DAVE Options History — March 2010

In March 2010, DAVE traded between $213.44 and $263.04. ATM implied volatility averaged 43.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.3% (HV 20d: 41.9%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2010-03-29: Highest Volume — 8 contracts
2010-03-05: Largest IV drop — 32.9% change
2010-03-03: Highest IV Rank — 13.2%
2010-03-03: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$231.93	$213.44	$263.04	$218.24	$257.60
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	43.2%	34.5%	53.9%	38.7%	35.5%
Expected Move	12.7%	9.9%	15.4%	11.1%	10.2%
HV 20d	41.9%	26.7%	61.8%	26.7%	60.9%
HV 60d	34.6%	30.4%	42.9%	30.4%	42.7%
IV Rank	6.6%	1.2%	13.2%	3.8%	1.9%
IV Percentile	13.0%	0.4%	27.8%	7.5%	1.2%
Term Structure	3.4%	-6.4%	20.2%	9.5%	12.0%
VWIV	45.1%	37.4%	52.8%	52.8%	37.4%
Skew 25d	7.1%	3.2%	22.1%	6.8%	3.6%
Skew 10d	19.3%	6.3%	57.3%	16.3%	7.4%
Call IV 25d	42.4%	33.3%	45.0%	44.5%	37.9%
Put IV 25d	49.5%	41.5%	55.5%	51.3%	41.5%
Bid-Ask Spread %	41.97	25.99	83.77	56.63	58.86
Gamma HHI	0.91	0.54	0.98	0.96	0.54
Net GEX	2.8K	1.9K	3.4K	2.5K	2.1K
Net DEX	-89.6K	-160.5K	-60.9K	-72.9K	-104.7K
Net VEX	-525	-1.1K	-425	-437	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.00	7.34	0.00	0.00
Total Volume	0.565	0	8	0	2
Total OI	11.087	10	20	10	20

Daily Data (23 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
2010-03-01	$218.24	$0.00	38.7%	11.1%	26.7%	3.8%	0.0%	6.8%	9.5%	2.5K	-72.9K	-437	0.00	56.63	N/A	N/A	0	0	9	1
2010-03-02	$228.80	$0.00	49.7%	14.3%	30.7%	10.7%	0.0%	6.2%	-0.8%	2.7K	-92.3K	-472	0.00	43.54	N/A	N/A	0	0	9	1
2010-03-03	$229.44	$0.00	53.9%	15.4%	30.5%	13.2%	0.0%	5.9%	-6.4%	2.7K	-92.7K	-471	0.00	26.72	N/A	N/A	0	0	9	1
2010-03-04	$228.80	$0.00	53.2%	15.2%	30.6%	12.8%	0.0%	4.9%	20.2%	2.8K	-82.0K	-449	0.00	58.83	N/A	N/A	0	0	9	1
2010-03-05	$222.08	$240.00	35.7%	12.4%	32.8%	2.0%	0.0%	6.4%	2.5%	2.6K	-75.2K	-469	0.00	26.22	N/A	N/A	0	0	9	1
2010-03-08	$221.76	$240.00	39.7%	13.9%	32.1%	4.5%	0.0%	6.0%	-1.4%	2.6K	-76.6K	-467	0.00	30.09	N/A	N/A	0	0	9	1
2010-03-09	$223.68	$240.00	39.8%	13.7%	32.1%	4.5%	0.0%	7.1%	-0.9%	2.7K	-77.2K	-463	0.00	30.75	N/A	N/A	0	0	9	1
2010-03-10	$223.68	$240.00	41.8%	12.7%	31.7%	5.7%	0.0%	6.1%	2.5%	2.7K	-75.8K	-460	0.00	25.99	N/A	N/A	0	0	9	1
2010-03-11	$213.44	$240.00	44.8%	12.9%	36.4%	7.6%	52.8%	6.8%	-6.3%	2.5K	-60.9K	-425	0.00	34.17	N/A	N/A	0	0	9	1
2010-03-12	$217.60	$240.00	43.0%	12.3%	36.9%	6.5%	0.0%	7.2%	-1.3%	2.6K	-65.4K	-439	0.00	45.26	N/A	N/A	0	0	9	1
2010-03-15	$224.32	$240.00	46.5%	13.3%	38.2%	8.6%	0.0%	7.2%	0.4%	2.7K	-75.8K	-480	0.00	37.87	N/A	N/A	0	0	9	1
2010-03-16	$242.24	$240.00	47.7%	13.7%	46.0%	9.4%	0.0%	5.2%	-0.4%	3.0K	-108.9K	-512	0.00	26.06	N/A	N/A	0	0	9	1
2010-03-17	$234.24	$240.00	48.8%	14.0%	47.2%	10.1%	0.0%	7.3%	-0.4%	2.8K	-95.8K	-501	0.00	27.46	N/A	N/A	0	0	9	1
2010-03-18	$230.40	$240.00	46.3%	13.3%	47.5%	8.5%	0.0%	5.0%	-0.2%	2.9K	-83.9K	-486	0.00	32.89	N/A	N/A	0	0	9	1
2010-03-19	$238.72	$240.00	38.3%	11.0%	46.0%	3.6%	0.0%	9.1%	10.1%	2.8K	-98.1K	-497	0.00	83.77	N/A	N/A	1	0	9	1
2010-03-22	$231.68	$240.00	44.8%	12.8%	47.2%	7.6%	0.0%	3.2%	2.0%	3.1K	-85.9K	-492	0.00	39.56	N/A	N/A	0	0	10	1
2010-03-23	$229.44	$240.00	45.8%	13.1%	47.2%	8.2%	0.0%	5.5%	1.6%	3.1K	-88.0K	-497	0.00	39.94	N/A	N/A	0	0	10	1
2010-03-24	$230.40	$240.00	45.5%	13.0%	46.8%	8.0%	0.0%	3.2%	2.3%	3.1K	-89.0K	-494	0.00	38.42	N/A	N/A	0	0	10	1
2010-03-25	$232.96	$240.00	42.2%	12.1%	46.8%	6.0%	0.0%	7.6%	4.2%	3.2K	-96.4K	-496	0.00	41.28	N/A	N/A	0	0	10	1
2010-03-26	$233.60	$240.00	40.9%	11.7%	46.7%	5.2%	0.0%	5.0%	5.7%	3.2K	-95.0K	-499	0.00	38.61	N/A	N/A	0	0	10	1
2010-03-29	$263.04	$240.00	34.5%	9.9%	61.8%	1.2%	0.0%	22.1%	14.2%	3.4K	-160.5K	-481	7.34	64.26	N/A	N/A	1	7	10	1
2010-03-30	$258.24	$240.00	36.2%	10.4%	60.8%	2.3%	37.4%	14.7%	10.2%	1.9K	-107.1K	-1.0K	0.00	58.02	N/A	N/A	2	0	11	8
2010-03-31	$257.60	$240.00	35.5%	10.2%	60.9%	1.9%	0.0%	3.6%	12.0%	2.1K	-104.7K	-1.1K	0.00	58.86	N/A	N/A	0	2	12	8