DAVE Options History — December 2012

In December 2012, DAVE traded between $280.32 and $294.08. ATM implied volatility averaged 63.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 42.1% (HV 20d: 21.6%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.06.

Notable Days

2012-12-31: Highest Volume — 3 contracts
2012-12-10: Largest IV spike — 291.6% change
2012-12-10: Highest IV Rank — 90.9%
2012-12-26: Largest Expected Move — 36.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$288.37	$280.32	$294.08	$288.00	$294.08
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	63.7%	27.9%	183.1%	63.5%	55.7%
Expected Move	17.0%	8.0%	36.0%	13.4%	16.0%
HV 20d	21.6%	18.5%	26.6%	26.2%	22.7%
HV 60d	28.9%	28.7%	29.5%	28.7%	29.5%
IV Rank	23.1%	2.8%	90.9%	23.0%	18.6%
IV Percentile	40.8%	1.6%	90.5%	49.2%	44.4%
Term Structure	45.7%	-20.5%	127.1%	17.7%	120.0%
VWIV	45.4%	21.4%	69.4%	69.4%	21.4%
Skew 25d	20.5%	-1.3%	107.5%	3.3%	9.5%
Skew 10d	25.0%	7.7%	58.0%	49.3%	58.0%
Call IV 25d	150.5%	54.3%	183.4%	163.8%	178.8%
Put IV 25d	170.9%	114.0%	188.3%	167.0%	188.3%
Bid-Ask Spread %	156.56	146.26	163.02	161.12	154.73
Gamma HHI	0.57	0.33	0.75	0.68	0.69
Net GEX	-3.7K	-6.4K	-632	-4.2K	-5.2K
Net DEX	143.1K	60.2K	202.2K	112.0K	90.8K
Net VEX	-1.1K	-1.3K	-672	-1.2K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.00	10.00	0.67	0.00
Total Volume	0.5	0	3	0	3
Total OI	26.8	25	30	25	30

Daily Data (20 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
2012-12-03	$288.00	$0.00	63.5%	0.0%	26.2%	23.0%	0.0%	3.3%	0.0%	-4.2K	112.0K	-1.2K	0.00	161.12	N/A	N/A	0	0	9	16
2012-12-04	$291.20	$0.00	60.8%	0.0%	25.9%	21.4%	0.0%	0.7%	0.0%	-4.9K	108.4K	-1.2K	0.67	161.33	N/A	N/A	1	1	9	16
2012-12-05	$288.00	$0.00	45.6%	0.0%	26.6%	12.8%	0.0%	3.9%	0.0%	-4.4K	168.3K	-1.1K	5.00	163.02	N/A	N/A	0	0	9	16
2012-12-06	$290.24	$0.00	37.1%	0.0%	23.1%	8.0%	0.0%	8.7%	0.0%	-4.8K	114.2K	-1.3K	0.00	162.61	N/A	N/A	0	0	10	16
2012-12-07	$288.64	$320.00	46.8%	13.4%	21.3%	13.5%	0.0%	99.7%	17.7%	-4.2K	198.6K	-808	0.00	155.50	N/A	N/A	0	0	10	16
2012-12-10	$290.56	$320.00	183.1%	18.4%	20.2%	90.9%	0.0%	23.3%	-20.5%	-4.7K	133.0K	-1.2K	0.00	154.05	N/A	N/A	0	0	10	16
2012-12-11	$289.60	$320.00	29.0%	8.3%	20.2%	3.4%	0.0%	21.3%	10.2%	-4.3K	190.3K	-1.0K	0.00	156.22	N/A	N/A	0	0	10	16
2012-12-12	$293.76	$320.00	50.4%	14.5%	20.5%	15.5%	0.0%	24.9%	11.4%	-5.7K	171.5K	-1.1K	0.00	157.05	N/A	N/A	0	0	10	16
2012-12-13	$291.20	$320.00	41.7%	11.9%	20.7%	10.6%	0.0%	22.9%	-19.1%	-5.0K	123.3K	-1.2K	4.00	146.26	N/A	N/A	0	1	10	16
2012-12-14	$289.60	$320.00	36.6%	10.5%	20.9%	7.7%	0.0%	57.5%	-13.0%	-6.4K	94.3K	-1.3K	0.00	151.63	N/A	N/A	0	0	10	16
2012-12-17	$289.28	$320.00	27.9%	8.0%	21.0%	2.8%	0.0%	107.5%	15.8%	-3.3K	202.2K	-672	10.00	156.13	N/A	N/A	0	1	10	16
2012-12-18	$289.28	$320.00	68.6%	19.7%	20.1%	25.9%	69.4%	8.0%	70.5%	-3.9K	93.1K	-1.3K	0.00	156.34	N/A	N/A	1	0	10	17
2012-12-19	$292.16	$320.00	81.1%	23.3%	18.5%	33.0%	0.0%	9.0%	70.7%	-3.8K	82.8K	-1.3K	0.00	155.45	N/A	N/A	0	0	11	17
2012-12-20	$288.32	$320.00	42.5%	12.2%	19.4%	11.1%	0.0%	6.5%	123.6%	-3.1K	178.0K	-1.0K	0.00	156.59	N/A	N/A	0	0	11	17
2012-12-21	$281.60	$320.00	39.1%	11.2%	21.0%	9.1%	0.0%	0.1%	126.7%	-1.3K	187.9K	-956	0.00	156.53	N/A	N/A	0	0	11	17
2012-12-24	$282.56	$320.00	58.9%	16.9%	21.0%	20.4%	0.0%	1.1%	127.1%	-1.4K	183.6K	-955	0.00	156.27	N/A	N/A	0	0	11	17
2012-12-26	$283.52	$320.00	125.7%	36.0%	20.5%	58.3%	0.0%	-0.0%	-1.2%	-2.1K	60.2K	-1.3K	0.00	156.31	N/A	N/A	0	0	11	17
2012-12-27	$280.32	$320.00	103.2%	29.6%	20.9%	45.5%	0.0%	-1.3%	0.0%	-632	186.2K	-927	0.00	156.50	N/A	N/A	0	0	11	17
2012-12-28	$285.44	$320.00	75.7%	21.7%	21.3%	29.9%	0.0%	2.6%	0.0%	-1.2K	184.0K	-936	0.92	157.48	N/A	N/A	1	1	11	17
2012-12-31	$294.08	$320.00	55.7%	16.0%	22.7%	18.6%	21.4%	9.5%	120.0%	-5.2K	90.8K	-1.3K	0.00	154.73	N/A	N/A	3	0	12	18