DAVE Options History — January 2008

In January 2008, DAVE traded between $303.68 and $408.32. ATM implied volatility averaged 47.6%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 21.6% (HV 20d: 69.2%). Max pain ranged from $320.00 to $480.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2008-01-24: Highest Volume — 2 contracts
2008-01-08: Largest IV drop — 30.1% change
2008-01-28: Highest IV Rank — 24.7%
2008-01-28: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$349.01	$303.68	$408.32	$403.20	$359.04
Max Pain	$384.00	$320.00	$480.00	$480.00	$320.00
ATM IV	47.6%	34.6%	59.4%	46.2%	42.1%
Expected Move	13.8%	12.1%	17.0%	13.2%	12.1%
HV 20d	69.2%	57.6%	74.9%	74.1%	69.4%
HV 60d	55.1%	51.9%	62.4%	54.1%	62.3%
IV Rank	18.1%	10.7%	24.7%	17.2%	14.9%
IV Percentile	90.3%	58.7%	96.0%	93.6%	79.4%
Term Structure	-1.9%	-6.8%	12.0%	-3.6%	12.0%
VWIV	59.4%	59.4%	59.4%	59.4%	59.4%
Skew 25d	5.7%	-7.3%	17.0%	5.3%	8.5%
Skew 10d	10.0%	0.2%	22.6%	8.2%	8.0%
Call IV 25d	41.5%	34.6%	54.8%	41.2%	36.5%
Put IV 25d	47.1%	36.2%	57.6%	46.5%	45.0%
Bid-Ask Spread %	71.38	19.80	106.67	19.80	67.00
Gamma HHI	0.72	0.42	0.93	0.66	0.42
Net GEX	-1.3K	-1.9K	37	-1.8K	-259
Net DEX	93.8K	6.3K	130.0K	99.6K	6.3K
Net VEX	-334	-511	-149	-504	-448
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.238	0	2	0	1
Total OI	15.857	7	21	21	10

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-01-02	$403.20	$480.00	46.2%	13.2%	74.1%	17.2%	0.0%	5.3%	-3.6%	-1.8K	99.6K	-504	19.80	N/A	N/A	0	0	15	6
2008-01-03	$408.32	$480.00	46.4%	13.3%	74.4%	17.4%	0.0%	8.2%	-4.1%	-1.7K	92.9K	-511	20.68	N/A	N/A	0	0	15	6
2008-01-04	$390.08	$0.00	45.9%	12.2%	74.5%	17.1%	0.0%	1.5%	-0.3%	-1.8K	112.7K	-461	99.15	N/A	N/A	0	0	15	6
2008-01-07	$380.80	$0.00	49.5%	13.2%	73.0%	19.2%	0.0%	-1.0%	-2.2%	-1.8K	119.6K	-427	98.83	N/A	N/A	0	0	15	6
2008-01-08	$372.48	$0.00	34.6%	12.5%	71.1%	10.7%	0.0%	-5.6%	0.2%	-1.8K	124.8K	-383	102.06	N/A	N/A	0	0	15	5
2008-01-09	$364.48	$0.00	37.7%	12.7%	70.3%	12.5%	0.0%	-7.3%	-0.4%	-1.8K	130.0K	-353	103.80	N/A	N/A	0	0	15	5
2008-01-10	$369.60	$0.00	44.1%	12.6%	70.9%	16.1%	0.0%	-5.9%	0.5%	-1.8K	124.4K	-378	103.87	N/A	N/A	0	1	15	5
2008-01-11	$348.48	$0.00	47.5%	13.6%	71.1%	18.0%	0.0%	13.5%	-3.8%	-1.8K	118.1K	-290	103.96	N/A	N/A	0	0	15	5
2008-01-14	$348.48	$0.00	45.5%	13.1%	71.2%	16.9%	0.0%	10.1%	-3.3%	-1.9K	118.5K	-289	106.67	N/A	N/A	0	0	15	5
2008-01-15	$339.20	$0.00	45.7%	13.1%	71.4%	17.0%	0.0%	10.5%	-2.7%	-1.8K	122.0K	-258	104.50	N/A	N/A	0	0	15	5
2008-01-16	$329.28	$0.00	47.1%	13.5%	70.0%	17.8%	0.0%	10.3%	-3.9%	-1.6K	111.4K	-216	103.11	N/A	N/A	0	0	15	4
2008-01-17	$324.80	$0.00	47.1%	13.5%	69.9%	17.8%	0.0%	8.9%	-3.0%	-1.5K	110.7K	-216	102.73	N/A	N/A	0	0	15	4
2008-01-18	$323.84	$0.00	47.0%	13.5%	69.9%	17.7%	0.0%	8.3%	-3.3%	-1.5K	111.2K	-214	101.96	N/A	N/A	0	0	15	4
2008-01-22	$303.68	$0.00	45.1%	12.9%	69.5%	16.7%	0.0%	-0.2%	1.1%	-1.1K	105.5K	-149	27.71	N/A	N/A	0	0	3	4
2008-01-23	$326.40	$0.00	50.2%	14.4%	59.0%	19.6%	0.0%	7.4%	0.4%	-1.5K	101.3K	-215	49.45	N/A	N/A	1	0	3	4
2008-01-24	$314.88	$0.00	52.6%	15.1%	57.6%	20.9%	0.0%	5.1%	-3.5%	-980	88.0K	-241	23.71	N/A	N/A	2	0	4	4
2008-01-25	$323.20	$0.00	50.3%	14.4%	59.1%	19.6%	0.0%	8.9%	-0.1%	-199	58.0K	-353	24.84	N/A	N/A	0	0	6	4
2008-01-28	$307.52	$0.00	59.4%	17.0%	60.1%	24.7%	59.4%	0.3%	-6.8%	37	67.8K	-306	25.05	N/A	N/A	0	0	6	4
2008-01-29	$344.32	$320.00	57.5%	16.5%	74.9%	23.7%	0.0%	17.0%	-6.5%	-239	24.5K	-400	55.49	N/A	N/A	0	0	6	4
2008-01-30	$347.20	$320.00	58.0%	16.6%	71.7%	23.9%	0.0%	15.2%	-5.9%	-102	23.3K	-409	54.53	N/A	N/A	0	0	6	4
2008-01-31	$359.04	$320.00	42.1%	12.1%	69.4%	14.9%	0.0%	8.5%	12.0%	-259	6.3K	-448	67.00	N/A	N/A	1	0	6	4