DAVE Options History — October 2007

In October 2007, DAVE traded between $501.76 and $563.52. ATM implied volatility averaged 43.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.2% (HV 20d: 43.6%). Max pain ranged from $480.00 to $560.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2007-10-31: Highest Volume — 3 contracts
2007-10-02: Largest IV drop — 71.1% change
2007-10-01: Highest IV Rank — 66.5%
2007-10-01: Largest Expected Move — 38.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$529.29	$501.76	$563.52	$501.76	$541.76
Max Pain	$493.91	$480.00	$560.00	$560.00	$480.00
ATM IV	43.5%	34.9%	133.0%	133.0%	44.7%
Expected Move	12.4%	10.0%	38.1%	38.1%	12.8%
HV 20d	43.6%	36.5%	49.3%	39.2%	38.3%
HV 60d	41.4%	39.4%	43.1%	39.4%	41.1%
IV Rank	15.7%	10.8%	66.5%	66.5%	16.4%
IV Percentile	89.3%	75.4%	97.9%	97.9%	94.3%
Term Structure	-3.3%	-24.0%	3.5%	-24.0%	-6.9%
VWIV	40.1%	35.7%	45.1%	38.5%	40.9%
Skew 25d	11.9%	0.3%	149.3%	149.3%	5.3%
Skew 10d	14.0%	-2.0%	124.9%	124.9%	11.9%
Call IV 25d	33.1%	27.3%	38.9%	32.8%	33.8%
Put IV 25d	45.0%	36.8%	182.1%	182.1%	39.1%
Bid-Ask Spread %	75.33	50.50	134.46	134.46	85.28
Gamma HHI	0.30	0.25	0.36	0.25	0.36
Net GEX	5.5K	2.9K	7.7K	4.5K	7.7K
Net DEX	-74.9K	-137.2K	4.1K	-86.9K	-137.2K
Net VEX	-705	-892	-478	-808	-781
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.00	10.00	0.00	0.21
Total Volume	0.348	0	3	0	3
Total OI	13.826	11	16	14	12

Daily Data (23 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
2007-10-01	$501.76	$560.00	133.0%	38.1%	39.2%	66.5%	0.0%	149.3%	-24.0%	4.5K	-86.9K	-808	0.00	134.46	N/A	N/A	0	0	12	2
2007-10-02	$507.20	$560.00	38.5%	11.0%	39.4%	12.9%	38.5%	10.8%	-2.8%	3.8K	-12.1K	-530	0.00	50.50	N/A	N/A	0	0	12	2
2007-10-03	$502.72	$560.00	37.1%	10.6%	39.4%	12.1%	0.0%	7.0%	-1.2%	2.9K	4.1K	-478	0.00	52.64	N/A	N/A	0	0	12	2
2007-10-04	$511.04	$560.00	39.5%	11.3%	38.7%	13.5%	0.0%	10.1%	-2.9%	3.2K	-8.3K	-521	0.00	57.04	N/A	N/A	0	0	12	2
2007-10-05	$511.04	$480.00	37.5%	10.6%	38.7%	12.4%	0.0%	8.4%	3.5%	3.3K	-11.6K	-530	0.00	69.68	N/A	N/A	0	0	12	2
2007-10-08	$549.12	$480.00	37.6%	10.2%	47.6%	12.4%	35.7%	2.0%	0.6%	5.1K	-93.8K	-690	0.44	84.45	N/A	N/A	0	0	12	2
2007-10-09	$563.52	$480.00	38.2%	11.3%	48.6%	12.7%	38.5%	5.1%	-3.2%	5.7K	-113.5K	-747	0.05	69.94	N/A	N/A	1	0	12	2
2007-10-10	$554.88	$480.00	38.7%	10.2%	48.9%	13.0%	0.0%	1.6%	0.6%	6.6K	-121.3K	-884	0.00	77.42	N/A	N/A	0	0	13	2
2007-10-11	$550.72	$480.00	34.9%	10.0%	48.7%	10.8%	0.0%	0.4%	1.8%	6.1K	-97.4K	-839	0.00	92.66	N/A	N/A	0	0	13	2
2007-10-12	$556.16	$480.00	35.4%	10.1%	48.8%	11.1%	0.0%	2.4%	1.2%	6.5K	-117.6K	-892	0.00	92.23	N/A	N/A	1	0	14	2
2007-10-15	$541.12	$480.00	36.6%	10.5%	49.3%	11.8%	36.7%	2.1%	-1.3%	5.6K	-67.6K	-759	0.18	74.24	N/A	N/A	0	0	13	2
2007-10-16	$535.68	$480.00	37.1%	10.6%	47.9%	12.1%	0.0%	3.5%	-2.3%	5.8K	-55.1K	-740	0.00	77.30	N/A	N/A	0	0	14	2
2007-10-17	$531.20	$480.00	37.3%	10.7%	47.8%	12.2%	0.0%	0.8%	-1.6%	5.6K	-43.6K	-709	0.00	84.93	N/A	N/A	0	0	14	2
2007-10-18	$532.80	$480.00	36.8%	10.6%	47.6%	11.9%	0.0%	2.3%	-1.2%	5.7K	-43.1K	-713	0.00	77.60	N/A	N/A	0	0	14	2
2007-10-19	$524.48	$480.00	39.1%	11.2%	46.3%	13.2%	0.0%	0.7%	-3.0%	5.4K	-25.3K	-636	10.00	80.54	N/A	N/A	0	0	14	2
2007-10-22	$530.24	$480.00	36.1%	10.3%	46.5%	11.5%	37.2%	3.3%	-0.4%	5.5K	-86.2K	-644	0.67	52.79	N/A	N/A	1	1	10	1
2007-10-23	$513.60	$480.00	38.6%	11.1%	46.0%	13.0%	0.0%	0.3%	-0.5%	5.9K	-88.2K	-694	0.00	59.76	N/A	N/A	0	0	11	1
2007-10-24	$527.68	$480.00	44.4%	12.7%	43.9%	16.2%	44.4%	12.2%	-6.2%	6.2K	-105.9K	-739	0.00	70.26	N/A	N/A	0	0	11	1
2007-10-25	$526.40	$480.00	44.0%	12.6%	39.2%	16.0%	0.0%	12.8%	-5.9%	6.7K	-113.7K	-756	0.00	70.31	N/A	N/A	0	0	11	1
2007-10-26	$520.64	$480.00	45.7%	13.1%	38.5%	17.0%	45.1%	12.2%	-8.4%	6.5K	-102.8K	-719	0.00	71.90	N/A	N/A	0	0	11	1
2007-10-29	$513.28	$480.00	43.8%	12.5%	36.5%	15.9%	0.0%	10.5%	-6.3%	6.1K	-88.6K	-684	0.00	66.97	N/A	N/A	0	0	11	1
2007-10-30	$526.72	$480.00	44.8%	12.8%	37.4%	16.5%	43.9%	11.3%	-5.8%	6.6K	-106.5K	-722	0.00	79.78	N/A	N/A	1	0	11	1
2007-10-31	$541.76	$480.00	44.7%	12.8%	38.3%	16.4%	40.9%	5.3%	-6.9%	7.7K	-137.2K	-781	0.21	85.28	N/A	N/A	2	1	11	1