DAVE Options History — May 2011

In May 2011, DAVE traded between $312.00 and $325.12. ATM implied volatility averaged 40.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 20.8% (HV 20d: 19.3%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.04.

Notable Days

2011-05-12: Highest Volume — 1 contracts
2011-05-23: Largest IV drop — 14.9% change
2011-05-13: Highest IV Rank — 9.3%
2011-05-13: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$317.84	$312.00	$325.12	$314.56	$318.72
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	40.1%	34.9%	43.9%	40.7%	39.5%
Expected Move	11.6%	10.0%	12.6%	11.7%	11.3%
HV 20d	19.3%	13.7%	23.9%	23.9%	13.8%
HV 60d	22.9%	20.4%	26.8%	26.8%	20.4%
IV Rank	6.8%	3.3%	9.3%	7.2%	6.4%
IV Percentile	19.6%	4.4%	38.5%	19.0%	15.5%
Term Structure	0.2%	-6.1%	6.5%	1.4%	-2.3%
Skew 25d	11.6%	3.3%	84.0%	6.2%	4.9%
Skew 10d	17.5%	5.4%	122.6%	8.3%	10.1%
Call IV 25d	41.5%	35.9%	48.3%	45.2%	45.8%
Put IV 25d	53.1%	39.6%	123.0%	51.4%	50.7%
Bid-Ask Spread %	104.41	98.25	109.59	108.24	108.71
Gamma HHI	0.72	0.34	0.95	0.80	0.36
Net GEX	4.4K	134	10.7K	3.6K	565
Net DEX	-46.3K	-80.0K	-24.2K	-45.7K	-27.6K
Net VEX	-331	-376	-253	-356	-328
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.11	0.00	0.00
Total Volume	0.143	0	1	0	1
Total OI	7.095	5	8	7	7

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	Call OI	Put OI
2011-05-02	$314.56	$320.00	40.7%	11.7%	23.9%	7.2%	0.0%	6.2%	1.4%	3.6K	-45.7K	-356	0.00	108.24	N/A	N/A	0	5	2
2011-05-03	$315.20	$320.00	41.9%	12.0%	23.7%	7.9%	0.0%	6.4%	0.7%	3.6K	-46.0K	-353	0.00	108.26	N/A	N/A	0	5	2
2011-05-04	$314.88	$320.00	43.1%	12.3%	23.7%	8.7%	0.0%	6.5%	-6.1%	3.6K	-45.4K	-349	0.00	108.26	N/A	N/A	0	5	2
2011-05-05	$312.00	$320.00	42.9%	12.3%	22.7%	8.6%	0.0%	7.0%	-1.6%	3.6K	-37.8K	-343	0.00	109.59	N/A	N/A	0	5	2
2011-05-06	$314.56	$0.00	37.2%	12.1%	22.8%	4.8%	0.0%	3.9%	-1.4%	4.3K	-42.5K	-344	0.00	102.46	N/A	N/A	0	5	2
2011-05-09	$314.88	$0.00	38.0%	11.9%	22.7%	5.4%	0.0%	3.3%	0.9%	4.2K	-42.8K	-334	0.00	103.10	N/A	N/A	0	5	2
2011-05-10	$315.20	$0.00	39.8%	12.1%	20.7%	6.6%	0.0%	4.7%	-1.1%	4.8K	-44.7K	-330	0.00	102.82	N/A	N/A	0	5	2
2011-05-11	$318.72	$0.00	39.1%	10.9%	21.0%	6.1%	0.0%	63.5%	3.1%	5.3K	-47.8K	-323	0.00	100.67	N/A	N/A	0	5	2
2011-05-12	$319.04	$0.00	41.4%	11.9%	21.0%	7.6%	0.0%	5.1%	0.9%	5.0K	-51.1K	-321	0.00	103.27	N/A	N/A	1	5	2
2011-05-13	$320.64	$0.00	43.9%	12.6%	21.0%	9.3%	0.0%	4.2%	-2.0%	6.7K	-69.7K	-345	0.00	102.77	N/A	N/A	0	6	2
2011-05-16	$322.88	$0.00	41.3%	11.8%	21.0%	7.6%	0.0%	4.9%	1.4%	7.3K	-80.0K	-318	0.00	103.89	N/A	N/A	0	6	2
2011-05-17	$319.36	$0.00	42.4%	12.1%	21.2%	8.3%	0.0%	3.8%	-1.5%	10.7K	-68.9K	-322	0.00	103.81	N/A	N/A	0	6	2
2011-05-18	$320.64	$0.00	41.9%	12.0%	21.2%	7.9%	0.0%	4.2%	0.2%	9.0K	-73.6K	-318	0.00	103.35	N/A	N/A	0	6	2
2011-05-19	$317.44	$0.00	40.5%	11.6%	18.0%	7.0%	0.0%	4.9%	1.3%	9.5K	-60.5K	-307	0.00	103.69	N/A	N/A	0	6	2
2011-05-20	$316.48	$0.00	41.0%	11.8%	17.5%	7.4%	0.0%	4.4%	-1.2%	9.1K	-54.8K	-327	0.00	104.00	N/A	N/A	0	6	2
2011-05-23	$316.80	$0.00	34.9%	10.0%	14.0%	3.3%	0.0%	84.0%	6.5%	301	-25.2K	-253	0.00	101.52	N/A	N/A	0	3	2
2011-05-24	$317.44	$0.00	35.9%	10.3%	13.7%	4.0%	0.0%	5.5%	5.3%	252	-24.2K	-311	0.00	103.61	N/A	N/A	0	3	3
2011-05-25	$325.12	$0.00	39.6%	11.3%	14.0%	6.4%	0.0%	3.7%	-0.2%	134	-26.2K	-351	0.11	98.25	N/A	N/A	1	3	3
2011-05-26	$320.00	$0.00	40.0%	11.5%	14.1%	6.7%	0.0%	5.9%	-0.5%	454	-26.8K	-376	0.00	106.67	N/A	N/A	0	4	3
2011-05-27	$320.00	$0.00	38.3%	11.0%	13.7%	5.6%	0.0%	6.0%	0.7%	587	-30.5K	-340	0.00	105.71	N/A	N/A	0	4	3
2011-05-31	$318.72	$0.00	39.5%	11.3%	13.8%	6.4%	0.0%	4.9%	-2.3%	565	-27.6K	-328	0.00	108.71	N/A	N/A	1	4	3