DAVE Options History — June 2013

In June 2013, DAVE traded between $377.92 and $498.88. ATM implied volatility averaged 36.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.8% (HV 20d: 29.7%). Max pain ranged from $320.00 to $400.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.24.

Notable Days

2013-06-21: Highest Volume — 10 contracts
2013-06-19: Largest IV spike — 105.4% change
2013-06-19: Highest IV Rank — 25.6%
2013-06-19: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$427.17	$377.92	$498.88	$399.04	$498.88
Max Pain	$345.00	$320.00	$400.00	$320.00	$400.00
ATM IV	36.5%	26.0%	61.1%	40.4%	31.5%
Expected Move	9.9%	7.5%	17.5%	11.6%	9.0%
HV 20d	29.7%	18.8%	38.1%	18.8%	37.2%
HV 60d	25.8%	22.9%	29.2%	22.9%	28.9%
IV Rank	12.4%	6.7%	25.6%	14.4%	9.7%
IV Percentile	30.2%	2.4%	69.4%	42.9%	15.5%
Term Structure	-5.8%	-62.7%	9.3%	-2.9%	-8.2%
VWIV	35.2%	26.3%	44.1%	26.3%	44.1%
Skew 25d	9.1%	-5.6%	42.6%	12.5%	-5.6%
Skew 10d	13.7%	-1.9%	67.4%	9.6%	9.1%
Call IV 25d	27.9%	18.2%	56.6%	38.1%	31.4%
Put IV 25d	37.0%	21.6%	62.7%	50.6%	25.9%
Bid-Ask Spread %	148.78	127.66	164.19	144.33	140.14
Gamma HHI	0.59	0.41	0.81	0.81	0.47
Net GEX	4.1K	1.3K	9.3K	3.0K	9.1K
Net DEX	-137.3K	-327.3K	-65.1K	-87.0K	-327.3K
Net VEX	-282	-791	-120	-124	-791
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	0.97	0.00	0.00
Total Volume	0.6	0	10	0	0
Total OI	11.15	9	18	9	18

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
2013-06-03	$399.04	$0.00	40.4%	11.6%	18.8%	14.4%	0.0%	12.5%	-2.9%	3.0K	-87.0K	-124	0.00	144.33	N/A	N/A	0	0	4	5
2013-06-04	$384.96	$0.00	36.9%	10.6%	23.4%	12.6%	0.0%	13.6%	-1.5%	1.8K	-73.4K	-167	0.00	151.05	N/A	N/A	0	0	4	5
2013-06-05	$377.92	$0.00	38.1%	10.9%	24.4%	13.2%	0.0%	11.3%	1.5%	1.3K	-65.1K	-189	0.00	154.16	N/A	N/A	0	0	4	5
2013-06-06	$388.80	$0.00	41.9%	12.0%	25.8%	15.3%	0.0%	4.2%	-0.7%	1.9K	-77.4K	-162	0.00	146.06	N/A	N/A	0	0	4	5
2013-06-07	$395.52	$320.00	35.9%	8.9%	26.2%	12.1%	0.0%	10.7%	-6.2%	2.5K	-87.1K	-154	0.00	158.46	N/A	N/A	0	0	4	5
2013-06-10	$401.60	$320.00	37.2%	8.2%	26.0%	12.7%	0.0%	42.6%	-4.7%	2.8K	-90.6K	-137	0.00	164.19	N/A	N/A	0	0	4	5
2013-06-11	$403.20	$320.00	35.9%	8.2%	25.9%	12.0%	0.0%	41.8%	-5.3%	3.2K	-88.7K	-121	0.00	154.06	N/A	N/A	0	0	4	5
2013-06-12	$400.32	$320.00	46.9%	8.7%	25.9%	18.0%	0.0%	-1.2%	-7.7%	2.4K	-86.0K	-161	0.00	150.81	N/A	N/A	0	0	4	5
2013-06-13	$402.88	$320.00	29.0%	8.3%	25.9%	8.3%	0.0%	7.0%	-2.6%	2.8K	-88.9K	-131	0.00	159.10	N/A	N/A	0	0	4	5
2013-06-14	$399.68	$320.00	28.8%	8.2%	25.8%	8.2%	0.0%	3.0%	-0.7%	2.7K	-85.9K	-127	0.00	134.67	N/A	N/A	0	0	4	5
2013-06-17	$399.68	$320.00	31.7%	9.1%	25.8%	9.8%	0.0%	8.6%	-3.1%	2.6K	-86.0K	-131	0.00	155.78	N/A	N/A	0	0	4	5
2013-06-18	$410.88	$320.00	29.7%	8.5%	27.1%	8.7%	0.0%	9.3%	-4.3%	3.0K	-97.4K	-120	0.00	157.02	N/A	N/A	0	0	4	5
2013-06-19	$436.16	$320.00	61.1%	17.5%	33.6%	25.6%	0.0%	2.3%	-62.7%	2.7K	-122.9K	-164	0.00	150.64	N/A	N/A	0	0	4	5
2013-06-20	$450.88	$320.00	37.1%	10.6%	34.3%	12.7%	0.0%	-0.1%	9.3%	3.5K	-143.6K	-154	0.00	148.68	N/A	N/A	0	0	4	5
2013-06-21	$474.24	$320.00	26.0%	7.5%	37.2%	6.7%	26.3%	-1.5%	-1.7%	3.9K	-170.1K	-125	0.97	148.06	N/A	N/A	5	5	4	5
2013-06-24	$467.84	$400.00	42.7%	12.2%	38.1%	15.7%	44.1%	4.4%	-18.1%	5.4K	-197.3K	-614	0.00	138.95	N/A	N/A	2	0	10	6
2013-06-25	$478.08	$400.00	32.8%	9.4%	38.0%	10.4%	0.0%	3.5%	-1.0%	8.9K	-235.8K	-658	0.00	148.30	N/A	N/A	0	0	12	6
2013-06-26	$483.84	$400.00	30.8%	8.8%	38.0%	9.3%	0.0%	8.6%	1.7%	9.3K	-256.7K	-676	0.00	143.56	N/A	N/A	0	0	12	6
2013-06-27	$488.96	$400.00	35.6%	10.2%	37.2%	12.0%	0.0%	7.0%	2.8%	9.1K	-279.2K	-735	0.00	127.66	N/A	N/A	0	0	12	6
2013-06-28	$498.88	$400.00	31.5%	9.0%	37.2%	9.7%	0.0%	-5.6%	-8.2%	9.1K	-327.3K	-791	0.00	140.14	N/A	N/A	0	0	12	6