DAVE Options History — December 2010

In December 2010, DAVE traded between $314.56 and $359.36. ATM implied volatility averaged 47.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 18.8% (HV 20d: 28.4%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 15.96.

Notable Days

2010-12-02: Highest Volume — 10 contracts
2010-12-15: Largest IV drop — 52.2% change
2010-12-14: Highest IV Rank — 50.1%
2010-12-01: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$340.26	$314.56	$359.36	$314.56	$356.80
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	47.2%	29.9%	83.3%	53.5%	37.8%
Expected Move	12.0%	8.6%	15.3%	15.3%	10.8%
HV 20d	28.4%	21.1%	33.9%	24.1%	33.5%
HV 60d	31.3%	29.3%	32.7%	30.6%	30.7%
IV Rank	16.7%	0.7%	50.1%	22.5%	8.0%
IV Percentile	42.2%	0.4%	97.2%	70.2%	14.7%
Term Structure	0.6%	-15.0%	16.6%	-4.9%	-7.3%
VWIV	41.9%	33.4%	47.6%	44.4%	33.4%
Skew 25d	8.5%	-5.1%	51.3%	0.7%	4.3%
Skew 10d	10.0%	-6.2%	79.5%	1.0%	9.5%
Call IV 25d	39.6%	28.6%	62.4%	62.4%	33.5%
Put IV 25d	48.1%	37.0%	109.6%	63.1%	37.8%
Bid-Ask Spread %	113.42	101.89	120.84	117.19	114.61
Gamma HHI	0.65	0.38	0.85	0.42	0.85
Net GEX	4.9K	-1.3K	7.2K	-603	7.2K
Net DEX	-160.0K	-212.6K	-49.3K	-49.3K	-199.6K
Net VEX	-807	-1.0K	-699	-1.0K	-701
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.96	0.00	111.33	111.33	0.00
Total Volume	1.273	0	10	1	1
Total OI	30.682	28	39	39	29

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$314.56	$320.00	53.5%	15.3%	24.1%	22.5%	0.0%	0.7%	-4.9%	-603	-49.3K	-1.0K	0.00	117.19	N/A	N/A	0	1	14	25
2010-12-02	$317.76	$320.00	44.6%	12.8%	22.6%	14.3%	44.4%	51.3%	0.0%	-1.3K	-83.5K	-791	0.00	120.84	N/A	N/A	0	10	14	23
2010-12-03	$319.04	$320.00	47.6%	13.6%	22.4%	17.1%	0.0%	0.5%	-4.7%	1.6K	-101.4K	-733	0.00	118.90	N/A	N/A	0	0	14	14
2010-12-06	$323.20	$320.00	52.1%	13.0%	22.6%	21.2%	44.5%	10.1%	1.7%	4.4K	-117.7K	-699	111.33	109.85	N/A	N/A	0	10	14	16
2010-12-07	$323.52	$320.00	52.0%	13.4%	21.4%	21.1%	41.2%	-5.1%	-2.2%	3.0K	-113.2K	-818	0.40	101.89	N/A	N/A	2	1	14	16
2010-12-08	$327.04	$320.00	50.8%	12.4%	21.3%	20.0%	0.0%	13.3%	2.3%	4.9K	-132.1K	-775	0.00	105.43	N/A	N/A	0	0	15	16
2010-12-09	$336.96	$320.00	59.4%	13.5%	21.1%	27.9%	47.6%	5.4%	-0.0%	4.6K	-163.0K	-916	0.00	111.06	N/A	N/A	1	0	14	16
2010-12-10	$351.04	$320.00	62.5%	11.0%	24.4%	30.8%	34.9%	4.2%	10.1%	6.5K	-212.6K	-892	0.00	112.30	N/A	N/A	0	0	15	16
2010-12-13	$332.16	$320.00	71.1%	13.6%	32.7%	38.8%	47.4%	2.0%	-1.6%	4.5K	-153.7K	-859	0.00	113.13	N/A	N/A	0	1	15	16
2010-12-14	$336.00	$320.00	83.3%	13.6%	32.7%	50.1%	0.0%	4.7%	-1.2%	4.9K	-163.0K	-865	0.00	115.22	N/A	N/A	0	1	15	16
2010-12-15	$338.56	$320.00	39.9%	11.4%	31.6%	9.9%	0.0%	5.9%	11.0%	5.5K	-157.1K	-821	0.00	113.29	N/A	N/A	0	0	15	17
2010-12-16	$340.48	$320.00	45.4%	13.0%	31.6%	15.1%	0.0%	11.2%	-13.0%	4.7K	-156.2K	-922	0.00	113.74	N/A	N/A	0	0	15	17
2010-12-17	$342.40	$320.00	43.6%	12.5%	31.5%	13.4%	0.0%	10.3%	-10.9%	4.7K	-174.6K	-900	0.00	114.32	N/A	N/A	0	0	15	17
2010-12-20	$346.88	$320.00	40.3%	11.5%	31.4%	10.3%	0.0%	6.4%	-4.2%	5.8K	-175.5K	-818	0.00	114.33	N/A	N/A	0	0	14	15
2010-12-21	$355.52	$320.00	31.7%	9.1%	30.7%	2.3%	0.0%	5.4%	16.6%	6.9K	-192.4K	-734	0.00	114.65	N/A	N/A	0	0	14	15
2010-12-22	$356.80	$320.00	35.2%	10.1%	30.4%	5.6%	0.0%	3.6%	5.6%	7.2K	-200.5K	-745	0.00	116.89	N/A	N/A	0	0	14	15
2010-12-23	$359.36	$320.00	29.9%	8.6%	29.6%	0.7%	0.0%	4.2%	13.5%	7.2K	-203.1K	-735	0.00	108.39	N/A	N/A	0	0	14	15
2010-12-27	$354.88	$320.00	38.0%	10.9%	29.8%	8.2%	0.0%	4.8%	6.7%	7.1K	-204.9K	-742	0.00	115.82	N/A	N/A	0	0	14	15
2010-12-28	$343.68	$320.00	46.4%	13.3%	32.6%	15.9%	0.0%	14.9%	-15.0%	5.3K	-174.5K	-812	0.00	114.47	N/A	N/A	0	0	14	15
2010-12-29	$354.24	$320.00	35.9%	10.3%	33.9%	6.3%	0.0%	15.6%	11.4%	6.8K	-196.1K	-716	0.00	112.93	N/A	N/A	0	0	14	15
2010-12-30	$354.88	$320.00	37.8%	10.8%	33.6%	8.0%	0.0%	12.7%	0.1%	7.0K	-195.8K	-713	0.00	116.01	N/A	N/A	0	0	14	15
2010-12-31	$356.80	$320.00	37.8%	10.8%	33.5%	8.0%	33.4%	4.3%	-7.3%	7.2K	-199.6K	-701	0.00	114.61	N/A	N/A	0	1	14	15