DAVE Options History — November 2013

In November 2013, DAVE traded between $589.12 and $666.24. ATM implied volatility averaged 90.7%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded above realized volatility by 58.0% (HV 20d: 32.6%). Max pain ranged from $560.00 to $560.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2013-11-01: Highest Volume — 4 contracts
2013-11-08: Largest IV spike — 3130.6% change
2013-11-05: Highest IV Rank — 86.0%
2013-11-29: Largest Expected Move — 37.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$639.49	$589.12	$666.24	$589.12	$642.24
Max Pain	$560.00	$560.00	$560.00	$560.00	$560.00
ATM IV	90.7%	2.9%	171.0%	32.9%	129.5%
Expected Move	26.7%	9.3%	37.1%	9.4%	37.1%
HV 20d	32.6%	29.5%	36.4%	31.0%	33.0%
HV 60d	25.3%	23.3%	27.9%	23.4%	27.9%
IV Rank	44.6%	0.0%	86.0%	10.6%	65.3%
IV Percentile	74.0%	0.0%	96.4%	23.0%	92.9%
Term Structure	-18.7%	-57.9%	41.7%	-0.9%	-31.6%
Skew 25d	5.7%	-1.7%	13.4%	1.6%	-1.7%
Skew 10d	22.8%	8.2%	41.1%	10.1%	32.1%
Call IV 25d	124.9%	22.4%	175.4%	28.2%	175.4%
Put IV 25d	130.6%	29.8%	173.7%	29.8%	173.7%
Bid-Ask Spread %	141.58	123.74	146.03	135.39	144.50
Gamma HHI	0.47	0.27	0.58	0.52	0.53
Net GEX	-27.9K	-39.8K	-11.9K	-34.1K	-26.5K
Net DEX	159.4K	-456.6K	550.6K	542.2K	38.0K
Net VEX	-9.6K	-10.9K	-7.2K	-9.1K	-7.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	5.00	0.00	5.00
Total Volume	0.95	0	4	4	2
Total OI	113.2	110	116	110	114

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
2013-11-01	$589.12	$560.00	32.9%	9.4%	31.0%	10.6%	0.0%	1.6%	-0.9%	-34.1K	542.2K	-9.1K	0.00	135.39	N/A	N/A	4	0	26	84
2013-11-04	$597.44	$0.00	41.7%	11.4%	29.5%	15.4%	0.0%	13.4%	0.0%	-31.3K	414.1K	-8.8K	0.00	123.74	N/A	N/A	0	1	29	84
2013-11-05	$613.76	$0.00	171.0%	26.2%	30.2%	86.0%	0.0%	7.7%	-51.7%	-34.3K	245.3K	-9.4K	0.08	143.33	N/A	N/A	2	0	29	84
2013-11-06	$619.52	$0.00	50.3%	26.7%	30.2%	20.0%	0.0%	5.5%	-15.1%	-23.3K	105.2K	-10.4K	0.00	144.89	N/A	N/A	0	1	29	85
2013-11-07	$641.60	$0.00	2.9%	26.5%	30.8%	0.0%	0.0%	6.6%	-33.9%	-39.8K	105.2K	-9.9K	0.00	143.12	N/A	N/A	0	0	29	85
2013-11-08	$645.76	$0.00	93.0%	26.7%	30.9%	46.5%	0.0%	6.6%	-53.6%	-25.0K	-185.5K	-10.0K	2.00	139.97	N/A	N/A	0	0	29	85
2013-11-11	$655.36	$0.00	95.7%	27.4%	30.9%	47.9%	0.0%	4.7%	-57.9%	-27.8K	-87.9K	-10.2K	0.00	138.74	N/A	N/A	0	0	29	86
2013-11-12	$652.80	$0.00	98.1%	28.1%	31.1%	49.1%	0.0%	5.3%	-24.8%	-20.3K	-30.2K	-10.9K	0.00	143.50	N/A	N/A	0	1	29	86
2013-11-13	$640.00	$0.00	99.7%	28.6%	32.7%	50.0%	0.0%	6.5%	-32.3%	-11.9K	-184.9K	-9.7K	0.00	142.69	N/A	N/A	0	0	29	86
2013-11-14	$636.48	$0.00	101.0%	29.0%	32.8%	50.6%	0.0%	6.5%	-22.7%	-21.2K	93.8K	-10.1K	0.00	144.44	N/A	N/A	0	0	29	86
2013-11-15	$666.24	$0.00	32.5%	9.3%	35.4%	15.3%	0.0%	10.6%	-1.4%	-20.5K	-456.6K	-7.2K	0.45	133.86	N/A	N/A	1	0	29	87
2013-11-18	$656.00	$0.00	104.4%	29.9%	36.4%	52.4%	0.0%	5.4%	25.7%	-33.9K	550.6K	-9.7K	0.00	143.41	N/A	N/A	0	0	26	86
2013-11-19	$656.00	$0.00	106.0%	30.4%	35.9%	53.2%	0.0%	6.4%	-22.9%	-27.3K	99.9K	-10.1K	0.00	144.51	N/A	N/A	0	0	26	86
2013-11-20	$636.80	$0.00	109.6%	31.4%	34.7%	55.0%	0.0%	7.8%	-30.5%	-35.9K	266.7K	-9.5K	0.00	146.03	N/A	N/A	0	1	26	86
2013-11-21	$652.16	$0.00	109.9%	31.5%	35.1%	55.2%	0.0%	6.1%	-29.6%	-23.5K	226.3K	-10.3K	0.00	144.15	N/A	N/A	1	0	26	86
2013-11-22	$656.64	$0.00	111.3%	31.9%	34.9%	56.0%	0.0%	5.5%	-30.2%	-32.3K	141.4K	-9.6K	0.00	144.87	N/A	N/A	0	0	26	86
2013-11-25	$655.04	$0.00	117.8%	33.8%	34.8%	59.3%	0.0%	4.3%	-13.9%	-35.6K	365.4K	-9.4K	0.10	144.65	N/A	N/A	0	0	25	86
2013-11-26	$648.64	$0.00	120.8%	34.6%	29.8%	60.8%	0.0%	1.4%	11.1%	-24.8K	478.6K	-9.9K	0.00	143.47	N/A	N/A	0	1	26	86
2013-11-27	$628.16	$0.00	85.3%	24.5%	32.7%	42.5%	0.0%	4.4%	41.7%	-29.0K	460.3K	-10.2K	4.00	142.27	N/A	N/A	1	3	26	87
2013-11-29	$642.24	$0.00	129.5%	37.1%	33.0%	65.3%	0.0%	-1.7%	-31.6%	-26.5K	38.0K	-7.6K	5.00	144.50	N/A	N/A	0	2	26	88