DAVE Options History — October 2010

In October 2010, DAVE traded between $292.80 and $334.08. ATM implied volatility averaged 46.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 15.6% (HV 20d: 31.0%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2010-10-07: Highest Volume — 2 contracts
2010-10-04: Largest IV drop — 38.5% change
2010-10-12: Highest IV Rank — 31.6%
2010-10-01: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$319.07	$292.80	$334.08	$292.80	$303.68
Max Pain	$313.85	$240.00	$320.00	$240.00	$320.00
ATM IV	46.6%	30.6%	63.3%	61.4%	43.3%
Expected Move	13.7%	12.0%	17.6%	17.6%	12.4%
HV 20d	31.0%	27.8%	38.5%	29.2%	38.5%
HV 60d	30.5%	29.4%	33.6%	31.0%	33.6%
IV Rank	15.2%	1.3%	31.6%	19.5%	13.1%
IV Percentile	40.9%	0.4%	89.3%	84.1%	28.6%
Term Structure	-0.5%	-8.9%	14.1%	-4.7%	0.5%
VWIV	49.2%	48.0%	50.0%	49.9%	48.9%
Skew 25d	10.1%	-1.7%	42.1%	-1.7%	3.8%
Skew 10d	14.0%	-0.5%	66.3%	7.5%	2.5%
Call IV 25d	42.9%	23.1%	53.4%	49.3%	53.4%
Put IV 25d	53.1%	41.4%	89.5%	47.6%	57.2%
Bid-Ask Spread %	108.06	89.45	118.90	109.00	118.90
Gamma HHI	0.45	0.41	0.59	0.41	0.49
Net GEX	4.7K	-2.5K	22.2K	1.5K	-2.5K
Net DEX	-119.5K	-277.3K	-8.4K	-33.5K	-8.4K
Net VEX	-1.4K	-1.6K	-1.1K	-1.6K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.00	21.00	0.25	0.00
Total Volume	0.333	0	2	0	0
Total OI	43.381	35	53	49	36

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
2010-10-01	$292.80	$240.00	61.4%	17.6%	29.2%	19.5%	0.0%	-1.7%	-4.7%	1.5K	-33.5K	-1.6K	0.00	109.00	N/A	N/A	0	0	15	34
2010-10-04	$303.04	$0.00	37.7%	12.8%	30.9%	5.2%	0.0%	-1.5%	-0.3%	4.6K	-23.3K	-1.5K	0.25	113.56	N/A	N/A	0	0	15	34
2010-10-05	$309.76	$0.00	47.6%	13.6%	28.9%	11.2%	0.0%	3.5%	-1.7%	5.0K	-71.9K	-1.4K	0.00	109.56	N/A	N/A	1	0	15	34
2010-10-06	$324.16	$0.00	46.3%	13.6%	28.2%	15.9%	0.0%	28.7%	-1.6%	8.1K	-157.4K	-1.3K	0.00	109.51	N/A	N/A	1	0	15	34
2010-10-07	$333.12	$0.00	30.6%	13.6%	27.9%	1.3%	0.0%	13.1%	-2.3%	9.9K	-241.0K	-1.2K	0.00	99.34	N/A	N/A	2	0	15	34
2010-10-08	$333.76	$0.00	34.3%	14.2%	27.8%	4.8%	0.0%	8.1%	-6.3%	10.0K	-277.3K	-1.3K	0.00	89.45	N/A	N/A	0	0	17	34
2010-10-11	$334.08	$0.00	46.0%	14.1%	28.0%	15.6%	0.0%	14.3%	-2.5%	10.8K	-277.3K	-1.5K	0.23	103.15	N/A	N/A	0	0	17	34
2010-10-12	$329.60	$0.00	63.3%	15.7%	29.2%	31.6%	0.0%	11.9%	-8.9%	11.1K	-253.0K	-1.5K	0.00	107.39	N/A	N/A	1	0	18	34
2010-10-13	$324.16	$0.00	61.5%	14.3%	30.0%	30.0%	49.9%	25.2%	-5.7%	13.2K	-224.4K	-1.5K	0.00	110.67	N/A	N/A	0	0	19	34
2010-10-14	$319.36	$320.00	51.3%	14.7%	30.9%	20.5%	0.0%	6.9%	-7.9%	11.8K	-188.6K	-1.5K	1.00	111.57	N/A	N/A	0	0	19	34
2010-10-15	$324.48	$320.00	45.3%	13.0%	30.2%	14.9%	0.0%	8.2%	-1.2%	22.2K	-240.0K	-1.4K	0.00	98.09	N/A	N/A	0	0	19	34
2010-10-18	$316.16	$320.00	50.1%	14.4%	32.2%	19.4%	50.0%	5.6%	-0.8%	-876	-52.5K	-1.4K	0.00	111.36	N/A	N/A	0	0	12	23
2010-10-19	$312.64	$320.00	46.6%	13.4%	32.7%	16.1%	0.0%	4.5%	0.1%	-1.4K	-35.4K	-1.5K	0.00	103.28	N/A	N/A	0	0	12	23
2010-10-20	$311.68	$320.00	48.6%	13.9%	32.5%	18.0%	0.0%	4.0%	0.7%	-1.7K	-26.4K	-1.5K	0.00	109.15	N/A	N/A	1	0	12	23
2010-10-21	$317.76	$320.00	46.0%	13.2%	33.0%	15.6%	0.0%	5.8%	-1.0%	-895	-52.7K	-1.4K	0.00	103.05	N/A	N/A	0	0	12	23
2010-10-22	$320.00	$320.00	42.2%	12.1%	32.9%	12.0%	0.0%	6.3%	4.7%	-549	-62.4K	-1.3K	0.00	110.23	N/A	N/A	0	0	12	23
2010-10-25	$321.60	$320.00	41.9%	12.0%	32.7%	11.8%	0.0%	9.5%	5.3%	-155	-73.0K	-1.4K	0.00	107.17	N/A	N/A	0	0	12	23
2010-10-26	$320.96	$320.00	48.0%	13.8%	31.9%	17.4%	48.0%	7.6%	1.3%	-439	-67.7K	-1.3K	21.00	113.93	N/A	N/A	0	1	12	23
2010-10-27	$322.88	$320.00	43.1%	12.3%	31.7%	12.9%	0.0%	7.3%	8.0%	-673	-61.3K	-1.4K	0.00	117.75	N/A	N/A	0	0	12	24
2010-10-28	$324.80	$320.00	42.8%	12.3%	31.6%	12.6%	0.0%	42.1%	14.1%	-752	-83.1K	-1.1K	0.00	113.17	N/A	N/A	0	0	12	24
2010-10-29	$303.68	$320.00	43.3%	12.4%	38.5%	13.1%	48.9%	3.8%	0.5%	-2.5K	-8.4K	-1.3K	0.00	118.90	N/A	N/A	0	0	12	24