DAVE Options History — October 2012

In October 2012, DAVE traded between $252.80 and $317.44. ATM implied volatility averaged 65.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 40.1% (HV 20d: 25.6%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2012-10-15: Highest Volume — 1 contracts
2012-10-15: Largest IV spike — 505.8% change
2012-10-15: Highest IV Rank — 99.2%
2012-10-15: Largest Expected Move — 56.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$289.98	$252.80	$317.44	$311.36	$252.80
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	65.7%	31.8%	197.8%	182.0%	37.7%
Expected Move	15.1%	7.7%	56.7%	9.3%	10.8%
HV 20d	25.6%	15.9%	36.9%	15.9%	35.3%
HV 60d	23.0%	19.0%	25.9%	22.2%	23.8%
IV Rank	24.2%	4.9%	99.2%	90.2%	8.3%
IV Percentile	30.8%	7.1%	98.0%	88.1%	22.6%
Term Structure	5.1%	-10.5%	131.4%	131.4%	-1.6%
Skew 25d	6.7%	-13.8%	81.7%	-5.2%	-13.8%
Skew 10d	2.9%	-19.1%	19.4%	19.4%	-19.1%
Call IV 25d	68.3%	28.4%	181.5%	62.1%	53.5%
Put IV 25d	75.0%	30.5%	193.8%	56.9%	39.7%
Bid-Ask Spread %	125.71	104.37	162.42	158.93	113.28
Gamma HHI	0.72	0.48	0.91	0.90	0.48
Net GEX	-8.5K	-18.9K	-1.5K	-17.0K	-2.3K
Net DEX	272.5K	95.4K	412.2K	285.2K	243.9K
Net VEX	-1.1K	-1.4K	-583	-1.3K	-583
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	1.60	0.00	1.60
Total Volume	0.095	0	1	0	0
Total OI	25.286	19	29	28	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	P/C	Spread %	Call Wall	Put Wall	Put Vol	Call OI	Put OI
2012-10-01	$311.36	$320.00	182.0%	0.0%	15.9%	90.2%	0.0%	-5.2%	131.4%	-17.0K	285.2K	-1.3K	0.00	158.93	N/A	N/A	0	7	21
2012-10-02	$312.96	$320.00	32.4%	9.3%	16.1%	5.3%	0.0%	11.8%	1.3%	-16.8K	272.5K	-1.3K	0.00	114.40	N/A	N/A	0	7	21
2012-10-03	$317.44	$320.00	33.7%	9.6%	16.9%	6.0%	0.0%	13.2%	5.4%	-15.7K	234.3K	-1.3K	0.00	114.08	N/A	N/A	0	7	21
2012-10-04	$316.16	$320.00	33.0%	9.5%	16.5%	5.7%	0.0%	9.3%	-1.1%	-17.3K	238.0K	-1.4K	0.00	117.18	N/A	N/A	0	7	21
2012-10-05	$314.56	$0.00	33.7%	9.4%	16.3%	6.1%	0.0%	4.5%	-0.0%	-17.5K	253.5K	-1.3K	1.00	109.20	N/A	N/A	0	7	21
2012-10-08	$312.64	$0.00	32.6%	9.6%	16.4%	5.4%	0.0%	4.5%	-0.4%	-18.9K	271.4K	-1.3K	0.00	111.06	N/A	N/A	0	7	21
2012-10-09	$300.16	$0.00	38.5%	7.7%	21.2%	8.8%	0.0%	9.5%	5.1%	-13.1K	350.2K	-1.2K	0.00	112.17	N/A	N/A	0	7	21
2012-10-10	$284.80	$0.00	57.9%	52.8%	27.4%	19.8%	0.0%	81.7%	0.0%	-7.4K	365.3K	-1.1K	0.00	161.73	N/A	N/A	0	7	21
2012-10-11	$286.40	$0.00	31.8%	9.1%	27.7%	4.9%	0.0%	-1.9%	-8.1%	-8.9K	395.8K	-984	0.00	104.95	N/A	N/A	0	7	21
2012-10-12	$283.52	$0.00	32.6%	9.4%	27.6%	5.5%	0.0%	3.6%	-9.0%	-8.5K	412.2K	-927	0.00	111.78	N/A	N/A	0	7	21
2012-10-15	$284.80	$0.00	197.8%	56.7%	27.8%	99.2%	0.0%	8.2%	0.0%	-1.5K	335.3K	-1.1K	0.00	162.42	N/A	N/A	1	8	21
2012-10-16	$288.32	$0.00	152.9%	0.0%	28.5%	73.7%	0.0%	10.1%	0.0%	-3.5K	175.9K	-1.3K	0.00	161.93	N/A	N/A	0	8	18
2012-10-17	$290.24	$0.00	33.1%	9.5%	28.8%	5.7%	0.0%	8.7%	0.6%	-5.2K	320.5K	-992	0.00	111.90	N/A	N/A	0	8	19
2012-10-18	$289.60	$0.00	94.3%	0.0%	28.8%	40.5%	0.0%	16.8%	0.0%	-1.7K	221.2K	-1.2K	0.00	161.64	N/A	N/A	0	8	19
2012-10-19	$285.44	$0.00	32.8%	9.4%	28.9%	5.5%	0.0%	6.5%	-8.7%	-5.6K	348.5K	-858	0.00	111.90	N/A	N/A	0	8	19
2012-10-22	$281.60	$0.00	173.5%	0.0%	29.0%	85.4%	0.0%	-11.7%	0.0%	-1.9K	95.4K	-1.2K	0.00	161.92	N/A	N/A	0	5	14
2012-10-23	$282.24	$0.00	37.1%	10.6%	28.5%	8.0%	0.0%	5.5%	-9.6%	-5.1K	220.8K	-790	0.00	104.37	N/A	N/A	0	5	14
2012-10-24	$280.32	$0.00	38.7%	11.1%	27.6%	8.9%	0.0%	4.2%	-10.5%	-4.9K	224.8K	-753	0.00	111.08	N/A	N/A	0	5	14
2012-10-25	$260.80	$0.00	38.0%	10.9%	36.4%	8.5%	0.0%	-11.5%	-10.4%	-3.3K	217.7K	-717	0.00	111.31	N/A	N/A	0	5	14
2012-10-26	$253.44	$0.00	36.4%	10.4%	36.9%	7.6%	0.0%	-13.4%	-2.7%	-2.7K	239.7K	-637	1.60	112.67	N/A	N/A	1	5	14
2012-10-31	$252.80	$0.00	37.7%	10.8%	35.3%	8.3%	0.0%	-13.8%	-1.6%	-2.3K	243.9K	-583	0.00	113.28	N/A	N/A	0	6	14