DAVE Options History — December 2007

In December 2007, DAVE traded between $367.04 and $461.44. ATM implied volatility averaged 40.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 11.6% (HV 20d: 52.0%). Max pain ranged from $480.00 to $480.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2007-12-24: Highest Volume — 2 contracts
2007-12-24: Largest IV spike — 83.2% change
2007-12-24: Highest IV Rank — 32.9%
2007-12-24: Largest Expected Move — 21.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$423.97	$367.04	$461.44	$436.16	$433.92
Max Pain	$480.00	$480.00	$480.00	$480.00	$480.00
ATM IV	40.4%	28.9%	73.7%	29.7%	44.5%
Expected Move	11.8%	8.3%	21.1%	8.5%	12.8%
HV 20d	52.0%	40.0%	69.5%	41.6%	69.5%
HV 60d	45.6%	40.6%	52.2%	40.6%	52.2%
IV Rank	14.0%	7.4%	32.9%	7.9%	16.3%
IV Percentile	76.3%	33.8%	96.7%	36.4%	90.8%
Term Structure	3.3%	-4.7%	23.8%	13.9%	-3.2%
VWIV	50.9%	38.5%	88.8%	40.1%	44.6%
Skew 25d	2.9%	-12.0%	12.5%	2.0%	12.5%
Skew 10d	6.3%	-3.6%	19.1%	8.0%	13.7%
Call IV 25d	40.0%	30.2%	108.6%	40.0%	31.5%
Put IV 25d	42.9%	30.8%	96.5%	41.9%	44.1%
Bid-Ask Spread %	86.86	39.28	136.09	75.76	46.76
Gamma HHI	0.42	0.32	0.79	0.36	0.42
Net GEX	-228	-1.9K	1.3K	134	-803
Net DEX	65.0K	11.3K	104.5K	84.8K	55.0K
Net VEX	-593	-783	-373	-691	-574
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.00	2.50	0.00	0.83
Total Volume	0.1	0	2	0	0
Total OI	20.6	18	22	22	20

Daily Data (20 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
2007-12-03	$436.16	$480.00	29.7%	8.5%	41.6%	7.9%	0.0%	2.0%	13.9%	134	84.8K	-691	0.00	75.76	N/A	N/A	0	0	16	6
2007-12-04	$436.16	$480.00	29.1%	8.4%	40.0%	7.6%	0.0%	0.8%	14.0%	70	86.7K	-682	0.00	76.40	N/A	N/A	0	0	16	6
2007-12-05	$417.60	$480.00	40.1%	11.5%	41.7%	13.8%	40.1%	1.1%	1.9%	-560	104.3K	-600	0.00	62.41	N/A	N/A	0	0	16	6
2007-12-06	$434.56	$480.00	28.9%	8.3%	45.4%	7.4%	0.0%	1.8%	14.5%	374	60.5K	-636	0.00	75.90	N/A	N/A	0	0	16	5
2007-12-07	$452.16	$480.00	39.7%	12.0%	47.3%	13.6%	38.5%	-6.5%	-2.0%	966	32.0K	-757	2.50	98.97	N/A	N/A	0	0	16	5
2007-12-10	$461.44	$480.00	38.9%	12.1%	46.1%	13.1%	0.0%	-2.4%	-2.8%	1.3K	11.3K	-783	0.00	98.27	N/A	N/A	0	0	16	5
2007-12-11	$456.96	$480.00	34.8%	12.0%	43.3%	10.8%	0.0%	-4.5%	-2.2%	901	27.5K	-743	0.00	99.10	N/A	N/A	0	0	16	5
2007-12-12	$431.68	$480.00	40.3%	12.0%	47.1%	13.9%	0.0%	3.1%	-0.3%	67	67.3K	-615	0.00	99.70	N/A	N/A	0	0	16	5
2007-12-13	$425.60	$480.00	40.8%	11.7%	46.6%	14.2%	0.0%	10.5%	1.4%	-48	81.5K	-564	0.00	101.57	N/A	N/A	0	0	16	5
2007-12-14	$423.68	$480.00	39.4%	11.3%	46.6%	13.4%	0.0%	-1.4%	2.1%	-80	80.0K	-560	0.00	101.71	N/A	N/A	0	0	16	5
2007-12-17	$401.60	$480.00	41.7%	11.9%	49.3%	14.7%	0.0%	4.7%	0.7%	-774	104.5K	-482	0.00	99.81	N/A	N/A	0	0	16	5
2007-12-18	$400.96	$480.00	42.3%	12.1%	46.5%	15.0%	42.3%	4.8%	0.3%	-674	67.0K	-475	0.00	99.74	N/A	N/A	0	0	16	4
2007-12-19	$392.64	$480.00	41.2%	11.8%	44.6%	14.4%	0.0%	1.9%	1.1%	-1.0K	76.3K	-451	0.00	102.11	N/A	N/A	0	0	16	4
2007-12-20	$367.04	$480.00	30.3%	8.7%	49.5%	8.3%	0.0%	1.5%	10.3%	-1.9K	93.1K	-373	0.00	108.72	N/A	N/A	0	0	16	4
2007-12-21	$413.76	$480.00	40.2%	11.5%	67.0%	13.9%	0.0%	7.1%	2.2%	-1.1K	62.1K	-488	0.30	128.56	N/A	N/A	0	0	16	4
2007-12-24	$425.60	$480.00	73.7%	21.1%	67.1%	32.9%	88.8%	-12.0%	23.8%	617	18.1K	-661	0.83	136.09	N/A	N/A	1	1	14	4
2007-12-26	$427.52	$480.00	43.2%	12.4%	67.2%	15.6%	0.0%	11.2%	-1.6%	-405	51.8K	-579	0.00	43.14	N/A	N/A	0	0	15	5
2007-12-27	$428.48	$480.00	42.9%	12.3%	66.2%	15.4%	0.0%	11.9%	-2.6%	-734	59.3K	-588	0.00	43.22	N/A	N/A	0	0	15	5
2007-12-28	$411.84	$480.00	45.9%	13.1%	66.7%	17.1%	0.0%	10.2%	-4.7%	-998	76.5K	-552	0.00	39.28	N/A	N/A	0	0	15	5
2007-12-31	$433.92	$480.00	44.5%	12.8%	69.5%	16.3%	44.6%	12.5%	-3.2%	-803	55.0K	-574	0.00	46.76	N/A	N/A	0	0	15	5