DAVE Options History — July 2011

In July 2011, DAVE traded between $322.88 and $353.60. ATM implied volatility averaged 41.3%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.0% (HV 20d: 33.3%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.20.

Notable Days

2011-07-14: Largest IV drop — 62.0% change
2011-07-13: Highest IV Rank — 32.2%
2011-07-29: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$342.90	$322.88	$353.60	$322.88	$328.32
Max Pain	$266.67	$240.00	$320.00	$320.00	$240.00
ATM IV	41.3%	28.6%	78.0%	36.4%	41.3%
Expected Move	10.2%	8.2%	11.8%	10.4%	11.8%
HV 20d	33.3%	25.9%	45.5%	41.9%	28.2%
HV 60d	30.3%	28.7%	31.3%	28.7%	30.2%
IV Rank	8.2%	0.0%	32.2%	4.7%	8.4%
IV Percentile	31.4%	0.0%	95.6%	10.7%	35.3%
Term Structure	7.2%	-6.5%	114.2%	2.5%	-2.2%
VWIV	30.6%	30.6%	30.6%	30.6%	30.6%
Skew 25d	4.8%	-9.0%	40.1%	-9.0%	-0.2%
Skew 10d	17.6%	-13.8%	81.3%	-13.8%	-0.2%
Call IV 25d	33.9%	28.6%	45.6%	45.6%	41.4%
Put IV 25d	38.7%	29.8%	72.9%	36.6%	41.2%
Bid-Ask Spread %	108.54	101.47	133.37	113.53	105.21
Gamma HHI	0.82	0.71	0.87	0.86	0.86
Net GEX	3.6K	3.3K	4.0K	3.4K	4.0K
Net DEX	-185.8K	-230.9K	-134.2K	-143.8K	-144.6K
Net VEX	-754	-898	-677	-898	-762
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.00	0.00	0.00
Total Volume	0	0	0	0	0
Total OI	13.85	12	16	16	12

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 OI	Put OI
2011-07-01	$322.88	$320.00	36.4%	10.4%	41.9%	4.7%	0.0%	-9.0%	2.5%	3.4K	-143.8K	-898	0.00	113.53	N/A	N/A	11	5
2011-07-05	$328.96	$0.00	40.3%	11.8%	40.6%	7.3%	0.0%	7.3%	-2.7%	3.6K	-169.8K	-863	0.00	101.47	N/A	N/A	11	5
2011-07-06	$348.80	$0.00	45.3%	11.4%	44.6%	10.6%	0.0%	10.6%	-2.9%	3.7K	-228.2K	-793	0.00	105.52	N/A	N/A	11	5
2011-07-07	$344.96	$0.00	43.5%	11.8%	45.1%	9.5%	0.0%	21.0%	-4.8%	3.6K	-208.8K	-797	0.00	103.71	N/A	N/A	11	5
2011-07-08	$353.60	$0.00	49.2%	11.4%	45.5%	13.2%	0.0%	9.8%	-2.6%	3.8K	-230.9K	-742	0.00	105.72	N/A	N/A	11	5
2011-07-11	$352.00	$0.00	60.8%	11.8%	44.9%	20.9%	0.0%	9.5%	-6.2%	3.6K	-229.0K	-745	0.00	105.43	N/A	N/A	11	5
2011-07-12	$352.00	$0.00	64.4%	8.4%	33.4%	23.2%	0.0%	-2.5%	7.0%	3.5K	-227.6K	-743	0.00	133.37	N/A	N/A	11	5
2011-07-13	$352.32	$0.00	78.0%	10.2%	30.3%	32.2%	0.0%	-1.8%	-6.5%	3.5K	-219.9K	-729	0.00	108.60	N/A	N/A	10	5
2011-07-14	$353.60	$0.00	29.6%	8.5%	30.4%	0.3%	0.0%	1.0%	5.7%	3.6K	-222.1K	-709	0.00	108.60	N/A	N/A	10	5
2011-07-15	$352.32	$0.00	29.4%	8.4%	30.2%	0.1%	0.0%	1.9%	8.8%	3.3K	-224.0K	-692	0.00	108.71	N/A	N/A	10	5
2011-07-18	$351.68	$0.00	28.6%	8.2%	30.3%	0.0%	0.0%	0.3%	9.1%	3.5K	-183.6K	-677	0.00	108.74	N/A	N/A	8	4
2011-07-19	$348.16	$0.00	35.1%	10.1%	28.0%	4.3%	0.0%	-2.6%	-0.5%	3.4K	-179.1K	-687	0.00	108.83	N/A	N/A	8	4
2011-07-20	$346.88	$0.00	28.7%	8.2%	28.4%	0.1%	0.0%	1.7%	114.2%	3.5K	-170.9K	-694	1.00	110.31	N/A	N/A	8	4
2011-07-21	$345.92	$0.00	30.7%	8.8%	28.7%	1.4%	0.0%	0.1%	9.9%	3.6K	-176.6K	-752	0.00	109.29	N/A	N/A	8	4
2011-07-22	$342.08	$0.00	32.5%	9.3%	29.4%	2.5%	0.0%	-4.2%	3.6%	3.6K	-166.2K	-763	0.00	109.28	N/A	N/A	8	4
2011-07-25	$336.96	$0.00	39.5%	11.3%	26.8%	7.2%	0.0%	4.1%	0.7%	3.7K	-157.6K	-770	0.00	106.42	N/A	N/A	8	4
2011-07-26	$337.60	$0.00	38.2%	11.0%	25.9%	6.3%	0.0%	1.4%	3.5%	3.7K	-155.0K	-761	0.00	107.07	N/A	N/A	8	4
2011-07-27	$333.76	$0.00	35.4%	10.1%	26.1%	4.5%	30.6%	40.1%	8.6%	4.0K	-143.4K	-733	0.00	105.40	N/A	N/A	8	4
2011-07-28	$325.12	$240.00	40.1%	11.5%	28.0%	7.6%	0.0%	6.5%	-1.3%	3.9K	-134.2K	-779	0.00	105.66	N/A	N/A	8	4
2011-07-29	$328.32	$240.00	41.3%	11.8%	28.2%	8.4%	0.0%	-0.2%	-2.2%	4.0K	-144.6K	-762	0.00	105.21	N/A	N/A	8	4