DAVE Options History — March 2013

In March 2013, DAVE traded between $317.76 and $354.56. ATM implied volatility averaged 36.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 8.3% (HV 20d: 27.9%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2013-03-15: Largest IV spike — 193.5% change
2013-03-18: Highest IV Rank — 37.9%
2013-03-04: Largest Expected Move — 31.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$341.89	$317.76	$354.56	$317.76	$347.52
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	36.2%	17.1%	84.0%	39.3%	51.2%
Expected Move	13.9%	4.9%	31.4%	11.3%	14.7%
HV 20d	27.9%	21.6%	33.2%	32.2%	21.6%
HV 60d	29.1%	28.3%	30.2%	28.3%	28.8%
IV Rank	12.2%	1.9%	37.9%	13.9%	20.3%
IV Percentile	21.6%	0.4%	59.9%	29.4%	46.4%
Term Structure	80.7%	-21.2%	124.8%	-21.2%	91.0%
VWIV	42.2%	42.1%	42.3%	42.3%	42.1%
Skew 25d	14.4%	-76.7%	130.2%	26.3%	-65.1%
Skew 10d	12.8%	-94.3%	52.7%	40.8%	-74.8%
Call IV 25d	107.0%	24.2%	198.3%	132.5%	123.7%
Put IV 25d	121.4%	29.0%	186.6%	158.8%	58.7%
Bid-Ask Spread %	152.09	140.68	165.56	165.56	140.68
Gamma HHI	0.35	0.27	0.66	0.27	0.41
Net GEX	1.7K	584	3.0K	1.1K	3.0K
Net DEX	-165.6K	-214.3K	-114.9K	-114.9K	-214.3K
Net VEX	-926	-1.2K	-518	-1.2K	-639
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	5.00	5.00	0.00
Total Volume	0	0	0	0	0
Total OI	24.7	24	25	25	24

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 OI	Put OI
2013-03-01	$317.76	$0.00	39.3%	11.3%	32.2%	13.9%	0.0%	26.3%	-21.2%	1.1K	-114.9K	-1.2K	0.00	165.56	N/A	N/A	14	11
2013-03-04	$324.80	$240.00	35.8%	31.4%	32.9%	12.0%	0.0%	26.8%	73.0%	1.1K	-128.9K	-1.2K	0.00	157.53	N/A	N/A	14	11
2013-03-05	$329.60	$240.00	30.8%	30.1%	33.2%	9.3%	0.0%	28.6%	87.5%	1.2K	-138.2K	-1.2K	0.00	158.34	N/A	N/A	14	11
2013-03-06	$331.20	$240.00	29.8%	30.9%	32.8%	8.7%	0.0%	28.8%	84.3%	1.2K	-141.7K	-1.2K	0.00	158.34	N/A	N/A	14	11
2013-03-07	$336.96	$240.00	19.5%	11.4%	32.6%	3.2%	42.3%	-72.5%	70.7%	2.0K	-148.0K	-915	5.00	155.31	N/A	N/A	14	11
2013-03-08	$337.28	$240.00	17.1%	4.9%	32.2%	1.9%	0.0%	29.5%	83.9%	1.5K	-153.8K	-1.1K	0.00	156.00	N/A	N/A	14	11
2013-03-11	$341.76	$240.00	31.8%	9.1%	32.2%	9.8%	0.0%	33.4%	77.1%	1.5K	-153.6K	-1.0K	0.00	147.04	N/A	N/A	14	11
2013-03-12	$350.08	$240.00	27.4%	7.9%	32.9%	7.5%	0.0%	-76.7%	19.5%	584	-190.2K	-518	0.00	152.40	N/A	N/A	14	11
2013-03-13	$352.00	$240.00	37.9%	10.9%	32.8%	13.1%	0.0%	29.7%	70.1%	1.6K	-172.7K	-1.0K	0.00	153.09	N/A	N/A	14	11
2013-03-14	$354.56	$240.00	17.8%	5.1%	29.9%	2.3%	0.0%	45.8%	76.0%	1.8K	-192.6K	-1.0K	0.00	154.20	N/A	N/A	14	11
2013-03-15	$343.36	$240.00	52.3%	15.0%	25.7%	20.9%	0.0%	35.1%	54.7%	1.6K	-161.4K	-1.0K	0.00	147.02	N/A	N/A	14	11
2013-03-18	$351.36	$240.00	84.0%	24.1%	23.3%	37.9%	0.0%	-24.1%	108.1%	1.7K	-172.1K	-946	0.00	153.13	N/A	N/A	14	11
2013-03-19	$345.60	$240.00	45.1%	12.9%	24.2%	17.0%	0.0%	-1.2%	99.1%	2.1K	-195.0K	-827	0.00	142.61	N/A	N/A	14	11
2013-03-20	$342.40	$240.00	34.4%	9.9%	24.7%	11.2%	42.1%	18.7%	121.4%	2.7K	-204.8K	-649	0.00	146.81	N/A	N/A	14	11
2013-03-21	$345.60	$240.00	44.3%	12.7%	24.1%	16.6%	42.1%	22.2%	40.4%	2.2K	-161.4K	-715	0.00	153.24	N/A	N/A	14	10
2013-03-22	$347.20	$240.00	22.1%	6.3%	24.0%	4.6%	0.0%	-19.8%	124.5%	1.7K	-164.8K	-917	0.00	147.23	N/A	N/A	14	10
2013-03-25	$346.88	$240.00	39.1%	11.2%	23.7%	13.7%	0.0%	57.7%	111.8%	2.0K	-170.8K	-620	0.00	147.09	N/A	N/A	14	10
2013-03-26	$345.60	$240.00	28.5%	8.2%	21.6%	8.1%	0.0%	34.6%	124.8%	1.8K	-171.0K	-934	0.00	153.19	N/A	N/A	14	10
2013-03-27	$346.24	$240.00	36.3%	10.4%	21.6%	12.2%	0.0%	130.2%	118.0%	1.7K	-162.7K	-893	0.00	153.04	N/A	N/A	14	10
2013-03-28	$347.52	$240.00	51.2%	14.7%	21.6%	20.3%	0.0%	-65.1%	91.0%	3.0K	-214.3K	-639	0.00	140.68	N/A	N/A	14	10