DAVE Options History — November 2011

In November 2011, DAVE traded between $275.84 and $298.24. ATM implied volatility averaged 152.5%, placing in the 73.2% IV rank vs the trailing year. The 30-day expected move averaged 54.9%. IV traded above realized volatility by 117.0% (HV 20d: 35.5%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.15.

Notable Days

2011-11-30: Highest Volume — 1 contracts
2011-11-02: Largest IV spike — 74.0% change
2011-11-09: Highest IV Rank — 97.2%
2011-11-09: Largest Expected Move — 55.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$287.86	$275.84	$298.24	$275.84	$290.24
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	152.5%	96.8%	194.3%	102.2%	99.6%
Expected Move	54.9%	53.4%	55.7%	53.4%	55.7%
HV 20d	35.5%	31.2%	37.9%	35.8%	31.2%
HV 60d	34.2%	32.5%	38.5%	37.8%	33.9%
IV Rank	73.2%	41.3%	97.2%	44.4%	42.9%
IV Percentile	92.4%	80.6%	99.6%	89.3%	81.3%
Term Structure	-25.4%	-25.4%	-25.4%	-25.4%	-25.4%
Skew 25d	-13.0%	-146.0%	14.9%	-2.1%	12.8%
Skew 10d	-3.5%	-3.5%	-3.5%	-3.5%	-3.5%
Call IV 25d	148.3%	35.7%	196.9%	149.6%	35.7%
Put IV 25d	135.4%	39.3%	163.9%	147.5%	48.5%
Bid-Ask Spread %	162.47	160.93	163.40	162.35	161.95
Gamma HHI	0.40	0.39	0.43	0.42	0.43
Net GEX	-380	-607	-62	-607	-62
Net DEX	-9.5K	-22.8K	10.3K	-662	10.3K
Net VEX	-795	-859	-692	-854	-692
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.15	0.15	0.15	0.15
Total Volume	0.048	0	1	0	1
Total OI	18.333	17	19	19	17

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
2011-11-01	$275.84	$240.00	102.2%	0.0%	35.8%	44.4%	0.0%	-2.1%	0.0%	-607	-662	-854	0.00	162.35	N/A	N/A	0	6	13
2011-11-02	$283.20	$240.00	177.8%	0.0%	36.4%	87.7%	0.0%	3.6%	0.0%	-524	-10.3K	-857	0.00	162.74	N/A	N/A	0	6	13
2011-11-03	$293.12	$240.00	183.9%	0.0%	37.8%	91.2%	0.0%	-145.8%	0.0%	-360	-21.8K	-859	0.00	162.75	N/A	N/A	0	6	13
2011-11-04	$293.76	$0.00	186.3%	53.4%	36.9%	92.6%	0.0%	-146.0%	-25.4%	-364	-22.8K	-854	0.00	162.96	N/A	N/A	0	6	13
2011-11-07	$292.16	$0.00	192.4%	55.2%	37.1%	96.1%	0.0%	10.4%	0.0%	-370	-21.5K	-836	0.00	163.40	N/A	N/A	0	6	13
2011-11-08	$287.36	$0.00	192.8%	55.3%	35.2%	96.3%	0.0%	6.9%	0.0%	-433	-15.7K	-828	0.00	162.93	N/A	N/A	0	6	13
2011-11-09	$285.12	$0.00	194.3%	55.7%	35.5%	97.2%	0.0%	5.3%	0.0%	-433	-13.1K	-825	0.00	162.76	N/A	N/A	0	6	13
2011-11-10	$276.80	$0.00	108.0%	0.0%	37.2%	47.8%	0.0%	-1.4%	0.0%	-485	-3.0K	-811	0.00	162.50	N/A	N/A	0	6	13
2011-11-11	$278.08	$0.00	108.3%	0.0%	36.8%	47.9%	0.0%	-0.4%	0.0%	-451	-4.6K	-807	0.00	162.28	N/A	N/A	0	6	13
2011-11-14	$284.80	$0.00	167.2%	0.0%	37.4%	81.7%	0.0%	5.0%	0.0%	-392	-13.0K	-801	0.00	162.18	N/A	N/A	0	6	13
2011-11-15	$291.52	$0.00	166.1%	0.0%	37.9%	81.0%	0.0%	10.2%	0.0%	-397	-20.6K	-800	0.00	163.20	N/A	N/A	0	6	13
2011-11-16	$291.52	$0.00	167.3%	0.0%	37.9%	81.7%	0.0%	-105.9%	0.0%	-523	-20.2K	-800	0.00	163.14	N/A	N/A	0	6	13
2011-11-17	$286.72	$0.00	170.3%	0.0%	37.3%	83.4%	0.0%	6.6%	0.0%	-394	-15.2K	-786	0.00	162.28	N/A	N/A	0	6	13
2011-11-18	$288.96	$0.00	170.8%	0.0%	36.3%	83.7%	0.0%	8.4%	0.0%	-401	-17.8K	-784	0.00	161.69	N/A	N/A	0	6	13
2011-11-21	$285.12	$0.00	176.4%	0.0%	36.4%	86.9%	0.0%	5.4%	0.0%	-400	-4.5K	-769	0.00	161.21	N/A	N/A	0	6	11
2011-11-22	$298.24	$0.00	102.4%	0.0%	33.5%	44.5%	0.0%	14.9%	0.0%	-252	-6.6K	-766	0.00	160.93	N/A	N/A	0	6	11
2011-11-23	$292.16	$0.00	176.8%	0.0%	34.8%	87.1%	0.0%	11.0%	0.0%	-413	-12.3K	-764	0.00	162.33	N/A	N/A	0	6	11
2011-11-25	$291.84	$0.00	96.8%	0.0%	31.7%	41.3%	0.0%	10.8%	0.0%	-241	2.6K	-745	0.00	162.31	N/A	N/A	0	6	11
2011-11-28	$288.00	$0.00	164.1%	0.0%	31.4%	79.9%	0.0%	7.9%	0.0%	-245	7.5K	-726	0.00	162.73	N/A	N/A	0	6	11
2011-11-29	$290.56	$0.00	98.6%	0.0%	31.3%	42.3%	0.0%	10.0%	0.0%	-236	4.6K	-724	0.00	163.29	N/A	N/A	0	6	11
2011-11-30	$290.24	$0.00	99.6%	0.0%	31.2%	42.9%	0.0%	12.8%	0.0%	-62	10.3K	-692	0.15	161.95	N/A	N/A	1	6	11