DAVE Options History — November 2007

In November 2007, DAVE traded between $432.64 and $536.64. ATM implied volatility averaged 42.3%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.2% (HV 20d: 40.1%). Max pain ranged from $480.00 to $640.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.02.

Notable Days

2007-11-13: Highest Volume — 3 contracts
2007-11-30: Largest IV drop — 22.4% change
2007-11-12: Highest IV Rank — 19.0%
2007-11-02: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$474.13	$432.64	$536.64	$536.64	$440.96
Max Pain	$571.43	$480.00	$640.00	$480.00	$480.00
ATM IV	42.3%	32.6%	49.3%	44.9%	32.6%
Expected Move	11.4%	9.4%	13.4%	12.9%	9.4%
HV 20d	40.1%	32.6%	45.0%	38.3%	44.0%
HV 60d	41.6%	39.9%	43.8%	40.9%	40.6%
IV Rank	15.1%	9.6%	19.0%	16.5%	9.6%
IV Percentile	87.9%	54.8%	95.9%	94.8%	54.8%
Term Structure	0.3%	-7.1%	4.0%	-7.1%	1.5%
VWIV	39.1%	31.3%	44.9%	44.9%	42.2%
Skew 25d	3.2%	-12.5%	12.4%	3.9%	3.0%
Skew 10d	8.0%	-9.9%	14.5%	10.3%	8.3%
Call IV 25d	35.9%	27.4%	45.0%	34.8%	37.7%
Put IV 25d	39.1%	31.5%	42.1%	38.7%	40.7%
Bid-Ask Spread %	72.90	35.25	98.82	86.82	66.25
Gamma HHI	0.35	0.27	0.41	0.37	0.29
Net GEX	3.2K	-332	8.8K	8.8K	-265
Net DEX	-7.7K	-151.2K	80.0K	-151.2K	76.1K
Net VEX	-714	-889	-532	-889	-721
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.14	0.00	0.00
Total Volume	0.429	0	3	0	1
Total OI	17.857	16	21	16	21

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
2007-11-01	$536.64	$480.00	44.9%	12.9%	38.3%	16.5%	44.9%	3.9%	-7.1%	8.8K	-151.2K	-889	0.00	86.82	N/A	N/A	0	0	14	2
2007-11-02	$511.36	$480.00	46.8%	13.4%	42.3%	17.6%	31.3%	8.2%	-5.3%	6.6K	-87.9K	-755	0.14	93.24	N/A	N/A	0	0	14	2
2007-11-05	$523.84	$640.00	45.4%	10.9%	34.1%	16.8%	0.0%	9.8%	-0.8%	7.9K	-113.2K	-790	0.00	76.94	N/A	N/A	0	0	14	2
2007-11-06	$515.52	$640.00	40.1%	11.2%	32.8%	13.8%	0.0%	7.7%	1.2%	7.1K	-95.2K	-726	0.00	77.71	N/A	N/A	0	0	14	2
2007-11-07	$509.44	$640.00	48.8%	11.4%	32.6%	18.8%	0.0%	6.8%	0.1%	6.5K	-80.9K	-686	0.00	77.29	N/A	N/A	0	0	14	2
2007-11-08	$520.96	$640.00	42.6%	10.6%	33.9%	15.2%	0.0%	9.7%	1.3%	7.2K	-99.8K	-774	0.00	80.28	N/A	N/A	0	0	14	2
2007-11-09	$498.56	$640.00	45.3%	11.3%	36.5%	16.8%	0.0%	4.2%	0.8%	5.1K	-50.5K	-624	0.00	83.55	N/A	N/A	0	0	14	2
2007-11-12	$475.52	$640.00	49.3%	11.2%	38.7%	19.0%	0.0%	12.4%	0.6%	3.6K	-9.8K	-532	0.00	90.20	N/A	N/A	0	0	14	2
2007-11-13	$480.64	$640.00	47.6%	11.3%	39.2%	18.1%	0.0%	-2.6%	0.5%	3.9K	-26.7K	-538	0.00	96.05	N/A	N/A	0	3	14	2
2007-11-14	$468.16	$640.00	46.6%	11.5%	39.9%	17.5%	0.0%	-11.6%	-0.7%	1.5K	29.0K	-746	0.00	96.80	N/A	N/A	0	0	14	5
2007-11-15	$466.24	$640.00	39.0%	11.2%	39.7%	13.2%	0.0%	-12.5%	0.8%	1.5K	38.0K	-720	0.00	96.18	N/A	N/A	0	1	14	5
2007-11-16	$454.72	$640.00	38.5%	11.0%	40.2%	12.9%	0.0%	-6.3%	1.7%	468	60.1K	-659	0.00	98.82	N/A	N/A	0	0	14	5
2007-11-19	$432.64	$640.00	39.6%	11.4%	42.3%	13.5%	0.0%	3.1%	1.6%	-111	48.6K	-616	0.00	49.14	N/A	N/A	3	0	12	4
2007-11-20	$448.00	$640.00	38.1%	10.9%	44.3%	12.7%	38.1%	4.6%	4.0%	1.7K	23.8K	-744	0.00	47.95	N/A	N/A	0	0	15	4
2007-11-21	$446.72	$480.00	38.3%	11.0%	42.5%	12.8%	0.0%	4.0%	1.6%	2.0K	22.7K	-728	0.00	35.25	N/A	N/A	0	0	15	4
2007-11-23	$455.68	$480.00	38.2%	10.9%	43.6%	12.7%	0.0%	8.1%	3.4%	2.4K	15.4K	-805	0.00	56.11	N/A	N/A	0	0	15	4
2007-11-26	$440.96	$480.00	42.2%	12.1%	44.6%	15.0%	42.2%	3.4%	-0.7%	1.2K	38.4K	-707	0.00	51.16	N/A	N/A	0	1	15	4
2007-11-27	$439.04	$480.00	42.6%	12.2%	44.5%	15.2%	0.0%	3.0%	-0.8%	6	71.3K	-740	0.00	56.28	N/A	N/A	0	0	15	5
2007-11-28	$452.48	$480.00	40.4%	11.6%	45.0%	14.0%	0.0%	4.4%	1.9%	672	51.1K	-790	0.00	58.35	N/A	N/A	0	0	15	5
2007-11-29	$438.72	$480.00	42.1%	12.1%	43.6%	14.9%	0.0%	2.9%	1.8%	-332	80.0K	-714	0.00	56.64	N/A	N/A	0	0	15	6
2007-11-30	$440.96	$480.00	32.6%	9.4%	44.0%	9.6%	0.0%	3.0%	1.5%	-265	76.1K	-721	0.00	66.25	N/A	N/A	1	0	15	6