DAVE Options History — June 2011

In June 2011, DAVE traded between $273.28 and $320.32. ATM implied volatility averaged 37.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 6.2% (HV 20d: 31.1%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2011-06-08: Highest Volume — 2 contracts
2011-06-13: Largest IV spike — 26.3% change
2011-06-29: Highest IV Rank — 10.4%
2011-06-29: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$299.43	$273.28	$320.32	$312.64	$320.32
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	37.3%	29.2%	44.9%	36.4%	41.9%
Expected Move	10.7%	8.4%	12.9%	10.4%	12.0%
HV 20d	31.1%	15.5%	43.1%	15.5%	42.4%
HV 60d	24.8%	19.9%	29.0%	20.1%	29.0%
IV Rank	5.2%	0.0%	10.4%	4.3%	8.4%
IV Percentile	17.0%	0.0%	51.2%	7.1%	33.7%
Term Structure	1.9%	-3.8%	10.0%	2.9%	-0.8%
VWIV	36.5%	36.5%	36.5%	36.5%	36.5%
Skew 25d	3.3%	-5.7%	11.8%	7.6%	-5.7%
Skew 10d	1.6%	-8.8%	11.7%	9.4%	-8.8%
Call IV 25d	39.3%	31.6%	48.3%	43.9%	47.5%
Put IV 25d	42.6%	36.1%	54.2%	51.6%	41.9%
Bid-Ask Spread %	109.48	102.99	153.59	108.84	108.12
Gamma HHI	0.72	0.43	0.83	0.43	0.82
Net GEX	2.3K	812	3.6K	812	3.5K
Net DEX	-58.9K	-136.8K	-12.4K	-33.2K	-136.2K
Net VEX	-712	-914	-377	-377	-908
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	2.30	0.00	0.00
Total Volume	0.318	0	2	1	0
Total OI	13.591	8	16	8	16

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
2011-06-01	$312.64	$0.00	36.4%	10.4%	15.5%	4.3%	0.0%	7.6%	2.9%	812	-33.2K	-377	0.00	108.84	N/A	N/A	1	0	5	3
2011-06-02	$310.72	$0.00	40.5%	11.6%	15.6%	7.0%	0.0%	7.4%	-0.6%	1.4K	-48.8K	-466	1.00	108.86	N/A	N/A	0	0	6	3
2011-06-03	$305.92	$320.00	31.2%	11.2%	16.2%	0.9%	0.0%	2.5%	-1.6%	1.3K	-42.6K	-517	0.00	102.99	N/A	N/A	0	0	6	4
2011-06-06	$297.28	$320.00	35.5%	11.1%	18.6%	3.8%	0.0%	0.9%	-1.0%	1.1K	-29.0K	-507	0.00	105.55	N/A	N/A	0	0	6	4
2011-06-07	$296.32	$320.00	38.9%	10.8%	18.5%	5.9%	0.0%	0.5%	2.0%	965	-24.2K	-501	0.00	105.91	N/A	N/A	0	0	6	4
2011-06-08	$296.96	$320.00	43.4%	11.2%	18.6%	8.9%	0.0%	-0.1%	-1.2%	896	-17.7K	-498	0.00	106.11	N/A	N/A	2	0	6	4
2011-06-09	$298.24	$320.00	37.6%	10.8%	18.0%	5.1%	0.0%	1.6%	-1.6%	1.9K	-47.4K	-627	0.00	105.94	N/A	N/A	1	0	8	4
2011-06-10	$293.76	$320.00	29.2%	8.4%	18.4%	0.0%	0.0%	4.9%	6.6%	2.1K	-43.3K	-656	0.00	108.61	N/A	N/A	0	0	9	4
2011-06-13	$273.28	$320.00	36.8%	10.6%	30.1%	5.1%	36.5%	0.9%	10.0%	1.5K	-12.4K	-577	2.30	108.49	N/A	N/A	0	1	9	4
2011-06-14	$287.68	$320.00	31.9%	9.1%	36.5%	1.8%	0.0%	6.1%	4.4%	1.8K	-17.3K	-655	0.00	108.33	N/A	N/A	0	0	9	5
2011-06-15	$288.96	$320.00	31.4%	9.0%	36.6%	1.5%	0.0%	3.7%	5.9%	1.8K	-29.6K	-708	0.00	108.48	N/A	N/A	2	0	9	5
2011-06-16	$287.36	$320.00	34.2%	9.8%	36.4%	3.3%	0.0%	3.6%	0.8%	2.6K	-45.6K	-816	0.00	108.67	N/A	N/A	0	0	11	5
2011-06-17	$293.12	$320.00	37.0%	10.6%	37.5%	5.2%	0.0%	11.6%	3.9%	2.8K	-60.5K	-879	0.00	108.50	N/A	N/A	0	0	11	5
2011-06-20	$285.12	$320.00	34.5%	9.9%	38.4%	3.5%	0.0%	3.5%	3.6%	2.7K	-43.1K	-825	0.00	108.48	N/A	N/A	0	0	11	5
2011-06-21	$288.96	$320.00	33.6%	9.6%	38.9%	2.9%	0.0%	6.6%	6.0%	2.8K	-47.7K	-822	0.00	108.83	N/A	N/A	0	0	11	5
2011-06-22	$290.88	$320.00	36.4%	10.4%	39.0%	4.8%	0.0%	7.1%	5.1%	2.8K	-53.5K	-851	0.00	108.85	N/A	N/A	0	0	11	5
2011-06-23	$295.04	$320.00	34.8%	10.0%	38.2%	3.7%	0.0%	11.8%	6.4%	2.9K	-62.9K	-850	0.00	153.59	N/A	N/A	0	0	11	5
2011-06-24	$308.80	$320.00	42.3%	12.1%	41.9%	8.7%	0.0%	-2.8%	-1.2%	3.3K	-99.9K	-900	0.00	107.43	N/A	N/A	0	0	11	5
2011-06-27	$315.84	$320.00	43.9%	12.6%	42.8%	9.7%	0.0%	6.0%	-3.8%	3.5K	-129.4K	-903	0.00	106.27	N/A	N/A	0	0	11	5
2011-06-28	$320.00	$320.00	43.7%	12.5%	43.1%	9.6%	0.0%	-2.3%	-2.0%	3.6K	-134.1K	-914	0.00	105.77	N/A	N/A	0	0	11	5
2011-06-29	$320.32	$320.00	44.9%	12.9%	42.4%	10.4%	0.0%	-3.5%	-2.5%	3.5K	-136.8K	-913	0.00	105.92	N/A	N/A	0	0	11	5
2011-06-30	$320.32	$320.00	41.9%	12.0%	42.4%	8.4%	0.0%	-5.7%	-0.8%	3.5K	-136.2K	-908	0.00	108.12	N/A	N/A	0	0	11	5