DAVE Options History — November 2012

Name: DAVE Options Analytics - November 2012
Creator: Options Analysis Suite

In November 2012, DAVE traded between $253.76 and $282.88. ATM implied volatility averaged 69.4%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 36.1% (HV 20d: 33.3%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2012-11-15: Highest Volume — 1 contracts
2012-11-27: Largest IV spike — 223.8% change
2012-11-28: Highest IV Rank — 98.1%
2012-11-26: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$265.75	$253.76	$282.88	$254.72	$278.40
ATM IV	69.4%	31.2%	195.8%	40.1%	141.3%
Expected Move	10.6%	8.4%	17.1%	11.5%	17.1%
HV 20d	33.3%	22.7%	39.8%	35.4%	24.1%
HV 60d	26.1%	23.9%	27.7%	23.9%	27.7%
IV Rank	26.3%	4.7%	98.1%	9.7%	67.1%
IV Percentile	41.8%	6.0%	97.2%	24.6%	71.8%
Term Structure	16.6%	-16.5%	158.0%	-11.9%	158.0%
Skew 25d	-3.9%	-11.5%	13.8%	-11.5%	-6.6%
Skew 10d	12.1%	-17.2%	44.4%	-17.1%	44.4%
Call IV 25d	65.6%	33.5%	169.4%	54.8%	169.4%
Put IV 25d	61.7%	29.2%	163.7%	43.4%	162.9%
Bid-Ask Spread %	128.39	110.75	162.81	112.86	162.52
Gamma HHI	0.56	0.46	0.71	0.48	0.69
Net GEX	-3.0K	-4.0K	-1.7K	-2.5K	-3.6K
Net DEX	194.9K	109.5K	241.9K	241.9K	117.3K
Net VEX	-820	-1.3K	-592	-596	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.00	10.00	0.00	0.91
Total Volume	0.238	0	1	0	0
Total OI	21.81	20	25	20	25

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	Call Vol	Put Vol	Call OI	Put OI
2012-11-01	$254.72	$0.00	40.1%	11.5%	35.4%	9.7%	0.0%	-11.5%	-11.9%	-2.5K	241.9K	-596	0.00	112.86	N/A	N/A	0	0	6	14
2012-11-02	$254.72	$0.00	39.2%	11.3%	34.5%	9.2%	0.0%	-10.3%	-8.6%	-2.5K	233.9K	-638	0.00	112.56	N/A	N/A	0	0	6	14
2012-11-05	$253.76	$0.00	42.0%	8.4%	34.5%	10.8%	0.0%	-8.5%	-1.2%	-2.5K	229.2K	-625	0.00	112.08	N/A	N/A	0	0	6	14
2012-11-06	$256.64	$0.00	44.8%	8.4%	35.3%	12.3%	0.0%	-2.5%	8.5%	-2.6K	230.1K	-641	0.00	111.72	N/A	N/A	0	0	6	14
2012-11-07	$267.52	$0.00	57.9%	8.9%	39.8%	19.8%	0.0%	-1.8%	-1.6%	-3.2K	226.4K	-710	0.00	111.72	N/A	N/A	0	0	6	14
2012-11-08	$261.76	$0.00	57.1%	9.2%	38.3%	19.4%	0.0%	-4.4%	3.8%	-3.0K	219.2K	-710	0.00	112.37	N/A	N/A	0	0	6	14
2012-11-09	$258.24	$0.00	57.3%	8.9%	34.4%	19.4%	0.0%	-6.8%	3.6%	-2.7K	225.0K	-678	0.00	112.11	N/A	N/A	0	0	6	14
2012-11-12	$257.60	$0.00	69.3%	8.9%	34.2%	26.2%	0.0%	-7.0%	5.1%	-2.6K	227.9K	-669	0.00	110.75	N/A	N/A	0	0	6	14
2012-11-13	$258.88	$0.00	71.7%	8.9%	34.4%	27.6%	0.0%	-3.2%	-3.1%	-1.7K	231.4K	-592	0.00	113.15	N/A	N/A	0	0	7	14
2012-11-14	$257.28	$0.00	84.8%	9.2%	34.2%	35.1%	0.0%	-7.7%	5.2%	-2.5K	216.8K	-660	0.00	112.02	N/A	N/A	0	0	7	14
2012-11-15	$256.64	$0.00	31.2%	9.0%	33.6%	4.7%	0.0%	-11.2%	2.8%	-2.4K	217.8K	-652	0.00	112.86	N/A	N/A	1	0	7	14
2012-11-16	$259.20	$0.00	32.3%	9.3%	33.8%	5.2%	0.0%	-5.3%	-3.6%	-3.0K	197.8K	-774	0.00	112.98	N/A	N/A	0	1	7	14
2012-11-19	$264.96	$0.00	34.5%	9.9%	35.2%	6.5%	0.0%	-4.0%	-6.7%	-3.5K	198.2K	-804	0.00	111.21	N/A	N/A	0	0	7	15
2012-11-20	$272.00	$0.00	57.2%	16.4%	36.6%	19.4%	0.0%	13.8%	-16.5%	-3.7K	170.5K	-991	2.00	157.01	N/A	N/A	0	0	7	15
2012-11-21	$273.60	$0.00	37.8%	10.8%	36.4%	8.4%	0.0%	-1.7%	-5.9%	-4.0K	198.4K	-797	0.00	111.25	N/A	N/A	1	0	7	15
2012-11-23	$277.44	$0.00	47.6%	13.6%	36.8%	13.9%	0.0%	-0.8%	153.8%	-3.5K	152.9K	-1.1K	0.00	162.81	N/A	N/A	0	0	9	15
2012-11-26	$276.16	$0.00	59.5%	17.1%	36.8%	20.7%	0.0%	8.4%	158.0%	-3.7K	134.3K	-1.1K	10.00	157.89	N/A	N/A	0	0	9	15
2012-11-27	$279.68	$0.00	192.6%	0.0%	25.5%	96.3%	0.0%	-5.7%	0.0%	-4.0K	126.9K	-1.1K	0.00	161.94	N/A	N/A	0	0	9	16
2012-11-28	$278.72	$0.00	195.8%	0.0%	22.7%	98.1%	0.0%	-4.4%	0.0%	-2.7K	187.1K	-937	0.00	162.11	N/A	N/A	1	0	9	16
2012-11-29	$282.88	$0.00	64.4%	0.0%	22.8%	23.5%	0.0%	-0.9%	0.0%	-3.5K	109.5K	-1.3K	0.00	162.18	N/A	N/A	1	0	9	16
2012-11-30	$278.40	$0.00	141.3%	0.0%	24.1%	67.1%	0.0%	-6.6%	0.0%	-3.6K	117.3K	-1.2K	0.91	162.52	N/A	N/A	0	0	9	16