DAVE Options History — January 2009

In January 2009, DAVE traded between $92.48 and $133.12. ATM implied volatility averaged 101.5%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded below realized volatility by 23.6% (HV 20d: 125.1%). Max pain ranged from $160.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2009-01-06: Highest Volume — 2 contracts
2009-01-13: Largest IV spike — 151.8% change
2009-01-13: Highest IV Rank — 98.5%
2009-01-09: Largest Expected Move — 50.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.78	$92.48	$133.12	$104.32	$97.92
Max Pain	$180.00	$160.00	$240.00	$240.00	$160.00
ATM IV	101.5%	63.8%	181.2%	111.6%	86.5%
Expected Move	26.7%	18.3%	50.7%	32.0%	24.8%
HV 20d	125.1%	94.6%	135.9%	94.6%	131.6%
HV 60d	105.9%	94.9%	110.3%	95.6%	109.4%
IV Rank	45.0%	19.7%	98.5%	51.8%	34.9%
IV Percentile	85.3%	66.7%	99.6%	95.6%	81.7%
Term Structure	-45.6%	-120.1%	-5.9%	-27.8%	-120.1%
VWIV	98.8%	88.9%	116.8%	116.8%	88.9%
Skew 25d	8.4%	-18.6%	43.8%	-4.1%	4.2%
Skew 10d	9.3%	-12.5%	35.4%	16.2%	10.5%
Call IV 25d	72.5%	51.9%	100.9%	99.9%	96.3%
Put IV 25d	80.8%	64.7%	103.7%	95.8%	100.5%
Bid-Ask Spread %	92.99	48.84	115.54	49.58	103.46
Gamma HHI	0.52	0.40	0.66	0.40	0.48
Net GEX	180	66	234	104	184
Net DEX	14.1K	-1.7K	38.1K	38.1K	3.6K
Net VEX	-75	-126	-47	-67	-63
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.11	0.00	0.00
Total Volume	0.15	0	2	0	0
Total OI	10.7	6	16	15	7

Daily Data (20 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
2009-01-02	$104.32	$240.00	111.6%	32.0%	94.6%	51.8%	116.8%	-4.1%	-27.8%	104	38.1K	-67	0.00	49.58	N/A	N/A	0	9	6
2009-01-05	$106.88	$240.00	132.4%	38.0%	94.8%	65.8%	0.0%	11.0%	-65.3%	66	36.6K	-70	0.00	48.84	N/A	N/A	0	9	6
2009-01-06	$132.80	$240.00	96.5%	27.7%	120.4%	41.7%	91.8%	11.8%	-5.9%	78	37.9K	-103	0.00	49.01	N/A	N/A	2	9	6
2009-01-07	$133.12	$240.00	96.6%	27.7%	120.3%	41.7%	97.6%	6.3%	-16.3%	209	33.7K	-126	0.11	50.04	N/A	N/A	1	10	6
2009-01-08	$120.64	$240.00	119.2%	34.2%	125.6%	56.9%	0.0%	-7.8%	-38.1%	218	33.1K	-104	0.00	49.10	N/A	N/A	0	10	5
2009-01-09	$110.40	$160.00	177.0%	50.7%	128.9%	95.7%	0.0%	4.6%	-120.1%	203	13.0K	-65	0.00	67.94	N/A	N/A	0	10	3
2009-01-12	$103.68	$160.00	72.0%	20.6%	124.9%	25.2%	0.0%	-0.8%	0.0%	177	13.8K	-52	0.00	112.36	N/A	N/A	0	10	3
2009-01-13	$104.96	$160.00	181.2%	23.6%	124.8%	98.5%	0.0%	34.2%	0.0%	178	10.3K	-74	0.00	102.73	N/A	N/A	0	10	3
2009-01-14	$92.48	$160.00	160.7%	25.4%	128.2%	84.7%	0.0%	18.4%	0.0%	142	12.1K	-54	0.00	106.68	N/A	N/A	0	10	3
2009-01-15	$106.24	$160.00	82.3%	23.6%	134.8%	32.1%	0.0%	25.5%	0.0%	191	15.0K	-47	0.00	109.03	N/A	N/A	0	10	3
2009-01-16	$111.68	$160.00	66.5%	19.1%	135.7%	21.5%	0.0%	12.3%	0.0%	203	14.5K	-49	0.00	112.05	N/A	N/A	0	10	3
2009-01-20	$110.40	$160.00	79.5%	22.8%	135.9%	30.2%	0.0%	8.2%	0.0%	204	7.5K	-61	0.00	112.80	N/A	N/A	0	4	2
2009-01-21	$113.60	$160.00	63.8%	18.3%	129.0%	19.7%	0.0%	14.9%	0.0%	165	-1.3K	-104	0.00	112.18	N/A	N/A	0	4	2
2009-01-22	$113.28	$160.00	95.5%	27.4%	129.0%	41.0%	88.9%	43.8%	0.0%	199	3.4K	-85	0.00	110.71	N/A	N/A	0	4	2
2009-01-23	$112.00	$160.00	84.6%	24.2%	128.7%	33.7%	0.0%	9.4%	0.0%	231	3.4K	-71	0.00	115.32	N/A	N/A	0	5	2
2009-01-26	$112.64	$160.00	80.2%	23.0%	128.5%	30.7%	0.0%	14.0%	0.0%	234	4.3K	-62	0.00	115.54	N/A	N/A	0	5	2
2009-01-27	$111.68	$160.00	81.6%	23.4%	128.6%	31.7%	0.0%	-7.7%	0.0%	222	1.9K	-78	0.00	109.06	N/A	N/A	0	5	2
2009-01-28	$110.08	$160.00	83.7%	24.0%	128.9%	33.1%	0.0%	-18.6%	0.0%	186	-1.7K	-96	0.00	115.23	N/A	N/A	0	5	2
2009-01-29	$106.88	$160.00	79.1%	22.7%	129.3%	30.0%	0.0%	-12.5%	0.0%	206	3.3K	-70	0.00	108.14	N/A	N/A	0	5	2
2009-01-30	$97.92	$160.00	86.5%	24.8%	131.6%	34.9%	0.0%	4.2%	0.0%	184	3.6K	-63	0.00	103.46	N/A	N/A	0	5	2