DAVE Options History — February 2008

In February 2008, DAVE traded between $319.04 and $376.00. ATM implied volatility averaged 59.2%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 13.1% (HV 20d: 72.4%). Max pain ranged from $320.00 to $400.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.12.

Notable Days

2008-02-28: Highest Volume — 5 contracts
2008-02-20: Largest IV spike — 178.1% change
2008-02-20: Highest IV Rank — 79.7%
2008-02-22: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$343.42	$319.04	$376.00	$376.00	$324.80
Max Pain	$368.00	$320.00	$400.00	$320.00	$320.00
ATM IV	59.2%	45.3%	156.4%	49.5%	46.6%
Expected Move	15.5%	13.0%	19.3%	14.2%	13.4%
HV 20d	72.4%	62.9%	76.8%	71.6%	68.8%
HV 60d	65.2%	62.9%	69.6%	62.9%	69.6%
IV Rank	24.7%	16.8%	79.7%	19.1%	17.5%
IV Percentile	92.0%	79.0%	98.4%	93.3%	82.9%
Term Structure	-3.1%	-37.5%	9.0%	4.6%	-0.4%
VWIV	43.3%	34.8%	49.6%	49.6%	45.4%
Skew 25d	6.2%	-32.7%	43.3%	-1.2%	43.3%
Skew 10d	15.2%	-9.1%	77.5%	-1.7%	77.5%
Call IV 25d	56.8%	37.2%	197.5%	49.8%	51.0%
Put IV 25d	63.1%	45.6%	164.8%	48.6%	94.3%
Bid-Ask Spread %	100.10	46.81	176.35	52.55	100.83
Gamma HHI	0.40	0.26	0.46	0.37	0.46
Net GEX	172	-682	1.9K	32	1.9K
Net DEX	21.8K	-25.2K	73.8K	-23.4K	46.1K
Net VEX	-459	-583	-358	-514	-549
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.70	0.00	0.00
Total Volume	0.45	0	5	0	0
Total OI	11.95	11	18	11	18

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
2008-02-01	$376.00	$320.00	49.5%	14.2%	71.6%	19.1%	0.0%	-1.2%	4.6%	32	-23.4K	-514	0.00	52.55	N/A	N/A	0	0	7	4
2008-02-04	$351.68	$400.00	54.7%	15.5%	73.6%	22.1%	0.0%	4.1%	-1.8%	256	5.1K	-457	0.00	91.39	N/A	N/A	0	0	7	4
2008-02-05	$357.12	$400.00	45.8%	15.3%	73.6%	17.0%	0.0%	3.9%	-0.2%	139	43	-461	0.00	91.34	N/A	N/A	0	0	7	4
2008-02-06	$339.52	$400.00	57.8%	16.1%	75.2%	23.9%	0.0%	1.9%	-1.1%	472	23.1K	-416	0.00	93.88	N/A	N/A	0	0	7	4
2008-02-07	$343.68	$400.00	57.4%	15.6%	75.2%	23.6%	0.0%	4.2%	-0.3%	349	14.0K	-425	0.00	95.26	N/A	N/A	1	0	7	4
2008-02-08	$354.24	$400.00	51.1%	15.3%	75.9%	20.1%	0.0%	1.8%	-1.9%	231	10.0K	-479	0.00	92.90	N/A	N/A	0	0	7	4
2008-02-11	$355.20	$400.00	56.9%	15.8%	72.8%	23.3%	0.0%	7.0%	-1.4%	287	1.9K	-457	0.00	94.87	N/A	N/A	0	0	7	4
2008-02-12	$365.76	$400.00	57.3%	15.2%	73.5%	23.6%	0.0%	6.7%	-0.6%	199	-10.9K	-485	0.00	90.03	N/A	N/A	0	0	7	4
2008-02-13	$368.64	$400.00	54.3%	15.1%	72.7%	21.9%	0.0%	7.3%	0.9%	-85	-15.3K	-522	0.00	95.00	N/A	N/A	0	0	7	4
2008-02-14	$343.04	$400.00	53.8%	15.4%	76.8%	21.6%	0.0%	16.9%	1.0%	389	21.6K	-445	0.00	100.53	N/A	N/A	0	0	8	4
2008-02-15	$338.24	$400.00	54.9%	15.7%	76.8%	22.2%	0.0%	14.5%	1.5%	530	24.8K	-433	0.00	99.87	N/A	N/A	0	0	8	4
2008-02-19	$337.92	$400.00	56.2%	16.1%	76.8%	22.9%	0.0%	15.9%	0.4%	77	35.5K	-417	0.00	46.81	N/A	N/A	0	0	7	4
2008-02-20	$333.44	$400.00	156.4%	0.0%	72.9%	79.7%	0.0%	-32.7%	-37.5%	380	-25.2K	-583	0.00	176.35	N/A	N/A	0	1	7	4
2008-02-21	$338.24	$320.00	55.6%	16.0%	68.6%	22.6%	0.0%	1.6%	-13.5%	-682	38.0K	-466	0.00	133.33	N/A	N/A	0	0	7	5
2008-02-22	$319.04	$320.00	67.2%	19.3%	70.7%	29.2%	0.0%	7.5%	-17.2%	-196	73.8K	-358	0.00	142.26	N/A	N/A	1	0	7	5
2008-02-25	$326.08	$320.00	60.2%	17.3%	70.5%	25.2%	0.0%	12.5%	-4.4%	-281	60.1K	-438	0.00	112.99	N/A	N/A	0	0	8	5
2008-02-26	$322.24	$320.00	50.1%	14.4%	68.2%	19.5%	49.6%	13.2%	1.4%	-311	69.6K	-392	0.00	102.27	N/A	N/A	1	0	8	5
2008-02-27	$351.36	$320.00	53.4%	15.3%	62.9%	21.4%	34.8%	4.7%	9.0%	-336	26.7K	-480	0.70	88.53	N/A	N/A	0	0	8	5
2008-02-28	$322.24	$320.00	45.3%	13.0%	70.0%	16.8%	0.0%	-8.6%	-0.9%	102	61.4K	-412	0.00	100.98	N/A	N/A	5	0	8	5
2008-02-29	$324.80	$320.00	46.6%	13.4%	68.8%	17.5%	45.4%	43.3%	-0.4%	1.9K	46.1K	-549	0.00	100.83	N/A	N/A	0	0	13	5