DAVE Options History — September 2008

In September 2008, DAVE traded between $191.68 and $343.68. ATM implied volatility averaged 53.8%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 15.5% (HV 20d: 69.2%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2008-09-24: Highest Volume — 3 contracts
2008-09-22: Largest IV spike — 30.4% change
2008-09-22: Highest IV Rank — 34.3%
2008-09-22: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$274.53	$191.68	$343.68	$332.16	$192.32
Max Pain	$308.57	$240.00	$320.00	$240.00	$320.00
ATM IV	53.8%	44.6%	72.6%	51.3%	70.3%
Expected Move	15.5%	12.8%	20.8%	14.7%	20.2%
HV 20d	69.2%	62.0%	78.9%	71.4%	62.0%
HV 60d	92.3%	90.1%	94.5%	90.1%	93.6%
IV Rank	19.5%	12.3%	34.3%	17.6%	32.5%
IV Percentile	74.6%	39.3%	96.8%	77.4%	96.4%
Term Structure	-2.6%	-18.4%	6.7%	-2.7%	-5.8%
VWIV	54.9%	50.3%	59.5%	59.5%	50.3%
Skew 25d	2.7%	-20.5%	35.3%	35.3%	-12.4%
Skew 10d	11.6%	-9.2%	60.8%	60.8%	-7.6%
Call IV 25d	52.5%	37.1%	69.0%	37.1%	69.0%
Put IV 25d	55.2%	38.0%	85.3%	72.3%	56.6%
Bid-Ask Spread %	83.02	35.08	107.23	98.37	65.31
Gamma HHI	0.49	0.37	0.82	0.44	0.41
Net GEX	1.7K	-1.6K	6.2K	6.0K	271
Net DEX	15.7K	-234.9K	141.1K	-162.8K	124.1K
Net VEX	-543	-847	-215	-830	-285
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	0.429	0	3	1	0
Total OI	24.143	20	26	26	25

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
2008-09-02	$332.16	$240.00	51.3%	14.7%	71.4%	17.6%	0.0%	35.3%	-2.7%	6.0K	-162.8K	-830	0.00	98.37	N/A	N/A	1	0	18	8
2008-09-03	$343.68	$240.00	46.3%	13.3%	71.8%	13.7%	0.0%	16.3%	2.2%	5.8K	-234.9K	-847	0.00	106.43	N/A	N/A	2	0	17	8
2008-09-04	$333.76	$240.00	49.4%	14.1%	73.3%	16.1%	0.0%	13.3%	4.5%	6.2K	-182.7K	-840	0.00	107.23	N/A	N/A	0	0	17	8
2008-09-05	$310.72	$320.00	52.6%	15.8%	78.9%	18.6%	0.0%	6.5%	-1.6%	5.3K	-103.6K	-807	0.00	98.74	N/A	N/A	0	0	17	8
2008-09-08	$313.60	$320.00	48.0%	15.2%	69.3%	15.0%	0.0%	4.7%	-0.2%	5.7K	-92.5K	-755	0.00	101.99	N/A	N/A	0	0	17	8
2008-09-09	$307.20	$320.00	49.2%	14.9%	68.2%	16.0%	0.0%	3.3%	2.0%	5.4K	-59.9K	-721	0.00	102.58	N/A	N/A	0	0	17	8
2008-09-10	$307.20	$320.00	55.9%	15.5%	67.2%	21.2%	0.0%	1.0%	-1.7%	5.1K	-66.4K	-716	0.00	98.04	N/A	N/A	0	0	17	8
2008-09-11	$290.56	$320.00	47.0%	13.5%	67.3%	14.3%	59.5%	-10.7%	-1.6%	2.1K	13.7K	-576	1.00	96.98	N/A	N/A	0	0	17	8
2008-09-12	$284.16	$320.00	46.7%	13.4%	67.6%	14.0%	0.0%	-14.8%	-4.2%	1.7K	22.1K	-551	0.00	66.46	N/A	N/A	0	0	17	8
2008-09-15	$285.76	$320.00	45.2%	13.0%	67.1%	12.8%	0.0%	-8.3%	2.4%	-1.6K	43.7K	-490	0.00	77.84	N/A	N/A	0	0	17	8
2008-09-16	$284.48	$320.00	44.6%	12.8%	67.1%	12.3%	0.0%	-11.3%	-0.7%	-1.5K	44.5K	-481	0.00	75.84	N/A	N/A	0	0	17	8
2008-09-17	$274.24	$320.00	50.5%	14.5%	68.0%	17.0%	0.0%	-20.5%	-5.9%	-1.1K	54.5K	-460	0.00	73.79	N/A	N/A	0	1	17	8
2008-09-18	$263.36	$320.00	55.0%	15.8%	63.2%	20.5%	0.0%	7.4%	6.5%	-1.2K	81.6K	-477	0.00	103.35	N/A	N/A	0	0	17	9
2008-09-19	$271.68	$320.00	55.7%	16.0%	64.8%	21.0%	0.0%	-2.4%	-6.4%	-1.4K	75.0K	-488	0.00	106.61	N/A	N/A	0	0	17	9
2008-09-22	$254.40	$320.00	72.6%	20.8%	67.1%	34.3%	0.0%	29.8%	-17.0%	-1.1K	115.7K	-454	0.00	90.41	N/A	N/A	0	0	11	9
2008-09-23	$250.88	$320.00	57.2%	16.4%	66.3%	22.2%	0.0%	11.8%	-3.1%	-1.1K	128.6K	-398	0.00	55.52	N/A	N/A	0	0	11	9
2008-09-24	$240.64	$320.00	50.3%	14.4%	67.0%	16.8%	50.3%	7.0%	6.7%	-697	141.1K	-332	0.00	58.47	N/A	N/A	3	0	11	9
2008-09-25	$218.24	$320.00	54.6%	15.7%	74.0%	20.2%	0.0%	-2.0%	-5.2%	882	119.9K	-348	0.00	35.08	N/A	N/A	0	0	14	9
2008-09-26	$214.40	$320.00	63.1%	18.1%	73.5%	26.9%	0.0%	6.3%	-5.3%	745	127.7K	-326	0.00	56.94	N/A	N/A	0	0	14	9
2008-09-29	$191.68	$320.00	63.2%	18.1%	78.4%	26.9%	0.0%	-4.5%	-18.4%	-215	141.0K	-215	0.00	67.51	N/A	N/A	2	0	14	9
2008-09-30	$192.32	$320.00	70.3%	20.2%	62.0%	32.5%	0.0%	-12.4%	-5.8%	271	124.1K	-285	0.00	65.31	N/A	N/A	0	0	16	9