DAVE Options History — May 2010

In May 2010, DAVE traded between $255.36 and $300.80. ATM implied volatility averaged 49.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.8% (HV 20d: 39.9%). Max pain ranged from $160.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 11.63.

Notable Days

2010-05-25: Highest Volume — 3 contracts
2010-05-19: Largest IV spike — 45.9% change
2010-05-20: Highest IV Rank — 19.2%
2010-05-20: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$277.98	$255.36	$300.80	$300.80	$272.64
Max Pain	$288.00	$160.00	$320.00	$160.00	$320.00
ATM IV	49.6%	34.1%	60.9%	40.9%	56.5%
Expected Move	13.8%	9.8%	17.5%	11.7%	16.2%
HV 20d	39.9%	32.3%	49.9%	32.3%	49.9%
HV 60d	47.7%	43.9%	50.2%	43.9%	50.1%
IV Rank	12.4%	3.0%	19.2%	7.1%	16.6%
IV Percentile	36.7%	1.2%	60.3%	14.7%	54.0%
Term Structure	-0.6%	-14.9%	16.9%	1.7%	-12.4%
VWIV	63.0%	44.6%	81.4%	81.4%	44.6%
Skew 25d	4.3%	-13.8%	21.4%	-13.8%	8.3%
Skew 10d	9.6%	-24.3%	29.4%	-22.7%	15.9%
Call IV 25d	45.7%	31.5%	62.3%	52.1%	41.6%
Put IV 25d	50.0%	38.0%	67.4%	38.3%	50.0%
Bid-Ask Spread %	92.60	39.52	119.48	39.52	118.26
Gamma HHI	0.80	0.61	0.97	0.77	0.62
Net GEX	3.1K	1.9K	4.3K	4.3K	2.2K
Net DEX	-172.6K	-264.9K	-86.2K	-264.9K	-132.9K
Net VEX	-1.3K	-1.5K	-1.2K	-1.3K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.63	0.00	100.00	4.00	100.00
Total Volume	0.55	0	3	0	1
Total OI	31.1	28	36	28	36

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	Put Vol	Call OI	Put OI
2010-05-03	$300.80	$160.00	40.9%	11.7%	32.3%	7.1%	0.0%	-13.8%	1.7%	4.3K	-264.9K	-1.3K	0.00	39.52	N/A	N/A	0	0	18	10
2010-05-04	$297.28	$160.00	34.1%	9.8%	32.8%	3.0%	0.0%	-4.8%	16.9%	4.2K	-251.7K	-1.3K	0.00	48.99	N/A	N/A	0	0	18	10
2010-05-05	$280.00	$160.00	45.7%	13.1%	35.5%	10.1%	0.0%	1.2%	-14.9%	3.3K	-186.4K	-1.3K	0.00	47.90	N/A	N/A	0	0	18	10
2010-05-06	$280.64	$160.00	55.2%	15.8%	34.8%	15.8%	0.0%	9.6%	1.0%	3.3K	-180.4K	-1.3K	4.00	113.44	N/A	N/A	0	1	18	10
2010-05-07	$268.48	$320.00	48.9%	14.7%	33.8%	12.0%	0.0%	15.2%	-0.6%	2.8K	-132.0K	-1.3K	0.00	93.25	N/A	N/A	0	0	18	11
2010-05-10	$282.56	$320.00	49.2%	10.2%	38.9%	12.1%	0.0%	3.4%	7.8%	3.5K	-189.5K	-1.2K	0.00	112.14	N/A	N/A	0	0	18	11
2010-05-11	$288.00	$320.00	50.0%	12.7%	39.6%	12.7%	81.4%	-5.2%	-1.4%	3.5K	-209.5K	-1.2K	0.00	94.47	N/A	N/A	1	0	18	11
2010-05-12	$291.20	$320.00	51.9%	12.1%	39.7%	13.8%	44.6%	-7.6%	-2.1%	4.1K	-230.1K	-1.2K	0.00	108.35	N/A	N/A	1	0	19	11
2010-05-13	$290.56	$320.00	47.7%	13.7%	39.7%	11.2%	0.0%	-7.9%	-4.3%	4.2K	-233.2K	-1.2K	0.00	79.80	N/A	N/A	0	0	20	11
2010-05-14	$280.00	$320.00	40.8%	11.7%	38.9%	7.1%	0.0%	7.4%	5.9%	3.6K	-188.0K	-1.3K	0.00	88.08	N/A	N/A	1	0	20	11
2010-05-17	$278.72	$320.00	44.9%	12.9%	37.6%	9.5%	0.0%	3.0%	-7.4%	3.5K	-185.7K	-1.2K	0.36	113.13	N/A	N/A	1	0	20	11
2010-05-18	$281.60	$320.00	35.4%	10.1%	37.8%	3.8%	0.0%	14.3%	9.7%	2.8K	-190.3K	-1.2K	0.00	88.30	N/A	N/A	0	0	20	11
2010-05-19	$274.56	$320.00	51.6%	14.8%	38.7%	13.6%	0.0%	17.6%	6.9%	2.9K	-166.1K	-1.3K	0.33	66.13	N/A	N/A	1	0	20	11
2010-05-20	$268.80	$320.00	60.9%	17.5%	39.0%	19.2%	0.0%	21.4%	-6.8%	2.9K	-146.1K	-1.3K	0.00	57.43	N/A	N/A	0	0	21	11
2010-05-21	$259.84	$320.00	58.7%	16.8%	39.8%	17.9%	0.0%	12.3%	11.3%	2.5K	-120.4K	-1.3K	0.00	111.89	N/A	N/A	0	1	21	11
2010-05-24	$269.76	$320.00	51.6%	14.8%	42.7%	13.6%	0.0%	1.1%	5.8%	2.5K	-135.6K	-1.4K	0.00	115.49	N/A	N/A	0	0	20	13
2010-05-25	$255.36	$320.00	60.2%	17.3%	46.1%	18.8%	0.0%	4.6%	-10.1%	2.2K	-86.2K	-1.3K	100.00	117.42	N/A	N/A	0	3	20	13
2010-05-26	$266.56	$320.00	53.4%	15.3%	49.3%	14.7%	0.0%	2.1%	-9.5%	1.9K	-96.7K	-1.5K	0.00	119.48	N/A	N/A	0	0	20	16
2010-05-27	$272.32	$320.00	55.4%	15.9%	49.9%	15.9%	0.0%	4.3%	-10.5%	2.1K	-126.5K	-1.5K	0.00	118.49	N/A	N/A	0	0	20	16
2010-05-28	$272.64	$320.00	56.5%	16.2%	49.9%	16.6%	0.0%	8.3%	-12.4%	2.2K	-132.9K	-1.5K	0.00	118.26	N/A	N/A	0	1	20	16