DAVE Options History — June 2012

In June 2012, DAVE traded between $325.44 and $353.60. ATM implied volatility averaged 175.5%, placing in the 86.5% IV rank vs the trailing year. The 30-day expected move averaged 51.5%. IV traded above realized volatility by 151.6% (HV 20d: 23.9%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2012-06-27: Highest Volume — 2 contracts
2012-06-18: Largest IV spike — 79.9% change
2012-06-19: Highest IV Rank — 100.0%
2012-06-19: Largest Expected Move — 57.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$343.34	$325.44	$353.60	$325.44	$353.60
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	175.5%	109.4%	199.2%	180.4%	171.7%
Expected Move	51.5%	31.4%	57.1%	53.1%	57.0%
HV 20d	23.9%	20.5%	27.2%	25.9%	20.5%
HV 60d	36.2%	35.8%	36.4%	35.9%	36.3%
IV Rank	86.5%	49.0%	100.0%	89.3%	84.4%
IV Percentile	86.0%	56.3%	99.6%	91.7%	82.1%
Term Structure	-67.6%	-89.1%	-39.4%	-74.9%	-45.6%
VWIV	198.7%	198.7%	198.7%	198.7%	198.7%
Skew 25d	8.4%	-22.7%	24.3%	15.1%	18.1%
Skew 10d	42.7%	34.2%	50.6%	34.2%	50.6%
Call IV 25d	152.9%	128.7%	197.7%	140.6%	143.6%
Put IV 25d	161.3%	149.0%	178.6%	155.7%	161.6%
Bid-Ask Spread %	160.30	154.48	163.85	154.48	160.31
Gamma HHI	0.59	0.53	0.71	0.57	0.55
Net GEX	978	414	1.6K	594	565
Net DEX	-47.8K	-70.9K	-1.6K	-57.0K	-2.6K
Net VEX	-363	-430	-216	-376	-410
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	2.00	1.00	0.00
Total Volume	0.143	0	2	0	0
Total OI	9.429	8	12	8	12

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	Put Vol	Call OI	Put OI
2012-06-01	$325.44	$320.00	180.4%	0.0%	25.9%	89.3%	0.0%	15.1%	0.0%	594	-57.0K	-376	0.00	154.48	N/A	N/A	0	5	3
2012-06-04	$328.00	$320.00	185.2%	53.1%	25.5%	92.0%	0.0%	14.1%	-74.9%	644	-56.8K	-370	0.00	162.45	N/A	N/A	0	5	3
2012-06-05	$333.76	$320.00	185.2%	53.1%	23.7%	92.1%	0.0%	15.1%	-74.0%	665	-59.6K	-375	0.00	163.85	N/A	N/A	0	5	3
2012-06-06	$336.64	$320.00	186.3%	53.4%	22.7%	92.7%	0.0%	15.9%	-74.4%	625	-62.8K	-373	0.00	162.85	N/A	N/A	0	5	3
2012-06-07	$341.44	$320.00	172.3%	49.4%	22.9%	84.7%	0.0%	24.3%	-74.0%	736	-61.8K	-369	0.00	160.41	N/A	N/A	0	5	3
2012-06-08	$352.00	$320.00	164.2%	47.1%	24.9%	80.1%	0.0%	16.3%	-71.2%	697	-70.9K	-370	0.00	161.28	N/A	N/A	0	5	3
2012-06-11	$350.72	$320.00	171.5%	49.2%	24.7%	84.3%	0.0%	16.4%	-76.8%	684	-70.1K	-352	1.00	162.86	N/A	N/A	0	5	3
2012-06-12	$338.56	$320.00	186.0%	53.3%	27.2%	92.5%	0.0%	16.6%	-84.2%	1.3K	-48.0K	-364	0.00	161.74	N/A	N/A	0	5	4
2012-06-13	$338.88	$320.00	188.1%	53.9%	27.1%	93.7%	0.0%	16.5%	-86.0%	1.3K	-47.5K	-361	0.00	159.79	N/A	N/A	0	5	4
2012-06-14	$336.96	$320.00	192.7%	55.2%	26.7%	96.3%	0.0%	16.3%	-89.1%	1.3K	-45.3K	-357	0.00	160.92	N/A	N/A	0	5	4
2012-06-15	$341.76	$320.00	109.4%	31.4%	26.9%	49.0%	0.0%	16.8%	-88.9%	1.2K	-53.3K	-369	0.00	163.06	N/A	N/A	0	5	4
2012-06-18	$343.36	$320.00	196.8%	56.4%	24.0%	98.6%	0.0%	-22.7%	-52.1%	1.3K	-54.2K	-348	0.00	159.59	N/A	N/A	0	5	4
2012-06-19	$344.00	$320.00	199.2%	57.1%	23.9%	100.0%	0.0%	-22.3%	-53.7%	1.6K	-51.1K	-325	0.00	159.22	N/A	N/A	0	5	4
2012-06-20	$347.20	$320.00	198.7%	57.0%	22.3%	99.7%	198.7%	-19.4%	-54.7%	1.4K	-55.7K	-368	2.00	159.69	N/A	N/A	1	5	4
2012-06-21	$348.80	$320.00	160.7%	0.0%	22.2%	78.1%	0.0%	-17.8%	-39.4%	1.4K	-56.4K	-430	0.00	158.86	N/A	N/A	0	6	5
2012-06-22	$347.84	$320.00	162.3%	0.0%	22.1%	79.1%	0.0%	-19.0%	-42.0%	1.4K	-56.0K	-425	0.00	159.35	N/A	N/A	0	6	5
2012-06-25	$351.68	$320.00	165.7%	0.0%	22.3%	81.0%	0.0%	17.4%	-45.6%	1.4K	-60.5K	-407	0.00	157.87	N/A	N/A	0	6	5
2012-06-26	$350.40	$320.00	167.6%	0.0%	21.8%	82.1%	0.0%	20.6%	0.0%	712	-14.0K	-216	0.00	159.41	N/A	N/A	0	6	5
2012-06-27	$347.84	$320.00	170.0%	0.0%	21.9%	83.4%	0.0%	20.1%	0.0%	500	-17.7K	-244	0.00	159.06	N/A	N/A	2	6	5
2012-06-28	$351.36	$320.00	170.6%	0.0%	21.9%	83.8%	0.0%	17.9%	0.0%	414	-1.6K	-407	0.00	159.24	N/A	N/A	0	6	6
2012-06-29	$353.60	$320.00	171.7%	0.0%	20.5%	84.4%	0.0%	18.1%	0.0%	565	-2.6K	-410	0.00	160.31	N/A	N/A	0	6	6