DAVE Options History — March 2011

In March 2011, DAVE traded between $296.32 and $328.96. ATM implied volatility averaged 63.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 35.3% (HV 20d: 28.0%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.32.

Notable Days

2011-03-01: Highest Volume — 2 contracts
2011-03-21: Largest IV spike — 222.2% change
2011-03-21: Highest IV Rank — 73.3%
2011-03-21: Largest Expected Move — 40.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$311.28	$296.32	$328.96	$323.20	$312.00
Max Pain	$264.35	$240.00	$320.00	$320.00	$320.00
ATM IV	63.4%	39.5%	140.3%	104.7%	109.8%
Expected Move	15.5%	11.4%	40.2%	30.0%	12.7%
HV 20d	28.0%	22.7%	35.5%	35.0%	22.7%
HV 60d	29.0%	27.6%	31.8%	31.0%	27.6%
IV Rank	22.6%	6.8%	73.3%	49.8%	53.2%
IV Percentile	51.4%	15.5%	99.6%	98.8%	98.4%
Term Structure	-5.9%	-96.5%	73.3%	73.3%	-81.6%
VWIV	83.4%	69.1%	104.7%	104.7%	76.2%
Skew 25d	-1.3%	-125.7%	112.7%	9.7%	-125.7%
Skew 10d	-3.4%	-140.6%	79.5%	30.0%	-140.6%
Call IV 25d	69.2%	30.0%	169.3%	123.3%	166.7%
Put IV 25d	67.9%	39.5%	178.5%	133.0%	41.0%
Bid-Ask Spread %	127.14	80.29	197.44	158.82	178.37
Gamma HHI	0.57	0.46	0.86	0.53	0.82
Net GEX	2.4K	1.8K	3.8K	2.4K	2.5K
Net DEX	-45.0K	-164.4K	-18.2K	-145.8K	-18.2K
Net VEX	-277	-532	-186	-438	-253
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.00	1.25	1.25	0.00
Total Volume	0.087	0	2	2	0
Total OI	11.174	9	12	9	12

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
2011-03-01	$323.20	$320.00	104.7%	30.0%	35.0%	49.8%	104.7%	9.7%	73.3%	2.4K	-145.8K	-438	1.25	158.82	N/A	N/A	1	1	9	0
2011-03-02	$328.96	$320.00	79.7%	22.8%	35.2%	33.3%	0.0%	13.1%	0.0%	2.3K	-164.4K	-532	0.00	160.22	N/A	N/A	0	0	10	1
2011-03-03	$321.92	$320.00	39.9%	11.4%	35.5%	7.1%	0.0%	6.7%	3.1%	3.8K	-57.5K	-320	0.00	113.72	N/A	N/A	0	0	10	1
2011-03-04	$318.40	$240.00	40.1%	12.1%	33.4%	7.2%	0.0%	10.9%	0.9%	3.4K	-48.8K	-297	0.00	97.82	N/A	N/A	0	0	10	1
2011-03-07	$310.40	$240.00	39.5%	12.2%	34.2%	6.8%	0.0%	21.3%	-0.4%	2.8K	-34.9K	-251	0.00	80.29	N/A	N/A	0	0	10	1
2011-03-08	$305.92	$240.00	40.4%	12.2%	32.4%	7.4%	0.0%	27.8%	0.5%	2.5K	-29.7K	-240	0.00	100.79	N/A	N/A	0	0	10	1
2011-03-09	$304.96	$240.00	42.9%	0.0%	32.2%	9.1%	0.0%	112.7%	-1.7%	3.1K	-68.2K	-383	0.00	164.19	N/A	N/A	0	0	10	1
2011-03-10	$303.04	$240.00	42.1%	12.1%	32.1%	8.5%	0.0%	25.0%	0.8%	2.2K	-24.6K	-219	0.00	103.51	N/A	N/A	0	0	10	1
2011-03-11	$301.44	$240.00	42.7%	12.2%	27.0%	8.9%	0.0%	26.1%	0.0%	2.2K	-23.9K	-213	0.00	103.59	N/A	N/A	0	0	10	1
2011-03-14	$302.40	$240.00	42.8%	12.3%	22.7%	9.0%	0.0%	12.2%	0.6%	2.2K	-24.4K	-208	0.00	104.08	N/A	N/A	0	0	10	1
2011-03-15	$296.32	$240.00	118.6%	0.0%	23.0%	59.0%	0.0%	9.2%	51.7%	2.3K	-82.3K	-377	0.00	192.71	N/A	N/A	0	0	10	1
2011-03-16	$300.48	$240.00	42.1%	12.1%	24.2%	8.5%	0.0%	6.5%	1.4%	2.0K	-19.7K	-186	0.00	107.82	N/A	N/A	0	0	10	1
2011-03-17	$307.52	$240.00	48.1%	13.8%	26.4%	12.5%	0.0%	13.0%	-6.5%	2.7K	-31.2K	-221	0.00	93.22	N/A	N/A	0	0	10	1
2011-03-18	$309.76	$240.00	43.5%	12.5%	26.5%	9.5%	0.0%	14.8%	-1.6%	2.7K	-29.9K	-218	0.00	102.57	N/A	N/A	0	0	10	1
2011-03-21	$319.04	$240.00	140.3%	40.2%	25.2%	73.3%	0.0%	7.7%	-96.5%	1.8K	-39.1K	-202	0.00	197.44	N/A	N/A	0	0	9	1
2011-03-22	$316.80	$240.00	43.1%	12.4%	25.1%	9.2%	0.0%	5.0%	0.4%	2.3K	-34.7K	-219	1.00	104.68	N/A	N/A	0	0	10	1
2011-03-23	$309.44	$240.00	44.5%	12.8%	26.2%	10.1%	0.0%	2.4%	-2.7%	1.9K	-25.7K	-255	0.00	105.94	N/A	N/A	0	0	10	2
2011-03-24	$312.64	$240.00	45.9%	13.1%	26.4%	11.0%	0.0%	4.0%	-3.4%	2.2K	-30.2K	-287	0.00	102.50	N/A	N/A	0	0	10	2
2011-03-25	$312.96	$240.00	45.5%	13.0%	25.1%	10.7%	69.1%	4.0%	-2.6%	2.0K	-28.7K	-282	0.00	106.00	N/A	N/A	0	0	10	2
2011-03-28	$315.20	$320.00	108.1%	0.0%	25.3%	52.1%	0.0%	-118.8%	-27.7%	2.3K	-28.8K	-258	0.00	167.22	N/A	N/A	0	0	10	2
2011-03-29	$313.28	$320.00	44.3%	12.7%	24.9%	10.0%	76.2%	4.8%	-1.4%	1.9K	-22.9K	-258	0.00	110.18	N/A	N/A	0	0	10	2
2011-03-30	$313.28	$320.00	109.2%	0.0%	23.8%	52.8%	0.0%	-122.9%	-37.1%	2.5K	-21.1K	-263	0.00	168.45	N/A	N/A	0	0	10	2
2011-03-31	$312.00	$320.00	109.8%	0.0%	22.7%	53.2%	0.0%	-125.7%	-81.6%	2.5K	-18.2K	-253	0.00	178.37	N/A	N/A	0	0	10	2