DAVE Options History — October 2009

In October 2009, DAVE traded between $170.56 and $214.08. ATM implied volatility averaged 62.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 10.8% (HV 20d: 51.9%). Max pain ranged from $80.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2009-10-28: Highest Volume — 2 contracts
2009-10-02: Largest IV spike — 229.8% change
2009-10-02: Highest IV Rank — 100.0%
2009-10-09: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$199.15	$170.56	$214.08	$179.20	$196.48
Max Pain	$88.89	$80.00	$160.00	$160.00	$80.00
ATM IV	62.7%	36.0%	194.1%	58.9%	62.0%
Expected Move	13.4%	10.3%	19.6%	16.9%	17.8%
HV 20d	51.9%	41.2%	57.4%	41.2%	57.1%
HV 60d	45.1%	41.2%	47.9%	41.2%	44.6%
IV Rank	14.0%	0.0%	100.0%	7.6%	16.4%
IV Percentile	18.7%	0.0%	100.0%	9.1%	15.9%
Term Structure	6.1%	-17.8%	18.6%	18.6%	-17.8%
Bid-Ask Spread %	144.99	30.28	190.79	100.52	30.28
Gamma HHI	0.63	0.40	0.98	0.96	0.75
Net GEX	867	67	4.7K	3.2K	319
Net DEX	-86.8K	-175.2K	-9.6K	-115.1K	-9.6K
Net VEX	-134	-265	-83	-164	-219
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	1.00
Total Volume	0.238	0	2	0	0
Total OI	10.714	4	16	16	8

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
2009-10-01	$179.20	$160.00	58.9%	16.9%	41.2%	7.6%	0.0%	0.0%	0.0%	3.2K	-115.1K	-164	0.00	100.52	N/A	N/A	0	0	11	5
2009-10-02	$172.80	$160.00	194.1%	0.0%	43.3%	100.0%	0.0%	0.0%	0.0%	4.7K	-107.8K	-180	0.00	190.79	N/A	N/A	0	0	11	5
2009-10-05	$170.56	$0.00	66.9%	16.4%	43.3%	12.7%	0.0%	0.0%	18.6%	3.8K	-78.5K	-190	0.00	129.15	N/A	N/A	0	0	11	5
2009-10-06	$187.84	$0.00	63.8%	0.0%	54.4%	10.6%	0.0%	0.0%	0.0%	1.4K	-139.7K	-115	0.00	180.80	N/A	N/A	0	0	11	4
2009-10-07	$187.52	$0.00	84.6%	0.0%	53.9%	24.9%	0.0%	0.0%	0.0%	1.8K	-137.9K	-132	0.00	180.09	N/A	N/A	1	0	11	4
2009-10-08	$198.40	$80.00	120.6%	0.0%	56.7%	49.6%	0.0%	0.0%	0.0%	76	-167.2K	-93	0.00	180.67	N/A	N/A	0	0	12	4
2009-10-09	$199.04	$80.00	98.9%	19.6%	56.3%	34.7%	0.0%	0.0%	1.6%	90	-168.9K	-102	0.00	125.81	N/A	N/A	0	0	12	4
2009-10-12	$199.36	$80.00	49.3%	0.0%	56.1%	0.7%	0.0%	0.0%	0.0%	67	-167.8K	-83	0.00	182.67	N/A	N/A	0	0	12	4
2009-10-13	$196.80	$80.00	60.9%	0.0%	56.3%	8.6%	0.0%	0.0%	0.0%	73	-165.6K	-93	0.00	182.55	N/A	N/A	0	0	12	4
2009-10-14	$198.40	$80.00	46.0%	13.2%	56.3%	0.0%	0.0%	0.0%	-9.8%	94	-167.7K	-93	0.00	139.16	N/A	N/A	1	0	12	4
2009-10-15	$205.44	$80.00	37.8%	10.8%	57.4%	0.0%	0.0%	0.0%	10.4%	101	-175.2K	-94	0.00	133.97	N/A	N/A	0	0	12	4
2009-10-19	$206.40	$80.00	36.7%	10.5%	51.4%	0.0%	0.0%	0.0%	12.5%	138	-18.0K	-100	0.00	156.17	N/A	N/A	0	0	3	1
2009-10-20	$203.20	$80.00	39.4%	11.3%	50.1%	1.8%	0.0%	0.0%	10.9%	138	-17.7K	-101	0.00	155.16	N/A	N/A	0	0	3	1
2009-10-21	$208.96	$80.00	46.3%	13.3%	50.8%	6.1%	0.0%	0.0%	12.6%	135	-19.0K	-94	0.00	153.91	N/A	N/A	0	0	3	1
2009-10-22	$209.60	$80.00	38.1%	10.9%	50.8%	0.9%	0.0%	0.0%	14.3%	178	-20.6K	-104	0.00	157.04	N/A	N/A	0	0	3	1
2009-10-23	$212.80	$80.00	40.1%	11.5%	50.8%	2.2%	0.0%	0.0%	16.3%	239	-24.9K	-125	0.00	154.85	N/A	N/A	1	0	3	1
2009-10-26	$208.32	$80.00	36.0%	10.3%	50.7%	0.0%	0.0%	0.0%	14.5%	405	-30.6K	-154	0.00	154.42	N/A	N/A	0	0	4	1
2009-10-27	$212.80	$80.00	47.9%	13.7%	51.0%	7.5%	0.0%	0.0%	-3.2%	410	-31.3K	-153	0.00	144.17	N/A	N/A	0	0	4	1
2009-10-28	$214.08	$80.00	51.0%	14.6%	51.0%	9.5%	0.0%	0.0%	-7.2%	423	-32.9K	-158	1.00	144.73	N/A	N/A	1	1	4	1
2009-10-29	$214.08	$80.00	37.3%	10.7%	49.8%	0.8%	0.0%	0.0%	11.3%	418	-27.1K	-265	0.00	67.83	N/A	N/A	0	0	5	3
2009-10-30	$196.48	$80.00	62.0%	17.8%	57.1%	16.4%	0.0%	0.0%	-17.8%	319	-9.6K	-219	0.00	30.28	N/A	N/A	0	0	5	3