DAVE Options History — July 2008

In July 2008, DAVE traded between $169.28 and $271.68. ATM implied volatility averaged 54.4%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 23.4% (HV 20d: 77.8%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.13.

Notable Days

2008-07-31: Highest Volume — 2 contracts
2008-07-10: Largest IV drop — 46.7% change
2008-07-08: Highest IV Rank — 46.0%
2008-07-28: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$199.99	$169.28	$271.68	$213.76	$271.68
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	54.4%	41.2%	85.4%	42.1%	49.3%
Expected Move	14.1%	11.8%	20.0%	12.1%	14.1%
HV 20d	77.8%	53.8%	124.9%	53.8%	124.9%
HV 60d	52.6%	41.3%	81.0%	41.8%	81.0%
IV Rank	20.6%	9.7%	46.0%	13.1%	16.0%
IV Percentile	74.4%	37.3%	98.0%	44.8%	73.8%
Term Structure	-3.2%	-25.3%	15.9%	-14.2%	-17.6%
VWIV	51.4%	46.5%	56.3%	46.5%	56.3%
Skew 25d	3.4%	-12.9%	18.9%	-6.2%	1.8%
Skew 10d	5.4%	-9.7%	45.4%	-9.5%	13.2%
Call IV 25d	51.0%	35.3%	77.2%	45.2%	44.5%
Put IV 25d	54.4%	37.9%	80.6%	39.0%	46.3%
Bid-Ask Spread %	106.36	83.75	111.84	83.75	109.13
Gamma HHI	0.44	0.35	0.63	0.35	0.43
Net GEX	42	-207	184	152	-207
Net DEX	87.2K	48.5K	101.4K	85.0K	48.5K
Net VEX	-130	-440	-41	-231	-440
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.90	0.90	0.00
Total Volume	0.091	0	2	0	2
Total OI	13	12	14	13	12

Daily Data (22 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	Call OI	Put OI
2008-07-01	$213.76	$240.00	42.1%	12.1%	53.8%	13.1%	0.0%	-6.2%	-14.2%	152	85.0K	-231	0.90	83.75	N/A	N/A	0	8	5
2008-07-02	$208.00	$240.00	52.3%	15.0%	53.9%	20.9%	0.0%	17.3%	-20.2%	184	93.3K	-161	0.00	89.58	N/A	N/A	0	8	5
2008-07-03	$206.40	$240.00	58.1%	16.7%	53.9%	25.3%	0.0%	18.9%	-22.1%	176	92.6K	-158	0.00	89.00	N/A	N/A	0	8	5
2008-07-07	$193.60	$0.00	76.8%	12.0%	56.8%	39.5%	0.0%	3.4%	2.0%	84	92.0K	-100	0.00	108.58	N/A	N/A	0	8	5
2008-07-08	$192.96	$0.00	85.4%	13.6%	57.0%	46.0%	0.0%	-1.5%	-0.4%	121	92.0K	-104	0.00	109.67	N/A	N/A	0	9	5
2008-07-09	$190.40	$0.00	84.9%	12.4%	56.8%	45.6%	0.0%	-0.9%	0.0%	101	92.2K	-89	0.00	108.95	N/A	N/A	0	9	5
2008-07-10	$191.68	$0.00	45.2%	13.0%	57.2%	13.5%	0.0%	-0.5%	-1.0%	114	91.8K	-90	0.00	109.52	N/A	N/A	0	9	5
2008-07-11	$187.84	$0.00	44.3%	12.7%	56.9%	12.1%	0.0%	-4.1%	-3.0%	67	91.4K	-83	0.00	109.77	N/A	N/A	0	9	5
2008-07-14	$187.20	$0.00	46.8%	13.4%	56.3%	14.1%	0.0%	-1.3%	-4.5%	60	94.5K	-53	0.00	108.77	N/A	N/A	0	9	5
2008-07-15	$180.80	$0.00	42.9%	12.3%	55.2%	11.0%	0.0%	13.9%	-1.0%	67	92.0K	-41	0.00	111.84	N/A	N/A	0	9	5
2008-07-16	$169.28	$0.00	47.4%	13.6%	56.9%	14.5%	0.0%	8.0%	12.9%	38	85.9K	-45	0.00	105.21	N/A	N/A	0	9	5
2008-07-17	$201.92	$0.00	44.3%	12.7%	89.8%	12.1%	0.0%	9.1%	1.8%	76	101.4K	-60	0.00	108.60	N/A	N/A	0	9	5
2008-07-18	$210.56	$0.00	41.2%	11.8%	91.8%	9.7%	0.0%	17.0%	15.9%	-8	93.5K	-167	0.00	110.33	N/A	N/A	0	9	5
2008-07-21	$192.64	$0.00	55.8%	16.0%	95.9%	21.1%	0.0%	-1.9%	7.7%	14	77.9K	-123	0.00	108.13	N/A	N/A	0	7	5
2008-07-22	$189.44	$0.00	54.5%	15.6%	95.9%	20.1%	0.0%	-4.7%	11.2%	-40	84.8K	-97	0.00	108.20	N/A	N/A	0	7	5
2008-07-23	$200.64	$0.00	51.0%	14.6%	99.0%	17.4%	0.0%	8.6%	-18.2%	-23	89.1K	-104	0.00	111.00	N/A	N/A	0	7	5
2008-07-24	$192.00	$0.00	54.3%	15.6%	99.6%	19.9%	0.0%	1.3%	-8.7%	-44	84.5K	-108	0.00	109.34	N/A	N/A	0	7	5
2008-07-25	$203.52	$0.00	47.9%	13.7%	102.7%	15.0%	0.0%	9.1%	3.0%	-36	79.1K	-183	0.00	109.95	N/A	N/A	0	7	5
2008-07-28	$199.68	$0.00	69.8%	20.0%	102.4%	32.1%	0.0%	6.0%	-25.3%	-19	85.9K	-132	0.00	109.74	N/A	N/A	0	7	5
2008-07-29	$201.92	$0.00	54.5%	15.6%	102.7%	20.1%	0.0%	-12.9%	2.2%	31	85.8K	-125	0.00	110.58	N/A	N/A	0	7	5
2008-07-30	$213.76	$0.00	48.2%	13.8%	92.5%	15.2%	46.5%	-5.8%	8.7%	11	85.6K	-169	0.00	110.24	N/A	N/A	0	7	5
2008-07-31	$271.68	$240.00	49.3%	14.1%	124.9%	16.0%	56.3%	1.8%	-17.6%	-207	48.5K	-440	0.00	109.13	N/A	N/A	2	7	5