DAVE Options History — December 2011

In December 2011, DAVE traded between $279.36 and $330.88. ATM implied volatility averaged 78.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 45.6% (HV 20d: 32.4%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-12-20: Highest Volume — 1 contracts
2011-12-12: Largest IV spike — 134.6% change
2011-12-16: Highest IV Rank — 99.1%
2011-12-16: Largest Expected Move — 56.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$303.79	$279.36	$330.88	$292.80	$329.60
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	78.1%	29.5%	197.7%	102.3%	29.5%
Expected Move	21.6%	8.5%	56.7%	29.9%	8.5%
HV 20d	32.4%	27.4%	39.0%	30.1%	36.2%
HV 60d	34.7%	32.7%	36.2%	34.0%	33.9%
IV Rank	30.6%	2.8%	99.1%	44.5%	2.8%
IV Percentile	56.0%	2.4%	99.6%	82.5%	2.8%
Term Structure	61.9%	-6.2%	139.0%	94.7%	35.1%
VWIV	28.0%	21.8%	34.3%	34.3%	21.8%
Skew 25d	11.5%	-103.7%	65.8%	11.8%	10.4%
Skew 10d	14.1%	-117.5%	107.3%	16.3%	15.7%
Call IV 25d	82.7%	31.3%	170.4%	153.7%	31.3%
Put IV 25d	94.2%	41.8%	172.9%	165.5%	41.8%
Bid-Ask Spread %	147.39	77.91	162.47	162.47	124.81
Gamma HHI	0.50	0.42	0.80	0.42	0.77
Net GEX	875	-264	5.1K	-101	5.1K
Net DEX	-21.9K	-93.7K	57.2K	-3.7K	-93.7K
Net VEX	-572	-719	-311	-719	-433
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.095	0	1	0	0
Total OI	18.048	17	20	17	20

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	Spread %	Call Wall	Put Wall	Put Vol	Call OI	Put OI
2011-12-01	$292.80	$0.00	102.3%	0.0%	30.1%	44.5%	0.0%	11.8%	0.0%	-101	-3.7K	-719	162.47	N/A	N/A	0	6	11
2011-12-02	$292.80	$0.00	103.3%	0.0%	27.4%	45.0%	0.0%	11.9%	0.0%	-63	-2.9K	-713	162.23	N/A	N/A	0	6	11
2011-12-05	$297.92	$320.00	104.3%	29.9%	28.1%	45.6%	0.0%	15.3%	94.7%	-68	-10.5K	-697	157.34	N/A	N/A	0	6	11
2011-12-06	$292.16	$320.00	105.8%	30.3%	29.0%	46.5%	0.0%	34.0%	95.9%	-73	-2.2K	-690	148.46	N/A	N/A	0	6	11
2011-12-07	$296.32	$320.00	106.7%	30.6%	28.7%	47.0%	0.0%	40.5%	95.3%	-59	-8.1K	-684	158.09	N/A	N/A	0	6	11
2011-12-08	$292.48	$320.00	108.1%	31.0%	29.0%	47.8%	0.0%	11.8%	96.1%	-85	-3.0K	-679	157.81	N/A	N/A	0	6	11
2011-12-09	$301.44	$320.00	48.3%	13.8%	28.3%	13.5%	0.0%	22.2%	90.7%	1.2K	-10.2K	-605	157.72	N/A	N/A	0	6	11
2011-12-12	$295.68	$320.00	113.2%	32.5%	29.5%	50.7%	0.0%	39.9%	95.9%	-97	-8.0K	-660	158.84	N/A	N/A	0	6	11
2011-12-13	$292.80	$320.00	112.6%	32.3%	28.8%	50.4%	0.0%	12.3%	100.9%	-104	-4.2K	-650	157.72	N/A	N/A	0	6	11
2011-12-14	$292.16	$320.00	114.1%	32.7%	27.6%	51.2%	0.0%	36.7%	101.1%	-89	-3.3K	-642	158.06	N/A	N/A	0	6	11
2011-12-15	$279.36	$320.00	91.7%	26.3%	31.8%	38.4%	0.0%	26.4%	8.2%	96	31.7K	-569	142.54	N/A	N/A	0	6	12
2011-12-16	$280.96	$320.00	197.7%	56.7%	31.5%	99.1%	0.0%	2.2%	0.0%	-182	57.2K	-355	155.76	N/A	N/A	0	6	12
2011-12-19	$298.56	$320.00	29.5%	8.5%	38.3%	2.8%	0.0%	39.9%	5.6%	181	-8.3K	-613	155.90	N/A	N/A	0	6	12
2011-12-20	$307.20	$320.00	42.7%	12.2%	39.0%	10.3%	0.0%	14.1%	1.7%	2.0K	-34.1K	-406	158.01	N/A	N/A	1	6	12
2011-12-21	$317.44	$320.00	36.3%	10.4%	37.5%	6.6%	0.0%	-89.8%	133.9%	-264	-25.9K	-688	159.30	N/A	N/A	0	6	13
2011-12-22	$318.08	$320.00	32.0%	9.2%	36.5%	4.2%	0.0%	-103.7%	139.0%	-261	-26.8K	-672	160.45	N/A	N/A	0	6	13
2011-12-23	$320.96	$320.00	34.3%	9.8%	36.5%	5.5%	34.3%	65.8%	-6.2%	4.0K	-70.2K	-311	77.91	N/A	N/A	1	6	13
2011-12-27	$324.48	$320.00	42.8%	12.3%	35.9%	10.4%	0.0%	5.7%	-0.4%	2.6K	-69.9K	-441	131.06	N/A	N/A	0	6	14
2011-12-28	$325.44	$320.00	41.7%	11.9%	35.9%	9.7%	0.0%	22.9%	13.7%	1.9K	-78.7K	-350	123.49	N/A	N/A	0	6	14
2011-12-29	$330.88	$320.00	42.5%	12.2%	36.0%	10.2%	0.0%	10.7%	13.7%	2.8K	-84.6K	-441	127.23	N/A	N/A	0	6	14
2011-12-30	$329.60	$320.00	29.5%	8.5%	36.2%	2.8%	21.8%	10.4%	35.1%	5.1K	-93.7K	-433	124.81	N/A	N/A	0	6	14