1
2007-05-07	$642.88	$640.00	27.4%	8.0%	32.4%	0.0%	0.0%	0.0%	-0.1%	4.2K	-180.2K	-545	0.00	18.71	N/A	N/A	0	0	4	1
2007-05-08	$655.04	$640.00	28.3%	8.1%	32.7%	0.0%	0.0%	0.0%	-0.0%	4.1K	-194.8K	-521	0.00	35.16	N/A	N/A	0	0	4	1
2007-05-09	$639.04	$640.00	29.3%	7.9%	34.4%	0.0%	0.0%	0.0%	-0.1%	4.3K	-177.8K	-551	0.00	53.56	N/A	N/A	0	0	4	1
2007-05-10	$624.96	$640.00	28.1%	8.1%	35.6%	0.0%	0.0%	0.0%	0.1%	4.3K	-158.2K	-566	0.00	19.23	N/A	N/A	0	1	4	1
2007-05-11	$628.80	$640.00	27.7%	8.0%	35.5%	0.0%	0.0%	0.0%	0.1%	2.2K	-131.1K	-656	0.00	49.60	N/A	N/A	0	0	4	2
2007-05-14	$638.08	$640.00	27.1%	7.8%	35.5%	0.0%	0.0%	0.0%	0.7%	2.4K	-145.2K	-634	0.40	18.98	N/A	N/A	0	0	4	2
2007-05-15	$610.56	$640.00	27.3%	7.8%	39.0%	0.0%	0.0%	0.0%	1.0%	2.4K	-107.5K	-683	0.00	53.67	N/A	N/A	0	0	4	2
2007-05-16	$606.72	$640.00	26.4%	7.6%	37.9%	0.0%	0.0%	0.0%	0.4%	2.3K	-99.8K	-642	0.00	51.94	N/A	N/A	0	0	4	2
2007-05-17	$616.64	$640.00	27.4%	7.9%	38.2%	0.0%	0.0%	0.0%	0.2%	2.1K	-112.2K	-641	0.00	51.41	N/A	N/A	0	0	4	2
2007-05-18	$632.00	$640.00	27.1%	7.8%	38.3%	0.0%	0.0%	0.0%	0.5%	2.3K	-134.9K	-639	0.00	22.10	N/A	N/A	0	0	4	2
2007-05-21	$640.64	$640.00	28.0%	8.0%	38.2%	0.0%	0.0%	0.0%	0.1%	2.1K	-85.6K	-627	0.00	20.49	N/A	N/A	0	0	3	2
2007-05-22	$636.48	$640.00	26.3%	7.5%	36.9%	0.0%	27.1%	0.0%	-0.2%	2.2K	-80.4K	-622	0.00	21.64	N/A	N/A	1	0	3	2
2007-05-23	$640.00	$640.00	27.0%	7.7%	36.9%	0.0%	0.0%	0.0%	0.2%	2.2K	-82.7K	-624	0.00	21.60	N/A	N/A	0	0	3	2
2007-05-24	$638.40	$640.00	26.0%	7.5%	28.4%	0.0%	0.0%	0.0%	0.9%	2.3K	-83.2K	-617	0.00	22.33	N/A	N/A	0	0	3	2
2007-05-25	$643.20	$640.00	26.5%	7.6%	28.1%	0.0%	0.0%	0.0%	-0.0%	2.3K	-91.9K	-610	0.00	22.66	N/A	N/A	0	0	3	2
2007-05-29	$644.16	$640.00	26.5%	7.6%	28.0%	0.0%	0.0%	0.0%	0.2%	2.5K	-91.0K	-583	0.00	24.33	N/A	N/A	0	0	3	2
2007-05-30	$674.24	$640.00	17.6%	5.0%	31.9%	0.0%	0.0%	0.0%	10.2%	1.5K	-144.3K	-490	0.00	75.16	N/A	N/A	0	0	3	2
2007-05-31	$682.24	$640.00	15.7%	4.5%	32.0%	0.0%	0.0%	0.0%	8.9%	1.1K	-161.4K	-463	0.00	75.02	N/A	N/A	0	0	3	2