DAVE Options History — April 2011

In April 2011, DAVE traded between $306.24 and $320.96. ATM implied volatility averaged 41.7%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 20.5% (HV 20d: 21.2%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2011-04-19: Highest Volume — 3 contracts
2011-04-14: Largest IV drop — 15.3% change
2011-04-13: Highest IV Rank — 14.0%
2011-04-07: Largest Expected Move — 32.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$312.66	$306.24	$320.96	$308.80	$314.56
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	41.7%	36.0%	50.4%	36.4%	41.7%
Expected Move	12.9%	10.4%	32.0%	10.4%	12.0%
HV 20d	21.2%	16.9%	24.2%	22.7%	24.2%
HV 60d	27.7%	27.4%	28.2%	27.5%	27.6%
IV Rank	8.0%	4.5%	14.0%	4.8%	7.8%
IV Percentile	24.7%	7.1%	65.1%	7.1%	24.6%
Term Structure	5.7%	-2.9%	99.9%	7.9%	0.8%
VWIV	41.4%	41.4%	41.4%	41.4%	41.4%
Skew 25d	4.6%	-108.3%	75.2%	3.1%	5.1%
Skew 10d	9.5%	-116.3%	113.0%	5.6%	7.0%
Call IV 25d	46.7%	37.4%	154.1%	39.1%	44.3%
Put IV 25d	51.3%	38.0%	116.8%	42.2%	49.4%
Bid-Ask Spread %	107.74	101.87	165.51	118.67	105.79
Gamma HHI	0.72	0.34	0.86	0.69	0.79
Net GEX	2.4K	203	3.5K	1.7K	3.3K
Net DEX	-21.7K	-45.8K	-466	-9.0K	-42.9K
Net VEX	-264	-373	-182	-241	-361
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.00	1.00	0.00	1.00
Total Volume	0.2	0	3	0	0
Total OI	9.4	4	12	12	7

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	Call OI	Put OI
2011-04-01	$308.80	$320.00	36.4%	10.4%	22.7%	4.8%	0.0%	3.1%	7.9%	1.7K	-9.0K	-241	0.00	118.67	N/A	N/A	0	10	2
2011-04-04	$311.68	$320.00	36.0%	11.9%	21.1%	4.5%	0.0%	1.9%	0.1%	2.1K	-11.4K	-235	0.00	102.47	N/A	N/A	0	10	2
2011-04-05	$312.64	$320.00	41.1%	12.2%	20.4%	7.9%	0.0%	3.2%	-1.1%	1.9K	-14.3K	-236	0.00	102.24	N/A	N/A	0	10	2
2011-04-06	$319.04	$320.00	43.5%	12.3%	21.5%	9.5%	0.0%	6.0%	-2.9%	2.2K	-23.4K	-238	0.00	101.87	N/A	N/A	0	10	2
2011-04-07	$320.96	$320.00	38.6%	32.0%	21.2%	6.2%	0.0%	-108.3%	99.9%	3.4K	-31.9K	-252	0.00	165.51	N/A	N/A	0	10	2
2011-04-08	$318.72	$320.00	43.7%	12.1%	21.3%	9.6%	0.0%	5.2%	0.2%	2.3K	-20.8K	-232	0.00	102.25	N/A	N/A	0	10	2
2011-04-11	$310.72	$320.00	41.6%	12.1%	23.6%	8.2%	0.0%	2.5%	-0.5%	2.4K	-6.8K	-212	0.00	102.27	N/A	N/A	0	10	2
2011-04-12	$311.36	$320.00	46.7%	12.3%	22.1%	11.6%	0.0%	2.5%	-0.8%	2.5K	-7.6K	-212	0.00	102.27	N/A	N/A	0	10	2
2011-04-13	$311.68	$320.00	50.4%	12.2%	21.7%	14.0%	0.0%	3.5%	-0.3%	2.6K	-8.6K	-210	0.00	103.19	N/A	N/A	0	10	2
2011-04-14	$310.72	$320.00	42.7%	12.2%	20.2%	8.9%	0.0%	2.4%	-0.2%	2.6K	-4.9K	-201	0.00	103.54	N/A	N/A	0	10	2
2011-04-15	$310.08	$320.00	43.3%	12.4%	20.1%	8.9%	0.0%	3.9%	-0.6%	2.5K	-4.6K	-196	0.00	103.09	N/A	N/A	0	10	2
2011-04-18	$307.52	$320.00	42.6%	12.2%	17.0%	8.4%	0.0%	3.7%	0.2%	203	-466	-185	0.00	104.25	N/A	N/A	0	2	2
2011-04-19	$308.16	$320.00	41.3%	11.8%	16.9%	7.6%	41.4%	4.5%	2.0%	219	-1.2K	-182	0.11	104.87	N/A	N/A	3	2	2
2011-04-20	$318.72	$320.00	39.7%	11.4%	19.1%	6.5%	0.0%	68.1%	2.5%	2.8K	-42.8K	-290	0.00	102.25	N/A	N/A	1	4	2
2011-04-21	$314.88	$320.00	42.0%	12.1%	19.3%	8.0%	0.0%	75.2%	0.6%	2.9K	-45.8K	-335	1.00	103.80	N/A	N/A	0	5	2
2011-04-25	$306.24	$320.00	40.8%	11.7%	21.8%	7.2%	0.0%	5.0%	1.0%	2.9K	-32.3K	-350	0.00	107.56	N/A	N/A	0	5	2
2011-04-26	$309.12	$320.00	41.5%	11.9%	21.9%	7.7%	0.0%	3.5%	1.0%	3.0K	-39.0K	-371	0.00	106.60	N/A	N/A	0	5	2
2011-04-27	$316.16	$320.00	38.1%	10.9%	23.3%	5.5%	0.0%	-3.5%	3.3%	3.5K	-44.8K	-373	0.00	105.24	N/A	N/A	0	5	2
2011-04-28	$311.36	$320.00	41.3%	11.8%	24.0%	7.6%	0.0%	4.5%	0.5%	3.2K	-40.8K	-369	0.00	107.02	N/A	N/A	0	5	2
2011-04-29	$314.56	$320.00	41.7%	12.0%	24.2%	7.8%	0.0%	5.1%	0.8%	3.3K	-42.9K	-361	0.00	105.79	N/A	N/A	0	5	2