DAVE Options History — March 2009

In March 2009, DAVE traded between $64.00 and $112.00. ATM implied volatility averaged 101.2%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 12.4% (HV 20d: 88.7%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2009-03-24: Highest Volume — 1 contracts
2009-03-06: Largest IV spike — 89.4% change
2009-03-06: Highest IV Rank — 83.4%
2009-03-06: Largest Expected Move — 45.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.15	$64.00	$112.00	$78.40	$100.48
Max Pain	$80.00	$80.00	$80.00	$80.00	$80.00
ATM IV	101.2%	82.0%	158.6%	99.9%	103.9%
Expected Move	29.0%	23.5%	45.5%	28.6%	29.8%
HV 20d	88.7%	71.3%	104.0%	75.3%	85.9%
HV 60d	99.6%	97.0%	101.9%	99.1%	97.9%
IV Rank	44.8%	31.9%	83.4%	43.9%	46.7%
IV Percentile	86.5%	69.8%	98.4%	92.1%	90.1%
Term Structure	-6.6%	-60.9%	30.6%	-7.4%	-19.4%
VWIV	198.9%	198.9%	198.9%	198.9%	198.9%
Skew 25d	-17.8%	-68.5%	16.2%	-52.2%	16.2%
Skew 10d	-27.8%	-86.6%	17.9%	-70.4%	17.9%
Call IV 25d	120.4%	86.9%	190.3%	145.9%	92.7%
Put IV 25d	102.6%	77.7%	148.0%	93.7%	108.9%
Bid-Ask Spread %	108.72	100.19	114.45	100.19	112.53
Gamma HHI	0.71	0.50	1.00	0.50	0.70
Net GEX	89	-63	256	86	106
Net DEX	-2.4K	-12.2K	8.4K	4.3K	-8.0K
Net VEX	-55	-104	-34	-50	-104
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	0.091	0	1	0	0
Total OI	6.818	6	9	7	9

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	Put Vol	Call OI	Put OI
2009-03-02	$78.40	$80.00	99.9%	28.6%	75.3%	43.9%	0.0%	-52.2%	-7.4%	86	4.3K	-50	100.19	N/A	N/A	0	0	5	2
2009-03-03	$74.88	$80.00	101.6%	29.1%	75.2%	45.1%	0.0%	-41.1%	-6.7%	69	5.6K	-46	101.66	N/A	N/A	0	0	5	2
2009-03-04	$73.28	$80.00	103.4%	29.7%	71.3%	46.3%	0.0%	-41.3%	-4.4%	62	5.9K	-50	101.87	N/A	N/A	0	0	5	2
2009-03-05	$67.52	$80.00	83.8%	24.0%	74.7%	33.1%	0.0%	-34.9%	30.6%	78	6.3K	-40	100.99	N/A	N/A	0	0	5	2
2009-03-06	$64.00	$80.00	158.6%	45.5%	74.9%	83.4%	198.9%	-42.4%	-60.9%	55	2.7K	-58	105.74	N/A	N/A	0	0	5	2
2009-03-09	$66.88	$80.00	88.0%	25.2%	78.3%	36.0%	0.0%	-9.2%	9.8%	44	8.4K	-38	110.67	N/A	N/A	0	0	5	2
2009-03-10	$73.60	$80.00	82.0%	23.5%	87.0%	31.9%	0.0%	-21.6%	12.0%	67	7.7K	-42	109.81	N/A	N/A	0	0	5	2
2009-03-11	$78.08	$80.00	102.2%	29.3%	90.6%	45.5%	0.0%	-5.9%	-5.2%	85	-637	-47	107.97	N/A	N/A	0	0	5	1
2009-03-12	$81.92	$80.00	97.8%	28.0%	92.2%	42.5%	0.0%	-0.6%	4.1%	103	-1.7K	-48	109.82	N/A	N/A	0	0	5	1
2009-03-13	$86.72	$80.00	105.9%	30.4%	95.1%	47.9%	0.0%	1.4%	-5.1%	141	-4.4K	-55	107.68	N/A	N/A	0	0	5	1
2009-03-16	$88.64	$80.00	90.6%	26.0%	95.6%	37.7%	0.0%	2.0%	15.5%	134	-4.2K	-52	108.41	N/A	N/A	0	0	5	1
2009-03-17	$90.56	$80.00	90.3%	25.9%	94.0%	37.5%	0.0%	-65.5%	14.1%	-60	-6.2K	-34	108.62	N/A	N/A	0	0	5	1
2009-03-18	$89.92	$80.00	87.5%	25.1%	93.5%	35.6%	0.0%	-68.5%	12.4%	-63	-6.0K	-34	108.73	N/A	N/A	0	0	5	1
2009-03-19	$96.00	$80.00	104.0%	29.8%	96.4%	46.7%	0.0%	-50.5%	2.7%	-62	-6.8K	-35	108.59	N/A	N/A	0	0	5	1
2009-03-20	$103.68	$80.00	99.7%	28.6%	99.4%	43.8%	0.0%	9.8%	-13.4%	181	-8.2K	-54	114.45	N/A	N/A	0	0	5	1
2009-03-23	$102.08	$80.00	83.7%	24.0%	99.2%	33.1%	0.0%	6.4%	18.7%	107	-7.1K	-44	111.47	N/A	N/A	0	0	5	1
2009-03-24	$112.00	$80.00	107.2%	30.7%	104.0%	48.9%	0.0%	15.9%	-30.1%	256	-12.2K	-55	112.70	N/A	N/A	0	1	5	1
2009-03-25	$109.12	$80.00	94.5%	27.1%	101.9%	40.3%	0.0%	14.2%	-1.4%	117	-7.1K	-78	110.19	N/A	N/A	0	0	5	3
2009-03-26	$109.12	$80.00	107.1%	30.7%	90.8%	48.8%	0.0%	11.8%	-23.8%	155	-7.8K	-80	113.52	N/A	N/A	0	0	5	3
2009-03-27	$112.00	$80.00	114.3%	32.8%	89.0%	53.6%	0.0%	16.2%	-33.7%	200	-9.3K	-83	112.09	N/A	N/A	0	0	5	3
2009-03-30	$102.40	$80.00	119.9%	34.4%	87.8%	57.4%	0.0%	0.0%	-52.9%	92	-4.9K	-77	114.08	N/A	N/A	1	0	5	3
2009-03-31	$100.48	$80.00	103.9%	29.8%	85.9%	46.7%	0.0%	0.0%	-19.4%	106	-8.0K	-104	112.53	N/A	N/A	0	0	6	3