DAVE Options History — March 2012

In March 2012, DAVE traded between $343.04 and $376.00. ATM implied volatility averaged 121.8%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 34.9%. IV traded above realized volatility by 102.7% (HV 20d: 19.0%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-20: Largest IV spike — 26.5% change
2012-03-08: Highest IV Rank — 63.8%
2012-03-08: Largest Expected Move — 39.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$359.05	$343.04	$376.00	$348.80	$371.20
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	121.8%	91.8%	136.0%	121.3%	134.2%
Expected Move	34.9%	26.3%	39.0%	37.0%	38.5%
HV 20d	19.0%	17.9%	20.3%	20.2%	19.0%
HV 60d	25.6%	22.8%	29.1%	29.1%	22.8%
IV Rank	55.6%	38.5%	63.8%	55.4%	62.7%
IV Percentile	80.9%	65.9%	85.3%	84.5%	85.3%
Term Structure	24.7%	-78.7%	127.1%	-68.0%	93.5%
VWIV	21.9%	21.9%	21.9%	21.9%	21.9%
Skew 25d	11.4%	-15.4%	51.3%	24.9%	2.8%
Skew 10d	3.2%	-11.4%	16.0%	5.7%	6.4%
Call IV 25d	106.5%	37.8%	198.1%	42.5%	194.6%
Put IV 25d	117.9%	63.7%	197.4%	67.5%	197.4%
Bid-Ask Spread %	159.74	155.32	162.86	158.38	159.53
Gamma HHI	0.47	0.43	0.51	0.51	0.45
Net GEX	-713	-949	-323	-937	-526
Net DEX	10.5K	-3.9K	27.9K	25.1K	-957
Net VEX	-318	-366	-267	-337	-284
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	0	0	0	0
Total OI	10	10	10	10	10

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	Spread %	Call Wall	Put Wall	Call OI	Put OI
2012-03-01	$348.80	$0.00	121.3%	0.0%	20.2%	55.4%	0.0%	24.9%	0.0%	-937	25.1K	-337	158.38	N/A	N/A	1	9
2012-03-02	$348.80	$0.00	121.7%	0.0%	20.2%	55.6%	0.0%	20.1%	0.0%	-935	26.3K	-342	158.38	N/A	N/A	1	9
2012-03-05	$345.28	$320.00	129.2%	37.0%	20.3%	59.9%	0.0%	18.3%	-68.0%	-949	27.9K	-339	159.91	N/A	N/A	1	9
2012-03-06	$345.60	$320.00	130.5%	37.4%	19.8%	60.6%	0.0%	25.0%	-69.3%	-894	20.7K	-360	162.57	N/A	N/A	1	9
2012-03-07	$345.60	$320.00	130.1%	37.3%	18.2%	60.4%	0.0%	20.4%	-70.7%	-888	21.3K	-366	160.02	N/A	N/A	1	9
2012-03-08	$343.04	$320.00	136.0%	39.0%	18.3%	63.8%	0.0%	17.2%	-73.3%	-894	23.0K	-365	160.25	N/A	N/A	1	9
2012-03-09	$344.32	$320.00	131.6%	37.7%	18.4%	61.2%	0.0%	15.7%	-74.4%	-880	22.0K	-361	160.04	N/A	N/A	1	9
2012-03-12	$346.24	$320.00	133.9%	38.4%	18.0%	62.6%	0.0%	29.2%	-78.7%	-906	18.8K	-346	162.86	N/A	N/A	1	9
2012-03-13	$355.84	$320.00	127.0%	36.4%	18.3%	58.6%	0.0%	23.8%	-76.3%	-825	13.9K	-329	158.81	N/A	N/A	1	9
2012-03-14	$361.60	$320.00	103.5%	29.7%	18.5%	45.2%	0.0%	22.7%	13.9%	-780	11.0K	-319	158.63	N/A	N/A	1	9
2012-03-15	$369.60	$320.00	113.8%	32.6%	17.9%	51.1%	0.0%	15.7%	1.6%	-741	8.8K	-321	157.01	N/A	N/A	1	9
2012-03-16	$376.00	$320.00	117.3%	33.6%	18.7%	53.1%	0.0%	15.4%	2.6%	-709	7.2K	-313	159.25	N/A	N/A	1	9
2012-03-19	$367.68	$320.00	91.8%	26.3%	19.8%	38.5%	21.9%	51.3%	127.1%	-523	1.1K	-267	155.32	N/A	N/A	1	9
2012-03-20	$366.40	$320.00	116.2%	33.3%	19.8%	52.4%	0.0%	-10.3%	82.5%	-604	3.1K	-315	159.91	N/A	N/A	1	9
2012-03-21	$367.68	$320.00	116.1%	33.3%	19.4%	52.4%	0.0%	-9.5%	86.2%	-323	-3.9K	-278	157.51	N/A	N/A	1	9
2012-03-22	$365.12	$320.00	118.2%	33.9%	19.4%	53.6%	0.0%	-11.6%	86.8%	-603	2.9K	-309	160.22	N/A	N/A	1	9
2012-03-23	$362.88	$320.00	115.5%	33.1%	19.6%	52.0%	0.0%	-15.4%	97.1%	-608	3.1K	-305	159.14	N/A	N/A	1	9
2012-03-26	$363.52	$320.00	117.7%	33.8%	18.6%	53.3%	0.0%	-4.5%	106.3%	-581	1.9K	-291	160.04	N/A	N/A	1	9
2012-03-27	$363.20	$320.00	117.9%	33.8%	18.3%	53.4%	0.0%	-4.8%	111.1%	-539	539	-281	162.10	N/A	N/A	1	9
2012-03-28	$369.60	$320.00	125.4%	35.9%	19.1%	57.7%	0.0%	1.2%	99.8%	-518	-1.1K	-283	161.83	N/A	N/A	1	9
2012-03-29	$371.20	$320.00	130.1%	37.3%	19.0%	60.4%	0.0%	2.7%	95.5%	-514	-1.4K	-281	162.63	N/A	N/A	1	9
2012-03-30	$371.20	$320.00	134.2%	38.5%	19.0%	62.7%	0.0%	2.8%	93.5%	-526	-957	-284	159.53	N/A	N/A	1	9