DAVE Options History — March 2008

In March 2008, DAVE traded between $283.20 and $331.84. ATM implied volatility averaged 48.3%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 20.1% (HV 20d: 68.4%). Max pain ranged from $320.00 to $400.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2008-03-19: Highest Volume — 3 contracts
2008-03-18: Largest IV spike — 39.5% change
2008-03-18: Highest IV Rank — 27.9%
2008-03-18: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$307.47	$283.20	$331.84	$326.08	$305.28
Max Pain	$384.00	$320.00	$400.00	$320.00	$400.00
ATM IV	48.3%	39.4%	54.9%	46.5%	53.8%
Expected Move	13.9%	11.3%	15.8%	13.3%	15.4%
HV 20d	68.4%	60.2%	74.9%	66.2%	60.2%
HV 60d	69.3%	65.2%	72.0%	69.6%	65.2%
IV Rank	22.5%	16.8%	27.9%	17.4%	27.1%
IV Percentile	83.7%	62.3%	92.9%	82.5%	90.9%
Term Structure	-0.6%	-7.6%	4.4%	2.0%	-1.7%
VWIV	47.9%	45.9%	49.8%	45.9%	49.8%
Skew 25d	5.4%	-2.7%	14.0%	7.1%	2.9%
Skew 10d	7.6%	-7.8%	29.3%	17.3%	3.7%
Call IV 25d	52.8%	42.5%	57.8%	47.3%	55.9%
Put IV 25d	58.2%	43.8%	68.2%	54.4%	58.8%
Bid-Ask Spread %	92.54	63.86	107.32	104.63	68.65
Gamma HHI	0.53	0.42	0.66	0.44	0.57
Net GEX	2.0K	1.5K	2.7K	2.0K	2.6K
Net DEX	68.6K	33.7K	108.0K	33.7K	74.7K
Net VEX	-409	-557	-199	-557	-434
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	1.11	0.00	1.11
Total Volume	0.2	0	3	0	0
Total OI	18.75	18	20	18	19

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
2008-03-03	$326.08	$320.00	46.5%	13.3%	66.2%	17.4%	0.0%	7.1%	2.0%	2.0K	33.7K	-557	0.00	104.63	N/A	N/A	0	0	13	5
2008-03-04	$320.64	$320.00	45.5%	13.1%	62.5%	16.9%	0.0%	8.2%	0.4%	1.9K	42.7K	-503	0.00	103.58	N/A	N/A	0	0	13	5
2008-03-05	$323.20	$320.00	48.7%	14.0%	62.3%	18.7%	0.0%	13.8%	-2.0%	1.9K	44.6K	-509	0.00	104.01	N/A	N/A	0	0	13	5
2008-03-06	$314.56	$320.00	46.8%	13.4%	60.5%	22.1%	0.0%	6.9%	2.5%	1.7K	50.1K	-470	0.00	105.40	N/A	N/A	0	0	13	5
2008-03-07	$331.84	$400.00	42.2%	14.5%	63.7%	18.8%	0.0%	10.1%	-2.5%	1.7K	38.9K	-516	0.00	96.58	N/A	N/A	0	0	13	5
2008-03-10	$300.80	$400.00	46.8%	14.3%	71.0%	22.1%	0.0%	2.3%	-2.0%	1.5K	87.5K	-342	0.00	97.08	N/A	N/A	1	0	13	5
2008-03-11	$307.52	$400.00	53.9%	14.2%	71.7%	27.1%	0.0%	2.5%	-2.2%	1.8K	70.0K	-374	0.00	100.46	N/A	N/A	0	0	14	5
2008-03-12	$301.44	$400.00	45.2%	12.3%	70.5%	20.9%	0.0%	-2.0%	0.6%	1.8K	64.4K	-379	0.00	103.35	N/A	N/A	0	0	14	5
2008-03-13	$310.40	$400.00	49.5%	14.2%	71.6%	24.0%	0.0%	4.0%	-1.3%	1.7K	64.8K	-372	0.00	100.19	N/A	N/A	0	0	14	5
2008-03-14	$293.76	$400.00	50.0%	14.3%	69.9%	24.3%	0.0%	1.3%	-2.7%	1.7K	83.5K	-309	0.00	101.94	N/A	N/A	0	0	14	5
2008-03-17	$283.84	$400.00	39.4%	11.3%	70.5%	16.8%	0.0%	7.1%	4.4%	1.9K	108.0K	-199	0.00	107.32	N/A	N/A	0	0	14	5
2008-03-18	$291.52	$400.00	54.9%	15.8%	71.6%	27.9%	0.0%	-0.3%	-7.6%	1.7K	86.5K	-282	0.00	102.12	N/A	N/A	0	0	14	5
2008-03-19	$283.20	$400.00	48.0%	13.8%	72.0%	22.9%	0.0%	-2.7%	-5.8%	2.0K	95.6K	-248	0.00	103.99	N/A	N/A	0	3	14	5
2008-03-20	$293.76	$400.00	42.4%	12.2%	73.3%	19.0%	0.0%	1.8%	1.1%	1.9K	92.0K	-398	0.00	105.91	N/A	N/A	0	0	14	6
2008-03-24	$309.44	$400.00	51.0%	14.6%	73.5%	25.1%	0.0%	6.5%	-0.1%	2.3K	72.3K	-443	0.00	67.14	N/A	N/A	0	0	13	6
2008-03-25	$321.60	$400.00	52.5%	15.1%	74.5%	26.2%	0.0%	8.0%	-0.0%	2.5K	53.4K	-495	0.00	63.86	N/A	N/A	0	0	13	6
2008-03-26	$313.28	$400.00	51.1%	14.7%	74.9%	25.2%	45.9%	7.5%	0.6%	2.5K	59.7K	-464	0.50	64.40	N/A	N/A	0	0	13	6
2008-03-27	$310.08	$400.00	47.6%	13.6%	67.4%	22.6%	49.8%	14.0%	3.2%	2.7K	72.8K	-437	1.11	75.12	N/A	N/A	0	0	13	6
2008-03-28	$307.20	$400.00	50.1%	14.4%	60.4%	24.4%	0.0%	8.5%	1.9%	2.6K	77.0K	-444	0.00	75.14	N/A	N/A	0	0	13	6
2008-03-31	$305.28	$400.00	53.8%	15.4%	60.2%	27.1%	0.0%	2.9%	-1.7%	2.6K	74.7K	-434	0.00	68.65	N/A	N/A	0	0	13	6