DAVE Options History — April 2013

In April 2013, DAVE traded between $336.96 and $359.36. ATM implied volatility averaged 116.1%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 37.6%. IV traded above realized volatility by 95.3% (HV 20d: 20.7%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-04-11: Largest IV spike — 469.4% change
2013-04-15: Highest IV Rank — 97.8%
2013-04-15: Largest Expected Move — 55.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$347.23	$336.96	$359.36	$352.00	$353.60
Max Pain	$240.00	$240.00	$240.00	$240.00	$240.00
ATM IV	116.1%	27.2%	195.1%	81.5%	166.7%
Expected Move	37.6%	12.2%	55.9%	23.4%	39.4%
HV 20d	20.7%	15.9%	26.9%	21.7%	26.9%
HV 60d	26.0%	24.9%	27.0%	26.3%	27.0%
IV Rank	55.2%	7.4%	97.8%	36.6%	82.5%
IV Percentile	65.4%	3.6%	97.2%	62.7%	82.9%
Term Structure	-32.0%	-96.4%	128.3%	-40.2%	-17.8%
Skew 25d	-19.8%	-153.6%	105.5%	30.0%	43.8%
Skew 10d	13.3%	-90.3%	91.4%	66.8%	22.6%
Call IV 25d	116.8%	34.2%	197.3%	131.1%	77.1%
Put IV 25d	97.1%	21.1%	181.8%	161.0%	120.9%
Bid-Ask Spread %	152.88	138.37	158.09	151.56	155.90
Gamma HHI	0.31	0.24	0.57	0.28	0.25
Net GEX	729	-487	2.9K	1.3K	-116
Net DEX	-149.5K	-223.1K	-12.2K	-215.9K	-17.3K
Net VEX	-550	-678	-220	-654	-497
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0	0	0	0	0
Total OI	19.227	9	24	24	9

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call OI	Put OI
2013-04-01	$352.00	$240.00	81.5%	23.4%	21.7%	36.6%	0.0%	30.0%	-40.2%	1.3K	-215.9K	-654	151.56	N/A	N/A	14	10
2013-04-02	$349.12	$240.00	52.9%	15.2%	21.2%	21.2%	0.0%	-95.2%	108.5%	1.5K	-214.7K	-678	142.71	N/A	N/A	14	10
2013-04-03	$347.20	$240.00	72.6%	20.8%	21.1%	31.8%	0.0%	4.4%	58.5%	1.7K	-179.3K	-567	138.37	N/A	N/A	14	10
2013-04-04	$343.04	$240.00	42.5%	12.2%	21.7%	15.6%	0.0%	105.5%	128.3%	2.9K	-210.0K	-220	140.75	N/A	N/A	14	10
2013-04-05	$351.04	$0.00	27.2%	55.5%	22.3%	7.4%	0.0%	20.6%	-65.8%	1.2K	-206.3K	-629	156.41	N/A	N/A	14	10
2013-04-08	$347.52	$0.00	143.5%	50.1%	22.7%	70.0%	0.0%	21.1%	-49.5%	1.1K	-207.2K	-602	157.08	N/A	N/A	14	10
2013-04-09	$342.40	$0.00	110.4%	20.1%	23.0%	52.2%	0.0%	-41.5%	-30.3%	2.5K	-191.9K	-504	144.68	N/A	N/A	14	10
2013-04-10	$347.84	$0.00	31.4%	44.4%	22.0%	9.6%	0.0%	-117.9%	-69.2%	1.3K	-217.4K	-616	157.10	N/A	N/A	14	10
2013-04-11	$350.08	$0.00	179.0%	51.3%	22.0%	89.1%	0.0%	-116.8%	-70.1%	1.1K	-223.1K	-605	151.83	N/A	N/A	14	10
2013-04-12	$348.16	$0.00	183.4%	52.6%	21.9%	91.5%	0.0%	-118.9%	-72.8%	779	-211.7K	-592	157.14	N/A	N/A	14	10
2013-04-15	$344.96	$0.00	195.1%	55.9%	18.9%	97.8%	0.0%	19.1%	-65.5%	414	-202.5K	-558	156.52	N/A	N/A	14	10
2013-04-16	$345.92	$0.00	168.4%	48.3%	16.9%	83.4%	0.0%	-59.4%	-96.4%	271	-206.5K	-587	155.21	N/A	N/A	14	10
2013-04-17	$342.40	$0.00	107.1%	0.0%	16.3%	50.4%	0.0%	-9.2%	-78.7%	212	-208.5K	-580	157.26	N/A	N/A	14	10
2013-04-18	$342.40	$0.00	66.7%	0.0%	15.9%	28.6%	0.0%	21.0%	-63.1%	4	-195.6K	-554	157.41	N/A	N/A	14	10
2013-04-19	$347.52	$0.00	157.2%	0.0%	16.5%	77.4%	0.0%	-5.3%	-79.4%	36	-213.9K	-576	158.09	N/A	N/A	14	10
2013-04-22	$342.72	$0.00	163.8%	0.0%	17.1%	80.9%	0.0%	19.3%	0.0%	-63	-18.9K	-542	157.24	N/A	N/A	4	5
2013-04-23	$344.00	$0.00	162.4%	0.0%	17.2%	80.2%	0.0%	-22.8%	0.0%	16	-32.0K	-564	157.52	N/A	N/A	4	5
2013-04-24	$336.96	$0.00	137.3%	39.4%	18.6%	66.7%	0.0%	26.7%	-40.0%	136	-40.1K	-481	148.67	N/A	N/A	4	5
2013-04-25	$341.44	$0.00	56.1%	0.0%	19.3%	22.9%	0.0%	9.6%	-17.8%	-487	-12.2K	-405	152.74	N/A	N/A	4	5
2013-04-26	$359.36	$0.00	159.2%	0.0%	26.7%	78.5%	0.0%	-15.5%	0.0%	27	-26.6K	-535	153.66	N/A	N/A	4	5
2013-04-29	$359.36	$0.00	89.0%	0.0%	26.4%	40.6%	0.0%	-153.6%	0.0%	213	-36.7K	-553	155.51	N/A	N/A	4	5
2013-04-30	$353.60	$0.00	166.7%	0.0%	26.9%	82.5%	0.0%	43.8%	0.0%	-116	-17.3K	-497	155.90	N/A	N/A	4	5