DAVE Options History — October 2008

In October 2008, DAVE traded between $122.56 and $191.04. ATM implied volatility averaged 91.7%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 17.9% (HV 20d: 73.9%). Max pain ranged from $160.00 to $320.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.21.

Notable Days

2008-10-07: Highest Volume — 4 contracts
2008-10-15: Largest IV drop — 63.3% change
2008-10-14: Highest IV Rank — 100.0%
2008-10-23: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$145.45	$122.56	$191.04	$191.04	$134.08
Max Pain	$187.83	$160.00	$320.00	$320.00	$160.00
ATM IV	91.7%	62.4%	183.4%	64.3%	62.4%
Expected Move	20.7%	14.4%	27.9%	18.4%	17.9%
HV 20d	73.9%	57.6%	85.5%	58.2%	81.9%
HV 60d	88.2%	74.9%	97.2%	93.6%	75.4%
IV Rank	44.8%	21.7%	100.0%	27.8%	21.7%
IV Percentile	94.5%	84.5%	100.0%	94.0%	84.5%
Term Structure	-8.8%	-40.9%	16.7%	-19.4%	14.1%
VWIV	65.0%	63.0%	67.0%	63.0%	67.0%
Skew 25d	23.8%	-6.5%	45.8%	-5.0%	32.3%
Skew 10d	25.1%	-6.1%	47.1%	-3.8%	34.8%
Call IV 25d	75.4%	49.7%	101.1%	64.2%	64.7%
Put IV 25d	99.3%	59.2%	136.2%	59.2%	97.0%
Bid-Ask Spread %	93.28	51.55	121.46	65.29	52.21
Gamma HHI	0.42	0.25	0.66	0.27	0.38
Net GEX	-15	-232	150	48	-11
Net DEX	92.0K	45.1K	132.4K	132.4K	51.2K
Net VEX	-224	-328	-143	-250	-184
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.00	0.00	0.00
Total Volume	0.348	0	4	0	0
Total OI	23.174	15	33	25	15

Daily Data (23 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
2008-10-01	$191.04	$320.00	64.3%	18.4%	58.2%	27.8%	0.0%	-5.0%	-19.4%	48	132.4K	-250	0.00	65.29	N/A	N/A	0	0	16	9
2008-10-02	$189.76	$320.00	64.5%	18.5%	58.8%	27.9%	0.0%	-6.1%	-19.9%	-41	132.4K	-253	0.00	65.71	N/A	N/A	0	0	16	9
2008-10-03	$190.72	$320.00	68.9%	19.7%	57.6%	31.4%	0.0%	-6.5%	-23.3%	62	130.7K	-273	0.00	64.46	N/A	N/A	0	0	16	9
2008-10-06	$175.68	$240.00	99.3%	14.4%	59.6%	55.2%	0.0%	-4.0%	16.7%	-35	128.7K	-227	0.00	86.90	N/A	N/A	0	0	16	9
2008-10-07	$171.20	$240.00	115.1%	21.4%	59.5%	67.7%	63.0%	19.2%	-17.4%	150	120.1K	-241	0.44	114.13	N/A	N/A	3	1	16	9
2008-10-08	$159.36	$160.00	114.4%	20.2%	60.3%	67.1%	0.0%	12.8%	-2.2%	-71	123.1K	-274	0.00	114.11	N/A	N/A	0	0	19	11
2008-10-09	$144.32	$160.00	122.2%	21.9%	64.3%	73.2%	0.0%	21.4%	-17.4%	-124	122.8K	-202	0.00	115.31	N/A	N/A	1	0	19	11
2008-10-10	$134.08	$160.00	156.1%	19.3%	65.5%	99.8%	67.0%	42.1%	-8.8%	-35	115.7K	-173	0.00	121.37	N/A	N/A	0	2	20	11
2008-10-13	$147.20	$160.00	141.0%	22.7%	79.2%	88.0%	0.0%	20.6%	-12.0%	-232	113.4K	-328	0.00	108.46	N/A	N/A	1	0	20	12
2008-10-14	$145.60	$160.00	183.4%	19.3%	78.9%	100.0%	0.0%	25.3%	-7.8%	-143	117.3K	-311	0.00	121.46	N/A	N/A	0	0	21	12
2008-10-15	$136.00	$160.00	67.3%	19.3%	79.9%	24.9%	0.0%	45.8%	8.8%	4	115.8K	-292	0.00	118.39	N/A	N/A	0	0	21	12
2008-10-16	$127.68	$160.00	81.1%	23.3%	80.5%	33.8%	0.0%	37.8%	-11.5%	9	119.8K	-223	0.00	117.61	N/A	N/A	0	0	21	12
2008-10-17	$133.44	$160.00	78.4%	22.5%	82.0%	32.0%	0.0%	45.7%	-3.5%	-3	123.1K	-244	0.00	117.50	N/A	N/A	0	0	21	12
2008-10-20	$134.08	$160.00	87.5%	25.1%	82.4%	37.9%	0.0%	35.9%	-19.5%	36	51.6K	-244	0.00	115.47	N/A	N/A	0	0	9	7
2008-10-21	$134.08	$160.00	88.8%	25.5%	83.0%	38.8%	0.0%	36.8%	-40.9%	28	50.7K	-249	0.00	113.96	N/A	N/A	0	0	9	7
2008-10-22	$131.20	$160.00	84.1%	24.1%	82.9%	35.8%	0.0%	36.4%	-3.5%	15	45.1K	-242	1.00	113.72	N/A	N/A	0	0	9	7
2008-10-23	$122.56	$160.00	97.3%	27.9%	80.4%	44.3%	0.0%	33.9%	-27.7%	11	49.5K	-164	0.00	113.94	N/A	N/A	0	0	9	6
2008-10-24	$129.28	$160.00	63.4%	18.2%	85.5%	22.4%	0.0%	23.8%	9.7%	-8	55.3K	-151	0.00	75.28	N/A	N/A	0	0	9	6
2008-10-27	$127.04	$160.00	68.5%	19.6%	79.1%	25.6%	0.0%	30.8%	-9.5%	-3	54.1K	-152	0.00	73.92	N/A	N/A	0	0	9	6
2008-10-28	$128.00	$160.00	67.3%	19.3%	79.3%	24.8%	0.0%	21.3%	-9.9%	-4	56.0K	-143	0.00	51.86	N/A	N/A	0	0	9	6
2008-10-29	$129.28	$160.00	69.5%	19.9%	79.9%	26.3%	0.0%	26.6%	-10.3%	19	50.4K	-190	0.00	52.74	N/A	N/A	0	0	9	6
2008-10-30	$129.60	$160.00	64.5%	18.5%	80.1%	23.1%	0.0%	21.7%	12.3%	-8	55.8K	-144	0.00	51.55	N/A	N/A	0	0	9	6
2008-10-31	$134.08	$160.00	62.4%	17.9%	81.9%	21.7%	0.0%	32.3%	14.1%	-11	51.2K	-184	0.00	52.21	N/A	N/A	0	0	9	6