DAVE Options History — May 2012

In May 2012, DAVE traded between $317.76 and $339.20. ATM implied volatility averaged 150.2%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 33.9%. IV traded above realized volatility by 100.6% (HV 20d: 49.6%). 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 2 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-05-08: Highest Volume — 1 contracts
2012-05-02: Largest IV spike — 725.9% change
2012-05-02: Highest IV Rank — 94.9%
2012-05-07: Largest Expected Move — 57.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$326.73	$317.76	$339.20	$328.00	$331.20
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	150.2%	23.0%	190.3%	23.0%	176.7%
Expected Move	33.9%	6.6%	57.3%	6.6%	19.3%
HV 20d	49.6%	29.6%	56.7%	51.1%	29.6%
HV 60d	35.0%	33.5%	35.8%	33.6%	35.8%
IV Rank	72.2%	0.0%	94.9%	0.0%	87.2%
IV Percentile	77.8%	0.0%	96.0%	0.0%	90.9%
Term Structure	-7.5%	-53.9%	195.3%	195.3%	91.5%
Skew 25d	-59.0%	-138.7%	22.6%	-117.0%	14.8%
Skew 10d	-82.2%	-157.2%	32.8%	-144.7%	32.0%
Call IV 25d	164.4%	130.4%	199.2%	181.6%	137.9%
Put IV 25d	105.4%	54.7%	153.8%	64.6%	152.7%
Bid-Ask Spread %	154.67	150.15	156.08	150.15	153.82
Gamma HHI	0.50	0.39	0.58	0.49	0.58
Net GEX	462	138	696	383	611
Net DEX	-51.7K	-60.8K	-43.5K	-53.0K	-59.9K
Net VEX	-410	-449	-382	-445	-391
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	0.045	0	1	0	0
Total OI	8.636	8	9	9	8

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 Vol	Call OI	Put OI
2012-05-01	$328.00	$320.00	23.0%	6.6%	51.1%	0.0%	0.0%	-117.0%	195.3%	383	-53.0K	-445	150.15	N/A	N/A	0	5	4
2012-05-02	$325.12	$320.00	190.3%	0.0%	51.1%	94.9%	0.0%	-119.0%	0.0%	416	-50.0K	-439	155.34	N/A	N/A	0	5	4
2012-05-03	$339.20	$320.00	174.5%	0.0%	53.9%	86.0%	0.0%	-88.5%	0.0%	696	-49.7K	-448	153.64	N/A	N/A	0	5	4
2012-05-04	$333.44	$0.00	182.3%	52.3%	54.0%	90.4%	0.0%	-103.1%	-47.0%	485	-53.5K	-449	154.81	N/A	N/A	0	5	4
2012-05-07	$323.52	$0.00	89.9%	57.3%	54.5%	38.0%	0.0%	-125.9%	-53.9%	391	-49.4K	-425	154.59	N/A	N/A	0	5	4
2012-05-08	$317.76	$0.00	150.4%	0.0%	54.6%	72.3%	0.0%	-138.7%	-13.2%	409	-43.5K	-425	154.49	N/A	N/A	1	5	4
2012-05-09	$321.28	$0.00	150.5%	0.0%	54.6%	72.4%	0.0%	-132.1%	-18.0%	385	-47.6K	-422	155.38	N/A	N/A	0	5	4
2012-05-10	$323.20	$0.00	151.0%	0.0%	54.7%	72.6%	0.0%	-131.3%	-29.1%	381	-49.1K	-416	155.10	N/A	N/A	0	5	4
2012-05-11	$327.68	$0.00	150.8%	0.0%	55.1%	72.5%	0.0%	-121.2%	-17.3%	424	-50.9K	-417	155.07	N/A	N/A	0	5	4
2012-05-14	$321.28	$0.00	156.0%	0.0%	55.3%	75.4%	0.0%	-137.3%	-30.6%	401	-44.8K	-406	155.75	N/A	N/A	0	5	4
2012-05-15	$320.64	$0.00	157.3%	0.0%	54.5%	76.2%	0.0%	11.3%	-32.7%	281	-49.1K	-405	156.08	N/A	N/A	0	5	4
2012-05-16	$326.40	$0.00	156.8%	0.0%	55.2%	75.9%	0.0%	-114.2%	-37.0%	352	-51.4K	-401	154.88	N/A	N/A	0	5	4
2012-05-17	$329.60	$0.00	157.0%	0.0%	55.4%	76.0%	0.0%	-122.6%	-43.0%	407	-52.8K	-401	153.69	N/A	N/A	0	5	4
2012-05-18	$319.68	$0.00	161.2%	0.0%	56.1%	78.4%	0.0%	11.8%	-33.0%	138	-48.0K	-395	155.53	N/A	N/A	0	5	4
2012-05-21	$318.40	$0.00	165.5%	0.0%	55.6%	80.9%	0.0%	15.9%	0.0%	449	-47.6K	-384	155.66	N/A	N/A	0	5	3
2012-05-22	$327.36	$320.00	164.1%	0.0%	56.7%	80.1%	0.0%	13.0%	-37.4%	542	-52.3K	-385	155.02	N/A	N/A	0	5	3
2012-05-23	$327.36	$320.00	165.5%	0.0%	55.6%	80.9%	0.0%	13.4%	0.0%	535	-52.5K	-382	155.56	N/A	N/A	0	5	3
2012-05-24	$331.20	$320.00	67.4%	19.3%	42.4%	25.2%	0.0%	14.2%	91.5%	551	-54.4K	-389	154.32	N/A	N/A	0	5	3
2012-05-25	$333.44	$320.00	166.5%	0.0%	30.9%	81.4%	0.0%	14.5%	0.0%	622	-60.8K	-413	154.73	N/A	N/A	0	5	3
2012-05-29	$329.60	$320.00	173.9%	0.0%	31.1%	85.6%	0.0%	21.4%	0.0%	640	-57.8K	-390	155.03	N/A	N/A	0	5	3
2012-05-30	$332.80	$320.00	174.5%	0.0%	29.8%	86.0%	0.0%	22.6%	0.0%	658	-59.2K	-395	154.20	N/A	N/A	0	5	3
2012-05-31	$331.20	$320.00	176.7%	0.0%	29.6%	87.2%	0.0%	14.8%	0.0%	611	-59.9K	-391	153.82	N/A	N/A	0	5	3