DAVE Options History — September 2013

In September 2013, DAVE traded between $507.20 and $533.76. ATM implied volatility averaged 38.9%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 22.0% (HV 20d: 16.9%). Max pain ranged from $400.00 to $560.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2013-09-04: Highest Volume — 3 contracts
2013-09-12: Largest IV drop — 41.8% change
2013-09-11: Highest IV Rank — 22.5%
2013-09-04: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$518.90	$507.20	$533.76	$514.88	$514.88
Max Pain	$424.00	$400.00	$560.00	$560.00	$400.00
ATM IV	38.9%	27.8%	55.1%	42.3%	40.0%
Expected Move	10.2%	8.0%	13.3%	12.1%	11.5%
HV 20d	16.9%	15.0%	22.3%	22.3%	15.8%
HV 60d	28.8%	26.2%	31.8%	31.5%	26.6%
IV Rank	13.7%	7.7%	22.5%	15.6%	14.4%
IV Percentile	39.1%	4.4%	68.3%	57.5%	49.6%
Term Structure	-7.4%	-25.2%	14.4%	-16.2%	-17.1%
Skew 25d	7.1%	-13.2%	17.0%	5.8%	13.4%
Skew 10d	15.7%	4.9%	82.2%	6.6%	9.0%
Call IV 25d	28.2%	19.7%	46.5%	26.1%	22.8%
Put IV 25d	35.3%	26.9%	46.6%	31.9%	36.2%
Bid-Ask Spread %	143.36	136.22	147.82	147.82	146.06
Gamma HHI	0.51	0.46	0.58	0.49	0.53
Net GEX	9.0K	5.2K	13.7K	6.5K	12.5K
Net DEX	557.5K	469.4K	613.0K	562.1K	493.5K
Net VEX	-2.2K	-2.8K	-1.9K	-2.7K	-2.1K
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	0.35	0	3	0	0
Total OI	42.9	42	45	43	45

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2013-09-03	$514.88	$560.00	42.3%	12.1%	22.3%	15.6%	0.0%	5.8%	-16.2%	6.5K	562.1K	-2.7K	147.82	N/A	N/A	0	18	25
2013-09-04	$513.28	$560.00	46.5%	13.3%	21.4%	17.9%	0.0%	-1.1%	-25.2%	6.6K	537.3K	-2.8K	145.65	N/A	N/A	3	18	25
2013-09-05	$507.20	$560.00	41.4%	11.9%	18.0%	15.1%	0.0%	-3.8%	-18.1%	5.2K	595.0K	-2.6K	140.37	N/A	N/A	0	17	25
2013-09-06	$515.52	$400.00	45.0%	9.6%	18.5%	17.1%	0.0%	9.4%	-2.4%	6.4K	592.5K	-2.5K	141.50	N/A	N/A	0	17	25
2013-09-09	$512.00	$400.00	53.4%	10.1%	18.1%	21.6%	0.0%	-3.8%	-12.4%	6.0K	603.5K	-2.3K	145.11	N/A	N/A	0	17	25
2013-09-10	$518.08	$400.00	52.7%	10.0%	18.5%	21.2%	0.0%	10.4%	-10.6%	7.2K	598.8K	-2.3K	145.22	N/A	N/A	0	17	25
2013-09-11	$518.72	$400.00	55.1%	10.3%	18.1%	22.5%	0.0%	13.4%	-11.1%	7.0K	573.1K	-2.5K	142.45	N/A	N/A	0	17	25
2013-09-12	$511.68	$400.00	32.0%	9.2%	16.3%	10.0%	0.0%	-13.2%	-4.8%	6.0K	613.0K	-2.2K	136.22	N/A	N/A	1	17	25
2013-09-13	$513.28	$400.00	37.4%	10.7%	15.0%	13.0%	0.0%	-11.6%	-12.0%	7.4K	602.8K	-2.0K	139.36	N/A	N/A	0	18	25
2013-09-16	$519.36	$400.00	36.3%	10.4%	15.6%	12.4%	0.0%	13.5%	-13.9%	8.8K	574.5K	-2.1K	146.32	N/A	N/A	0	18	25
2013-09-17	$516.80	$400.00	38.7%	11.1%	15.2%	13.7%	0.0%	13.6%	-8.0%	8.2K	574.2K	-2.1K	138.86	N/A	N/A	0	18	25
2013-09-18	$519.04	$400.00	38.2%	11.0%	15.3%	13.4%	0.0%	14.5%	-19.3%	9.4K	566.5K	-2.1K	145.55	N/A	N/A	0	19	25
2013-09-19	$516.48	$400.00	34.1%	9.8%	15.0%	11.1%	0.0%	12.8%	-14.0%	9.4K	581.1K	-2.1K	141.28	N/A	N/A	0	19	25
2013-09-20	$520.64	$400.00	31.9%	9.1%	15.2%	9.9%	0.0%	11.8%	10.4%	11.0K	592.8K	-1.9K	140.98	N/A	N/A	0	19	25
2013-09-23	$530.56	$400.00	29.0%	8.3%	16.1%	8.4%	0.0%	11.9%	4.5%	13.7K	543.3K	-2.0K	142.45	N/A	N/A	1	18	24
2013-09-24	$533.76	$400.00	27.8%	8.0%	16.2%	7.7%	0.0%	9.9%	14.4%	13.6K	475.4K	-2.3K	142.69	N/A	N/A	0	19	24
2013-09-25	$530.24	$400.00	34.0%	9.7%	15.9%	11.1%	0.0%	2.9%	4.9%	11.3K	469.4K	-2.2K	146.74	N/A	N/A	0	19	24
2013-09-26	$527.36	$400.00	29.8%	8.5%	15.8%	8.8%	0.0%	15.6%	3.2%	11.6K	485.8K	-2.2K	145.59	N/A	N/A	0	19	24
2013-09-27	$524.16	$400.00	32.3%	9.3%	16.1%	10.2%	0.0%	17.0%	-1.1%	11.5K	514.3K	-2.1K	146.97	N/A	N/A	2	19	24
2013-09-30	$514.88	$400.00	40.0%	11.5%	15.8%	14.4%	0.0%	13.4%	-17.1%	12.5K	493.5K	-2.1K	146.06	N/A	N/A	0	21	24