DAVE Options History — April 2009

In April 2009, DAVE traded between $100.80 and $216.32. ATM implied volatility averaged 113.4%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 8.3% (HV 20d: 105.1%). Max pain ranged from $80.00 to $160.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2009-04-23: Highest Volume — 33 contracts
2009-04-20: Largest IV drop — 53.1% change
2009-04-16: Highest IV Rank — 100.0%
2009-04-06: Largest Expected Move — 41.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$143.21	$100.80	$216.32	$100.80	$216.32
Max Pain	$106.67	$80.00	$160.00	$80.00	$160.00
ATM IV	113.4%	51.4%	185.3%	129.7%	51.4%
Expected Move	26.8%	14.7%	41.0%	37.2%	14.7%
HV 20d	105.1%	68.5%	137.1%	85.0%	128.3%
HV 60d	93.2%	82.3%	105.0%	97.7%	102.3%
IV Rank	52.6%	10.1%	100.0%	64.0%	10.1%
IV Percentile	76.1%	28.2%	100.0%	95.6%	28.2%
Term Structure	-21.5%	-86.8%	5.5%	-59.1%	5.5%
VWIV	78.5%	73.0%	86.9%	75.6%	73.0%
Bid-Ask Spread %	89.25	54.46	114.15	105.05	108.07
Gamma HHI	0.66	0.50	0.99	0.85	0.93
Net GEX	-1.1K	-6.6K	824	172	-3.5K
Net DEX	-23.1K	-123.0K	24.7K	-9.1K	-123.0K
Net VEX	-320	-1.1K	-102	-109	-558
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	5.00	0.00	0.00
Total Volume	1.952	0	33	0	0
Total OI	16.905	5	44	9	44

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
2009-04-01	$100.80	$80.00	129.7%	37.2%	85.0%	64.0%	0.0%	0.0%	-59.1%	172	-9.1K	-109	0.00	105.05	N/A	N/A	0	0	6	3
2009-04-02	$104.32	$80.00	126.7%	36.3%	76.8%	61.9%	0.0%	0.0%	-43.8%	180	-10.6K	-111	0.00	104.58	N/A	N/A	0	0	6	3
2009-04-03	$105.60	$80.00	128.1%	36.7%	71.7%	62.8%	0.0%	0.0%	-34.1%	-48	-10.1K	-102	0.00	102.72	N/A	N/A	0	0	6	3
2009-04-06	$105.60	$80.00	143.2%	41.0%	71.8%	73.0%	0.0%	0.0%	-58.2%	-36	-11.1K	-105	0.00	99.67	N/A	N/A	0	0	6	3
2009-04-07	$100.80	$80.00	124.5%	35.7%	70.4%	60.5%	0.0%	0.0%	-33.0%	100	-8.6K	-108	0.00	104.97	N/A	N/A	0	0	6	3
2009-04-08	$101.76	$80.00	81.4%	0.0%	68.5%	31.5%	0.0%	0.0%	-86.8%	-32	-10.6K	-104	0.00	114.15	N/A	N/A	0	0	6	3
2009-04-09	$130.24	$80.00	114.3%	32.8%	107.3%	53.6%	0.0%	0.0%	-8.0%	-11	-18.3K	-119	0.00	106.01	N/A	N/A	0	0	6	3
2009-04-13	$126.72	$80.00	162.6%	25.1%	107.9%	86.0%	0.0%	0.0%	0.0%	0	-18.3K	-126	0.00	54.46	N/A	N/A	0	0	7	3
2009-04-14	$129.60	$80.00	170.4%	25.2%	107.9%	91.3%	0.0%	0.0%	0.0%	19	-20.6K	-127	0.00	64.31	N/A	N/A	0	0	7	3
2009-04-15	$131.20	$80.00	163.0%	24.7%	107.9%	86.3%	0.0%	0.0%	0.0%	15	-20.2K	-129	0.00	59.50	N/A	N/A	0	0	7	3
2009-04-16	$134.40	$80.00	185.3%	24.5%	107.5%	100.0%	0.0%	0.0%	0.0%	-17	-20.3K	-119	0.00	54.98	N/A	N/A	0	0	7	3
2009-04-17	$137.60	$80.00	176.0%	22.4%	106.2%	93.9%	0.0%	0.0%	0.0%	29	-22.2K	-122	0.00	60.23	N/A	N/A	0	0	7	3
2009-04-20	$131.84	$0.00	82.5%	23.7%	105.9%	31.9%	0.0%	0.0%	-3.2%	26	-6.1K	-124	0.00	100.32	N/A	N/A	0	0	2	3
2009-04-21	$128.00	$0.00	80.4%	23.1%	106.5%	30.5%	0.0%	0.0%	-1.9%	21	-5.3K	-123	0.00	87.50	N/A	N/A	0	0	2	3
2009-04-22	$143.04	$0.00	83.6%	24.0%	108.5%	32.6%	75.6%	0.0%	-3.0%	75	-11.3K	-129	0.04	98.45	N/A	N/A	7	0	2	3
2009-04-23	$184.32	$160.00	85.1%	24.4%	137.1%	33.6%	86.9%	0.0%	-2.9%	824	-113.0K	-385	0.00	101.88	N/A	N/A	0	33	9	3
2009-04-24	$188.80	$160.00	74.6%	21.4%	136.7%	26.6%	0.0%	0.0%	-0.3%	-5.2K	13.6K	-1.1K	0.00	84.67	N/A	N/A	0	0	9	33
2009-04-27	$191.04	$160.00	80.0%	22.9%	136.8%	30.2%	0.0%	0.0%	-5.2%	-5.1K	24.7K	-1.1K	5.00	79.94	N/A	N/A	0	0	9	34
2009-04-28	$202.24	$160.00	66.0%	18.9%	130.0%	20.9%	0.0%	0.0%	-0.5%	-6.6K	-32.3K	-914	0.00	85.80	N/A	N/A	0	0	9	34
2009-04-29	$213.12	$160.00	72.7%	20.8%	128.7%	24.4%	73.0%	0.0%	-9.7%	-4.0K	-52.4K	-922	0.27	97.07	N/A	N/A	1	0	9	34
2009-04-30	$216.32	$160.00	51.4%	14.7%	128.3%	10.1%	0.0%	0.0%	5.5%	-3.5K	-123.0K	-558	0.00	108.07	N/A	N/A	0	0	9	35