DAVE Options History — August 2008

In August 2008, DAVE traded between $258.24 and $317.76. ATM implied volatility averaged 58.1%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 51.9% (HV 20d: 110.0%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.53.

Notable Days

2008-08-01: Highest Volume — 6 contracts
2008-08-22: Largest IV spike — 205.6% change
2008-08-22: Highest IV Rank — 98.2%
2008-08-22: Largest Expected Move — 44.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$289.86	$258.24	$317.76	$258.24	$297.60
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	58.1%	37.8%	154.0%	64.6%	41.1%
Expected Move	15.7%	10.8%	44.2%	18.5%	11.8%
HV 20d	110.0%	61.6%	127.8%	126.8%	61.6%
HV 60d	85.1%	81.6%	87.4%	81.6%	87.4%
IV Rank	22.9%	7.0%	98.2%	28.0%	9.6%
IV Percentile	70.8%	18.7%	99.6%	96.0%	28.6%
Term Structure	-4.8%	-96.1%	9.5%	-0.3%	7.0%
VWIV	52.6%	52.6%	52.6%	52.6%	52.6%
Skew 25d	7.0%	-5.0%	19.8%	-1.1%	3.2%
Skew 10d	16.4%	6.7%	27.7%	6.8%	10.8%
Call IV 25d	48.8%	37.9%	128.0%	52.5%	45.4%
Put IV 25d	55.8%	41.8%	147.7%	51.3%	48.6%
Bid-Ask Spread %	106.99	95.61	165.63	104.89	112.20
Gamma HHI	0.42	0.36	0.48	0.38	0.47
Net GEX	2.8K	766	4.1K	766	3.8K
Net DEX	-38.5K	-148.9K	31.3K	31.3K	-25.7K
Net VEX	-775	-1.2K	-439	-439	-775
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.00	7.50	0.13	0.00
Total Volume	0.667	0	6	6	0
Total OI	22.762	14	26	14	26

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-08-01	$258.24	$240.00	64.6%	18.5%	126.8%	28.0%	0.0%	-1.1%	-0.3%	766	31.3K	-439	0.13	104.89	N/A	N/A	5	1	9	5
2008-08-04	$265.60	$240.00	49.1%	16.1%	123.7%	15.9%	0.0%	-0.2%	-5.8%	2.4K	2.7K	-600	0.00	102.59	N/A	N/A	0	0	14	5
2008-08-05	$268.80	$240.00	48.3%	16.1%	123.6%	15.2%	0.0%	4.2%	-16.5%	2.4K	-1.7K	-618	0.00	100.17	N/A	N/A	0	0	14	5
2008-08-06	$271.04	$240.00	65.9%	15.9%	123.1%	29.0%	0.0%	5.5%	-2.3%	2.5K	-14.1K	-649	0.00	98.78	N/A	N/A	0	0	14	6
2008-08-07	$272.32	$240.00	68.3%	13.5%	123.1%	30.9%	0.0%	5.8%	0.0%	2.5K	-13.3K	-660	0.00	98.01	N/A	N/A	0	0	14	6
2008-08-08	$303.36	$240.00	44.2%	14.8%	126.3%	12.0%	0.0%	17.9%	0.0%	3.4K	-90.6K	-823	0.00	98.43	N/A	N/A	3	0	14	6
2008-08-11	$292.16	$240.00	60.8%	14.2%	127.8%	25.1%	0.0%	14.4%	4.2%	3.3K	-59.8K	-752	0.00	102.02	N/A	N/A	0	0	16	6
2008-08-12	$283.52	$240.00	73.2%	12.2%	127.6%	34.8%	0.0%	10.9%	0.2%	3.1K	-50.2K	-707	0.00	106.15	N/A	N/A	0	0	16	6
2008-08-13	$300.16	$240.00	69.7%	14.8%	123.7%	32.1%	0.0%	15.0%	-2.6%	3.3K	-67.4K	-744	7.50	98.69	N/A	N/A	0	2	16	6
2008-08-14	$296.32	$240.00	54.8%	15.7%	111.3%	20.4%	0.0%	16.1%	1.7%	3.0K	-61.3K	-935	0.00	96.90	N/A	N/A	0	0	16	8
2008-08-15	$302.72	$240.00	53.7%	15.4%	111.0%	19.5%	0.0%	19.2%	0.7%	3.1K	-72.0K	-923	0.00	95.61	N/A	N/A	0	0	16	8
2008-08-18	$301.44	$240.00	52.2%	15.0%	104.0%	18.3%	52.6%	-0.9%	-2.0%	3.1K	-54.8K	-888	0.00	99.43	N/A	N/A	1	0	16	8
2008-08-19	$296.32	$240.00	49.5%	14.2%	104.0%	16.2%	0.0%	-5.0%	2.5%	3.1K	-31.1K	-859	0.00	104.62	N/A	N/A	0	0	16	8
2008-08-20	$317.76	$240.00	60.4%	17.3%	104.7%	24.7%	0.0%	12.3%	-4.1%	3.6K	-115.0K	-1.0K	0.00	123.27	N/A	N/A	0	0	16	8
2008-08-21	$314.56	$240.00	50.4%	14.4%	102.5%	16.9%	0.0%	12.9%	1.8%	4.1K	-105.2K	-962	0.00	98.22	N/A	N/A	2	0	16	8
2008-08-22	$301.76	$240.00	154.0%	44.2%	104.2%	98.2%	0.0%	19.8%	-96.1%	2.6K	-148.9K	-1.2K	0.00	165.63	N/A	N/A	0	0	18	8
2008-08-25	$290.88	$240.00	37.8%	10.8%	105.3%	7.0%	0.0%	-1.0%	9.5%	3.2K	-8.6K	-770	0.00	109.64	N/A	N/A	0	0	18	8
2008-08-26	$282.88	$240.00	39.1%	11.2%	106.6%	8.0%	0.0%	-1.6%	2.8%	1.9K	28.4K	-660	0.00	109.99	N/A	N/A	0	0	18	8
2008-08-27	$283.20	$240.00	41.5%	11.9%	105.6%	9.9%	0.0%	-1.4%	-0.6%	1.8K	30.2K	-658	0.00	109.88	N/A	N/A	0	0	18	8
2008-08-28	$286.40	$240.00	41.9%	12.0%	63.7%	10.2%	0.0%	1.2%	-0.7%	2.1K	19.1K	-662	0.00	111.67	N/A	N/A	0	0	18	8
2008-08-29	$297.60	$240.00	41.1%	11.8%	61.6%	9.6%	0.0%	3.2%	7.0%	3.8K	-25.7K	-775	0.00	112.20	N/A	N/A	0	0	18	8