DAVE Options History — September 2012

In September 2012, DAVE traded between $304.96 and $324.80. ATM implied volatility averaged 33.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 22.5% (HV 20d: 11.3%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.16.

Notable Days

2012-09-25: Largest IV drop — 41.5% change
2012-09-24: Highest IV Rank — 15.6%
2012-09-24: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$317.52	$304.96	$324.80	$319.68	$304.96
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	33.9%	28.5%	50.5%	33.6%	29.8%
Expected Move	9.6%	8.2%	14.5%	9.6%	8.5%
HV 20d	11.3%	9.4%	13.6%	11.1%	13.6%
HV 60d	21.5%	21.1%	22.6%	22.6%	21.7%
IV Rank	6.1%	3.1%	15.6%	6.0%	3.8%
IV Percentile	10.3%	2.8%	26.2%	9.1%	6.3%
Term Structure	5.8%	-2.6%	96.9%	-0.2%	-0.0%
VWIV	35.9%	35.9%	35.9%	35.9%	35.9%
Skew 25d	25.9%	3.6%	84.8%	5.4%	13.4%
Skew 10d	40.5%	5.7%	123.5%	12.2%	5.9%
Call IV 25d	43.8%	33.3%	143.8%	44.5%	33.3%
Put IV 25d	69.7%	40.6%	157.9%	49.9%	46.7%
Bid-Ask Spread %	113.82	107.57	152.47	114.67	113.18
Gamma HHI	0.92	0.90	0.96	0.95	0.91
Net GEX	-14.5K	-16.7K	-12.7K	-12.7K	-14.4K
Net DEX	245.2K	215.6K	318.9K	223.9K	318.9K
Net VEX	-1.4K	-1.4K	-1.2K	-1.3K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.00	0.00	1.00
Total Volume	0	0	0	0	0
Total OI	25.263	23	27	23	26

Daily Data (19 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 OI	Put OI
2012-09-04	$319.68	$320.00	33.6%	9.6%	11.1%	6.0%	0.0%	5.4%	-0.2%	-12.7K	223.9K	-1.3K	0.00	114.67	N/A	N/A	4	19
2012-09-05	$318.40	$320.00	34.4%	9.9%	11.1%	6.5%	0.0%	5.6%	-1.6%	-12.9K	245.3K	-1.4K	0.00	116.63	N/A	N/A	4	19
2012-09-06	$321.60	$320.00	32.8%	9.4%	11.6%	5.5%	0.0%	7.7%	3.4%	-13.5K	242.7K	-1.4K	0.00	118.71	N/A	N/A	4	19
2012-09-07	$323.84	$320.00	32.1%	9.3%	11.8%	5.2%	0.0%	54.0%	1.0%	-13.8K	223.6K	-1.4K	0.00	109.83	N/A	N/A	4	19
2012-09-10	$322.88	$320.00	34.3%	9.1%	11.1%	6.4%	0.0%	58.1%	2.0%	-14.1K	223.3K	-1.4K	0.00	110.52	N/A	N/A	5	19
2012-09-11	$324.80	$320.00	35.6%	10.3%	11.1%	7.1%	35.9%	58.4%	-2.4%	-13.7K	221.9K	-1.4K	0.30	107.57	N/A	N/A	5	20
2012-09-12	$322.88	$320.00	35.7%	9.4%	11.2%	7.2%	0.0%	59.7%	0.9%	-14.3K	222.6K	-1.4K	0.00	110.52	N/A	N/A	5	20
2012-09-13	$320.00	$320.00	33.5%	9.6%	11.4%	5.9%	0.0%	5.3%	0.5%	-13.9K	229.1K	-1.4K	0.00	109.03	N/A	N/A	5	20
2012-09-14	$320.00	$320.00	32.9%	9.4%	11.4%	5.6%	0.0%	3.6%	0.6%	-14.4K	225.6K	-1.4K	0.00	108.66	N/A	N/A	5	20
2012-09-17	$320.00	$320.00	33.2%	9.5%	11.5%	5.8%	0.0%	3.8%	0.9%	-14.6K	215.6K	-1.4K	0.00	109.91	N/A	N/A	6	20
2012-09-18	$319.04	$320.00	33.9%	9.7%	11.4%	6.1%	0.0%	3.7%	-0.4%	-14.7K	229.9K	-1.4K	0.00	111.42	N/A	N/A	6	21
2012-09-19	$317.12	$320.00	34.4%	9.9%	11.0%	6.5%	0.0%	3.8%	-2.6%	-15.1K	228.0K	-1.4K	0.00	108.44	N/A	N/A	6	21
2012-09-20	$316.16	$320.00	33.0%	9.5%	11.0%	5.7%	0.0%	80.6%	0.3%	-15.4K	263.4K	-1.4K	0.00	112.15	N/A	N/A	6	21
2012-09-21	$317.12	$320.00	36.7%	10.5%	10.0%	7.8%	0.0%	84.8%	-0.3%	-14.8K	262.9K	-1.4K	0.00	108.91	N/A	N/A	6	21
2012-09-24	$314.24	$320.00	50.5%	14.5%	9.4%	15.6%	0.0%	14.1%	96.9%	-14.5K	223.7K	-1.4K	0.00	152.47	N/A	N/A	6	20
2012-09-25	$307.52	$320.00	29.5%	8.5%	10.7%	3.7%	0.0%	9.8%	1.8%	-15.3K	296.5K	-1.3K	0.00	113.14	N/A	N/A	6	20
2012-09-26	$312.00	$320.00	28.9%	8.3%	12.2%	3.3%	0.0%	10.2%	4.8%	-16.6K	280.4K	-1.3K	0.00	113.41	N/A	N/A	6	20
2012-09-27	$310.72	$320.00	28.5%	8.2%	12.2%	3.1%	0.0%	9.9%	4.9%	-16.7K	282.3K	-1.3K	0.00	113.47	N/A	N/A	6	20
2012-09-28	$304.96	$320.00	29.8%	8.5%	13.6%	3.8%	0.0%	13.4%	-0.0%	-14.4K	318.9K	-1.2K	1.00	113.18	N/A	N/A	6	20