DAVE Options History — June 2007

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

In June 2007, DAVE traded between $675.20 and $716.16. ATM implied volatility averaged 25.1%. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.6% (HV 20d: 29.7%). Max pain ranged from $640.00 to $640.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2007-06-25: Highest Volume — 4 contracts
2007-06-06: Largest IV spike — 39.9% change
2007-06-29: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$702.90	$675.20	$716.16	$698.56	$712.00
Max Pain	$640.00	$640.00	$640.00	$640.00	$640.00
ATM IV	25.1%	17.4%	28.8%	22.5%	28.8%
Expected Move	7.8%	6.5%	8.3%	6.5%	8.3%
HV 20d	29.7%	26.3%	35.2%	31.9%	26.3%
HV 60d	30.5%	29.4%	31.0%	29.4%	29.8%
Term Structure	0.6%	-0.7%	2.9%	2.9%	0.1%
VWIV	27.5%	26.4%	28.4%	26.4%	27.8%
Skew 25d	0.6%	-6.2%	8.2%	5.0%	-0.3%
Skew 10d	2.7%	-5.0%	12.3%	8.5%	0.1%
Call IV 25d	23.4%	19.3%	28.3%	21.4%	24.2%
Put IV 25d	24.0%	20.4%	28.3%	26.4%	23.9%
Bid-Ask Spread %	45.56	15.73	62.71	26.50	15.73
Gamma HHI	0.47	0.40	0.68	0.68	0.48
Net GEX	5.8K	715	10.0K	940	10.0K
Net DEX	-232.4K	-275.3K	-163.2K	-182.6K	-271.4K
Net VEX	-896	-1.6K	-358	-430	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.82	0.00	0.00
Total Volume	0.476	0	4	1	0
Total OI	10.619	5	15	5	15

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
2007-06-01	$698.56	$640.00	22.5%	6.5%	31.9%	0.0%	0.0%	0.0%	2.9%	940	-182.6K	-430	0.00	26.50	N/A	N/A	0	1	3	2
2007-06-04	$716.16	$640.00	24.5%	7.6%	32.2%	0.0%	26.4%	0.0%	-0.7%	715	-200.6K	-358	0.00	45.63	N/A	N/A	1	0	3	2
2007-06-05	$693.76	$640.00	17.4%	7.3%	34.6%	0.0%	0.0%	5.0%	0.8%	2.4K	-211.8K	-595	0.00	26.91	N/A	N/A	0	0	4	2
2007-06-06	$712.96	$640.00	24.3%	7.5%	35.2%	0.0%	0.0%	8.2%	-0.1%	1.9K	-223.8K	-596	0.00	52.80	N/A	N/A	0	0	4	3
2007-06-07	$711.04	$640.00	24.5%	8.1%	33.6%	0.0%	28.4%	-0.5%	-0.7%	1.8K	-218.5K	-612	0.00	43.98	N/A	N/A	3	0	4	3
2007-06-08	$696.96	$640.00	17.9%	7.9%	33.4%	0.0%	0.0%	5.0%	-0.1%	5.7K	-227.7K	-823	0.00	48.75	N/A	N/A	0	0	8	3
2007-06-11	$701.12	$640.00	18.4%	7.8%	33.4%	0.0%	0.0%	5.2%	-0.2%	6.1K	-240.5K	-798	0.00	53.59	N/A	N/A	0	0	8	3
2007-06-12	$705.60	$640.00	19.2%	8.0%	33.2%	0.0%	0.0%	6.3%	-0.5%	6.8K	-267.2K	-830	0.00	53.33	N/A	N/A	0	0	8	3
2007-06-13	$703.04	$640.00	26.3%	8.0%	27.9%	0.0%	0.0%	4.5%	-0.5%	6.3K	-254.7K	-844	0.00	55.51	N/A	N/A	0	0	8	3
2007-06-14	$709.44	$640.00	27.5%	7.9%	27.5%	0.0%	0.0%	-0.7%	-0.5%	7.2K	-275.3K	-816	0.00	62.71	N/A	N/A	0	0	8	3
2007-06-15	$708.16	$640.00	27.8%	8.0%	27.5%	0.0%	0.0%	-1.3%	-0.7%	7.0K	-272.0K	-791	0.00	62.30	N/A	N/A	0	0	8	3
2007-06-18	$712.00	$640.00	27.8%	8.0%	26.7%	0.0%	27.8%	-0.5%	0.9%	7.5K	-240.8K	-778	0.00	61.63	N/A	N/A	0	0	8	3
2007-06-19	$705.92	$640.00	27.8%	8.0%	27.0%	0.0%	0.0%	-2.1%	1.0%	7.5K	-237.2K	-818	0.00	42.45	N/A	N/A	0	0	8	3
2007-06-20	$707.52	$640.00	27.5%	7.9%	26.7%	0.0%	0.0%	0.0%	1.5%	8.1K	-246.3K	-805	0.00	42.33	N/A	N/A	0	0	8	3
2007-06-21	$708.48	$640.00	27.0%	7.7%	26.7%	0.0%	0.0%	-0.7%	1.8%	7.8K	-243.8K	-800	0.00	40.17	N/A	N/A	0	0	8	3
2007-06-22	$697.28	$640.00	28.2%	8.1%	27.7%	0.0%	0.0%	-3.3%	0.6%	7.1K	-230.1K	-858	0.00	43.64	N/A	N/A	1	0	8	3
2007-06-25	$696.00	$640.00	27.9%	8.0%	27.7%	0.0%	0.0%	-4.4%	1.4%	8.2K	-248.8K	-1.0K	0.82	42.86	N/A	N/A	2	2	9	3
2007-06-26	$675.20	$640.00	28.6%	8.2%	30.3%	0.0%	0.0%	1.7%	1.5%	5.1K	-163.2K	-1.5K	0.00	40.86	N/A	N/A	0	0	11	4
2007-06-27	$690.88	$640.00	26.9%	7.7%	26.9%	0.0%	0.0%	-6.2%	2.1%	6.4K	-204.2K	-1.6K	0.00	48.34	N/A	N/A	0	0	11	4
2007-06-28	$698.88	$640.00	27.0%	7.8%	26.8%	0.0%	0.0%	-4.9%	1.9%	7.0K	-219.9K	-1.5K	0.00	46.63	N/A	N/A	0	0	11	4
2007-06-29	$712.00	$640.00	28.8%	8.3%	26.3%	0.0%	0.0%	-0.3%	0.1%	10.0K	-271.4K	-1.6K	0.00	15.73	N/A	N/A	0	0	11	4