DAVE Options History — December 2008

In December 2008, DAVE traded between $85.44 and $107.84. ATM implied volatility averaged 93.2%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 7.8% (HV 20d: 101.1%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2008-12-15: Highest Volume — 1 contracts
2008-12-30: Largest IV spike — 30.6% change
2008-12-09: Highest IV Rank — 69.1%
2008-12-05: Largest Expected Move — 29.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.25	$85.44	$107.84	$92.80	$92.80
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	93.2%	74.4%	136.1%	91.6%	96.8%
Expected Move	25.5%	21.3%	29.6%	26.3%	27.7%
HV 20d	101.1%	80.7%	123.1%	111.5%	85.1%
HV 60d	89.7%	85.0%	93.5%	85.2%	92.1%
IV Rank	40.6%	26.8%	69.1%	40.6%	41.9%
IV Percentile	90.4%	82.1%	98.0%	94.0%	91.7%
Term Structure	0.9%	-31.4%	37.0%	18.5%	-31.4%
VWIV	85.3%	78.1%	92.6%	92.6%	78.1%
Skew 25d	0.1%	-31.9%	29.0%	11.8%	2.4%
Skew 10d	-0.0%	-34.4%	28.7%	15.5%	22.0%
Call IV 25d	90.7%	72.2%	114.1%	93.1%	99.3%
Put IV 25d	90.7%	69.2%	111.2%	104.9%	101.7%
Bid-Ask Spread %	77.37	47.45	118.96	84.25	52.13
Gamma HHI	0.49	0.40	0.60	0.56	0.41
Net GEX	74	48	118	51	115
Net DEX	40.1K	35.0K	46.4K	42.7K	35.3K
Net VEX	-64	-85	-48	-67	-63
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.045	0	1	0	0
Total OI	14.5	14	15	14	15

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2008-12-01	$92.80	$0.00	91.6%	26.3%	111.5%	40.6%	0.0%	11.8%	18.5%	51	42.7K	-67	84.25	N/A	N/A	0	8	6
2008-12-02	$92.80	$0.00	94.1%	27.0%	108.1%	42.2%	0.0%	11.4%	17.8%	51	43.2K	-65	85.59	N/A	N/A	0	8	6
2008-12-03	$91.84	$0.00	98.4%	28.2%	108.1%	45.0%	0.0%	16.0%	10.3%	50	42.6K	-66	86.25	N/A	N/A	0	8	6
2008-12-04	$92.80	$0.00	99.8%	28.6%	108.5%	45.9%	0.0%	13.1%	7.7%	50	43.4K	-62	99.83	N/A	N/A	0	8	6
2008-12-05	$92.48	$240.00	97.4%	29.6%	108.2%	44.3%	0.0%	13.6%	-18.7%	50	43.5K	-62	54.96	N/A	N/A	0	8	6
2008-12-08	$96.00	$240.00	108.8%	29.1%	107.1%	51.3%	0.0%	26.7%	-9.0%	56	44.0K	-69	77.29	N/A	N/A	0	8	6
2008-12-09	$102.08	$240.00	136.1%	25.2%	110.7%	69.1%	0.0%	-5.4%	-2.7%	56	43.8K	-85	67.37	N/A	N/A	0	8	6
2008-12-10	$107.84	$240.00	125.2%	22.1%	113.0%	62.0%	0.0%	4.3%	-10.4%	58	46.4K	-83	79.17	N/A	N/A	0	8	6
2008-12-11	$96.96	$240.00	88.8%	25.5%	117.1%	38.2%	0.0%	-13.1%	-17.9%	53	45.0K	-62	75.11	N/A	N/A	0	8	6
2008-12-12	$99.20	$240.00	87.3%	25.0%	116.6%	37.2%	0.0%	-4.7%	-5.0%	54	41.9K	-69	71.93	N/A	N/A	0	8	6
2008-12-15	$89.92	$240.00	80.9%	23.2%	120.5%	33.1%	92.6%	-28.5%	-3.1%	48	39.9K	-55	85.18	N/A	N/A	1	8	6
2008-12-16	$96.96	$240.00	95.5%	27.4%	123.1%	42.6%	0.0%	-31.9%	-25.4%	74	39.6K	-67	118.96	N/A	N/A	0	9	6
2008-12-17	$98.24	$240.00	90.9%	26.1%	100.2%	39.6%	0.0%	-17.5%	-13.7%	71	39.5K	-72	79.24	N/A	N/A	0	9	6
2008-12-18	$98.56	$240.00	92.0%	26.4%	99.3%	40.3%	0.0%	-15.6%	-15.7%	73	39.3K	-72	83.86	N/A	N/A	0	9	6
2008-12-19	$88.32	$240.00	74.5%	21.4%	98.2%	28.9%	78.1%	-27.8%	15.9%	64	38.0K	-54	83.72	N/A	N/A	0	9	6
2008-12-22	$88.00	$240.00	74.4%	21.3%	82.1%	26.8%	0.0%	-14.8%	37.0%	109	35.6K	-58	84.79	N/A	N/A	0	9	6
2008-12-23	$86.08	$240.00	77.7%	22.3%	81.5%	29.0%	0.0%	-22.9%	18.9%	110	35.3K	-56	85.02	N/A	N/A	0	9	6
2008-12-24	$85.44	$240.00	89.9%	25.8%	81.4%	37.3%	0.0%	22.9%	14.7%	104	35.5K	-55	67.24	N/A	N/A	0	9	6
2008-12-26	$88.00	$240.00	75.7%	21.7%	81.5%	27.7%	0.0%	6.6%	17.2%	118	36.7K	-48	83.75	N/A	N/A	0	9	6
2008-12-29	$88.00	$240.00	76.0%	21.8%	80.7%	27.9%	0.0%	29.0%	25.0%	117	35.4K	-53	47.45	N/A	N/A	0	9	6
2008-12-30	$86.40	$240.00	99.2%	28.4%	80.9%	43.5%	0.0%	26.0%	-10.6%	100	35.0K	-56	49.03	N/A	N/A	0	9	6
2008-12-31	$92.80	$240.00	96.8%	27.7%	85.1%	41.9%	0.0%	2.4%	-31.4%	115	35.3K	-63	52.13	N/A	N/A	0	9	6