DAVE Options History — June 2009

In June 2009, DAVE traded between $164.16 and $209.28. ATM implied volatility averaged 93.8%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 37.3% (HV 20d: 56.5%). Max pain ranged from $160.00 to $240.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2009-06-08: Highest Volume — 1 contracts
2009-06-19: Largest IV spike — 92.5% change
2009-06-19: Highest IV Rank — 92.1%
2009-06-26: Largest Expected Move — 49.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$192.26	$164.16	$209.28	$203.20	$196.48
Max Pain	$213.33	$160.00	$240.00	$240.00	$160.00
ATM IV	93.8%	48.3%	173.6%	56.2%	88.9%
Expected Move	23.8%	13.8%	49.0%	16.1%	25.5%
HV 20d	56.5%	38.2%	68.9%	59.2%	68.9%
HV 60d	93.8%	92.6%	95.4%	95.4%	94.5%
IV Rank	37.9%	7.1%	92.1%	12.5%	34.7%
IV Percentile	64.4%	13.9%	98.0%	28.2%	65.5%
Term Structure	-18.3%	-102.6%	24.4%	8.6%	-9.0%
VWIV	42.9%	42.9%	42.9%	42.9%	42.9%
Bid-Ask Spread %	90.44	37.01	181.14	83.49	101.77
Gamma HHI	0.85	0.67	0.99	0.98	0.73
Net GEX	-2.2K	-29.2K	1.2K	-2.8K	995
Net DEX	-89.1K	-126.5K	106.4K	-97.4K	-125.4K
Net VEX	-505	-596	-430	-596	-430
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	36.227	14	47	46	14

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	Put Vol	Call OI	Put OI
2009-06-01	$203.20	$240.00	56.2%	16.1%	59.2%	12.5%	0.0%	0.0%	8.6%	-2.8K	-97.4K	-596	83.49	N/A	N/A	0	11	35
2009-06-02	$207.36	$240.00	54.6%	15.7%	59.8%	11.4%	0.0%	0.0%	24.4%	-1.8K	-115.5K	-554	65.71	N/A	N/A	0	11	35
2009-06-03	$206.40	$240.00	48.3%	13.8%	59.7%	7.1%	42.9%	0.0%	12.3%	-1.0K	-119.8K	-520	79.72	N/A	N/A	0	11	35
2009-06-04	$209.28	$240.00	54.6%	15.7%	59.1%	11.4%	0.0%	0.0%	11.8%	-925	-122.3K	-513	85.08	N/A	N/A	0	11	35
2009-06-05	$199.68	$240.00	75.0%	21.5%	58.7%	25.2%	0.0%	0.0%	-16.2%	-3.0K	-92.2K	-566	70.57	N/A	N/A	0	11	35
2009-06-08	$196.80	$240.00	80.2%	23.0%	58.5%	28.7%	0.0%	0.0%	-19.5%	-3.5K	-85.5K	-541	61.68	N/A	N/A	1	11	35
2009-06-09	$200.00	$240.00	82.7%	23.7%	55.3%	30.4%	0.0%	0.0%	-20.1%	-2.6K	-92.2K	-557	60.93	N/A	N/A	0	11	36
2009-06-10	$206.40	$240.00	70.0%	20.1%	52.0%	21.8%	0.0%	0.0%	-1.6%	-1.5K	-109.0K	-523	85.72	N/A	N/A	0	11	36
2009-06-11	$204.48	$240.00	116.1%	33.3%	43.8%	53.1%	0.0%	0.0%	-44.1%	787	-124.7K	-464	115.82	N/A	N/A	0	11	36
2009-06-12	$194.56	$240.00	102.0%	29.2%	47.1%	43.5%	0.0%	0.0%	-45.0%	-4.6K	-75.3K	-566	85.00	N/A	N/A	0	11	36
2009-06-15	$193.60	$160.00	112.6%	19.5%	47.3%	50.7%	0.0%	0.0%	2.8%	1.0K	-106.2K	-467	37.01	N/A	N/A	0	11	36
2009-06-16	$188.48	$160.00	118.0%	19.4%	38.2%	54.4%	0.0%	0.0%	1.1%	1.1K	-96.8K	-459	69.12	N/A	N/A	0	11	36
2009-06-17	$177.60	$160.00	102.2%	20.0%	41.5%	43.6%	0.0%	0.0%	-0.6%	-9.7K	-37.1K	-538	68.92	N/A	N/A	0	11	36
2009-06-18	$164.16	$160.00	90.1%	20.1%	49.1%	35.5%	0.0%	0.0%	-0.7%	-29.2K	106.4K	-596	76.04	N/A	N/A	0	11	36
2009-06-19	$180.16	$160.00	173.6%	19.7%	60.5%	92.1%	0.0%	0.0%	0.4%	1.2K	-87.7K	-466	69.79	N/A	N/A	0	11	36
2009-06-22	$176.00	$0.00	99.8%	28.6%	61.0%	42.0%	0.0%	0.0%	-32.4%	1.2K	-84.0K	-467	101.87	N/A	N/A	0	10	4
2009-06-23	$172.16	$0.00	99.9%	28.6%	61.3%	42.1%	0.0%	0.0%	-32.4%	1.2K	-79.3K	-461	105.47	N/A	N/A	0	10	4
2009-06-24	$173.12	$0.00	68.6%	0.0%	61.1%	20.9%	0.0%	0.0%	-70.7%	1.2K	-79.3K	-456	181.14	N/A	N/A	0	10	4
2009-06-25	$182.40	$0.00	98.6%	28.3%	64.0%	41.2%	0.0%	0.0%	-29.7%	1.2K	-94.6K	-465	103.31	N/A	N/A	0	10	4
2009-06-26	$195.84	$0.00	170.8%	49.0%	68.7%	90.2%	0.0%	0.0%	-102.6%	1.1K	-116.1K	-460	180.19	N/A	N/A	0	10	4
2009-06-29	$201.60	$0.00	100.2%	28.7%	68.8%	42.3%	0.0%	0.0%	-39.0%	1.1K	-126.5K	-444	101.24	N/A	N/A	0	10	4
2009-06-30	$196.48	$0.00	88.9%	25.5%	68.9%	34.7%	0.0%	0.0%	-9.0%	995	-125.4K	-430	101.77	N/A	N/A	0	10	4