DAVE Options History — May 2009

In May 2009, DAVE traded between $163.84 and $220.16. ATM implied volatility averaged 68.7%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 33.0% (HV 20d: 101.7%). Max pain ranged from $160.00 to $240.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2009-05-07: Highest Volume — 1 contracts
2009-05-04: Largest IV spike — 42.0% change
2009-05-18: Highest IV Rank — 43.5%
2009-05-18: Largest Expected Move — 29.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$192.02	$163.84	$220.16	$220.16	$197.76
Max Pain	$232.00	$160.00	$240.00	$160.00	$240.00
ATM IV	68.7%	53.2%	101.7%	54.1%	58.0%
Expected Move	19.7%	15.2%	29.2%	15.5%	16.6%
HV 20d	101.7%	58.2%	131.9%	128.5%	58.7%
HV 60d	102.9%	97.5%	106.0%	101.7%	97.5%
IV Rank	21.3%	10.8%	43.5%	11.9%	14.0%
IV Percentile	43.5%	24.6%	83.7%	31.0%	29.8%
Term Structure	-3.3%	-31.7%	18.4%	-2.9%	11.4%
VWIV	66.3%	51.6%	76.8%	76.8%	51.6%
Bid-Ask Spread %	102.12	59.25	144.36	108.99	83.15
Gamma HHI	0.95	0.80	0.98	0.80	0.94
Net GEX	-5.6K	-7.8K	839	839	-3.0K
Net DEX	-8.1K	-150.6K	136.4K	-150.6K	-84.9K
Net VEX	-851	-1.1K	-383	-383	-589
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	5.00	5.00	1.00
Total Volume	0.1	0	1	0	0
Total OI	44.45	44	46	44	46

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
2009-05-01	$220.16	$160.00	54.1%	15.5%	128.5%	11.9%	0.0%	0.0%	-2.9%	839	-150.6K	-383	0.00	108.99	N/A	N/A	0	9	35
2009-05-04	$217.60	$160.00	76.9%	22.0%	129.4%	27.1%	76.8%	0.0%	-14.9%	-3.7K	-68.5K	-854	5.00	93.94	N/A	N/A	0	9	35
2009-05-05	$215.04	$240.00	67.0%	19.2%	129.9%	20.4%	0.0%	0.0%	-5.1%	-4.7K	-82.3K	-757	0.00	93.95	N/A	N/A	0	9	35
2009-05-06	$208.96	$240.00	69.3%	19.9%	128.6%	22.0%	0.0%	0.0%	-7.0%	-4.4K	-50.6K	-891	0.00	95.23	N/A	N/A	0	9	35
2009-05-07	$198.72	$240.00	65.5%	18.8%	131.9%	19.1%	75.4%	0.0%	15.2%	-5.3K	-4.6K	-997	0.00	96.48	N/A	N/A	1	9	35
2009-05-08	$194.88	$240.00	65.7%	18.8%	106.2%	19.2%	55.2%	0.0%	18.4%	-5.4K	1.4K	-972	0.00	100.26	N/A	N/A	0	9	35
2009-05-11	$184.96	$240.00	73.5%	21.1%	108.0%	24.5%	0.0%	0.0%	-1.7%	-6.5K	35.9K	-999	0.00	103.03	N/A	N/A	0	9	35
2009-05-12	$175.68	$240.00	72.4%	20.8%	110.8%	23.7%	0.0%	0.0%	0.3%	-7.2K	80.0K	-1.0K	0.00	101.93	N/A	N/A	0	9	35
2009-05-13	$163.84	$240.00	72.0%	20.7%	114.9%	23.5%	72.4%	0.0%	1.5%	-7.7K	136.4K	-1.1K	0.00	96.88	N/A	N/A	0	9	35
2009-05-14	$170.88	$240.00	71.9%	20.6%	115.3%	23.4%	0.0%	0.0%	5.3%	-7.8K	109.6K	-1.1K	0.00	124.33	N/A	N/A	0	9	35
2009-05-15	$172.48	$240.00	76.7%	22.0%	115.2%	26.7%	0.0%	0.0%	-0.2%	-7.2K	101.3K	-1.0K	0.00	124.93	N/A	N/A	0	9	35
2009-05-18	$187.84	$240.00	101.7%	29.2%	116.2%	43.5%	0.0%	0.0%	-31.7%	-5.5K	50.6K	-1.0K	0.00	144.36	N/A	N/A	1	9	35
2009-05-19	$194.24	$240.00	71.5%	20.5%	115.0%	23.2%	0.0%	0.0%	-20.7%	-5.8K	-37.9K	-823	0.00	125.08	N/A	N/A	0	10	35
2009-05-20	$191.04	$240.00	77.1%	22.1%	110.5%	26.9%	0.0%	0.0%	-25.9%	-6.4K	-19.4K	-839	0.00	125.38	N/A	N/A	0	10	35
2009-05-21	$188.16	$240.00	53.2%	15.2%	65.4%	10.8%	0.0%	0.0%	13.1%	-6.8K	-35.8K	-774	0.00	101.04	N/A	N/A	0	10	35
2009-05-22	$187.20	$240.00	57.1%	16.4%	64.8%	13.4%	0.0%	0.0%	3.2%	-7.2K	-26.1K	-799	0.00	101.39	N/A	N/A	0	10	35
2009-05-26	$187.52	$240.00	58.7%	16.8%	64.7%	14.5%	51.6%	0.0%	-3.7%	-7.1K	-36.4K	-723	0.00	100.36	N/A	N/A	0	10	35
2009-05-27	$190.08	$240.00	70.2%	20.1%	61.3%	22.3%	0.0%	0.0%	-19.5%	-6.4K	-7.3K	-838	0.00	59.25	N/A	N/A	0	10	35
2009-05-28	$193.28	$240.00	61.5%	17.6%	58.2%	16.4%	0.0%	0.0%	-0.2%	-4.2K	-73.1K	-598	1.00	62.47	N/A	N/A	0	10	35
2009-05-29	$197.76	$240.00	58.0%	16.6%	58.7%	14.0%	0.0%	0.0%	11.4%	-3.0K	-84.9K	-589	0.00	83.15	N/A	N/A	0	11	35