DAVE Options History — January 2014

In January 2014, DAVE traded between $537.92 and $638.40. ATM implied volatility averaged 104.1%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 32.7%. IV traded above realized volatility by 72.4% (HV 20d: 31.8%). Max pain ranged from $320.00 to $720.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2014-01-10: Highest Volume — 6 contracts
2014-01-16: Largest IV spike — 585.5% change
2014-01-30: Highest IV Rank — 90.2%
2014-01-30: Largest Expected Move — 50.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$603.93	$537.92	$638.40	$608.32	$537.92
Max Pain	$590.48	$320.00	$720.00	$720.00	$560.00
ATM IV	104.1%	4.3%	176.3%	163.9%	146.8%
Expected Move	32.7%	18.7%	50.6%	47.0%	42.1%
HV 20d	31.8%	27.1%	40.6%	28.9%	36.6%
HV 60d	31.4%	29.5%	33.3%	30.5%	32.9%
IV Rank	52.5%	0.7%	90.2%	83.1%	74.9%
IV Percentile	70.7%	0.4%	98.0%	94.4%	90.9%
Term Structure	-37.8%	-114.7%	38.3%	-102.0%	-54.5%
VWIV	128.6%	64.0%	192.6%	64.0%	192.6%
Skew 25d	20.2%	-35.5%	106.1%	106.1%	28.3%
Skew 10d	4.5%	-95.2%	85.7%	85.7%	54.7%
Call IV 25d	123.8%	45.0%	173.6%	45.0%	133.6%
Put IV 25d	144.1%	36.9%	196.3%	151.1%	161.9%
Bid-Ask Spread %	134.86	127.70	144.76	144.76	134.41
Gamma HHI	0.37	0.24	0.56	0.56	0.28
Net GEX	-11.6K	-44.4K	6.7K	-30.3K	3.4K
Net DEX	-162.0K	-859.5K	569.0K	569.0K	-376.5K
Net VEX	-6.4K	-9.0K	-5.7K	-9.0K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.00	8.00	1.21	5.09
Total Volume	1.952	0	6	0	2
Total OI	112.476	72	150	134	82

Daily Data (21 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
2014-01-02	$608.32	$720.00	163.9%	47.0%	28.9%	83.1%	0.0%	106.1%	-102.0%	-30.3K	569.0K	-9.0K	0.00	144.76	N/A	N/A	0	0	35	99
2014-01-03	$603.84	$720.00	165.2%	47.4%	28.9%	83.8%	0.0%	39.2%	-62.9%	-22.8K	155.2K	-8.9K	0.00	144.47	N/A	N/A	0	0	35	99
2014-01-06	$622.40	$320.00	85.1%	26.8%	31.1%	42.4%	0.0%	28.1%	-42.5%	-18.9K	248.0K	-5.7K	0.00	139.31	N/A	N/A	0	0	35	98
2014-01-07	$619.84	$320.00	89.6%	26.7%	29.6%	44.8%	64.0%	33.5%	-36.3%	-10.0K	231.7K	-6.3K	0.00	138.04	N/A	N/A	0	2	35	98
2014-01-08	$608.96	$320.00	92.2%	28.0%	30.0%	46.1%	88.0%	35.7%	-39.3%	-5.5K	326.5K	-5.9K	1.21	133.67	N/A	N/A	2	2	35	100
2014-01-09	$621.44	$640.00	95.9%	27.0%	30.0%	48.0%	0.0%	22.4%	-28.1%	-9.9K	307.8K	-5.7K	0.23	133.14	N/A	N/A	1	0	35	102
2014-01-10	$633.92	$640.00	104.1%	27.5%	30.7%	52.2%	131.1%	33.1%	-42.9%	-44.4K	187.1K	-5.9K	4.13	133.81	N/A	N/A	1	5	35	102
2014-01-13	$633.60	$640.00	4.6%	22.8%	30.2%	0.9%	143.3%	20.3%	38.3%	-38.4K	-22.4K	-6.3K	8.00	128.54	N/A	N/A	0	3	35	107
2014-01-14	$638.40	$640.00	4.3%	18.7%	28.4%	0.7%	66.4%	-9.3%	29.9%	-37.8K	-95.3K	-6.0K	0.50	131.53	N/A	N/A	2	1	36	110
2014-01-15	$629.12	$640.00	11.7%	22.1%	28.6%	4.6%	148.6%	19.3%	12.7%	-33.6K	104.2K	-6.3K	3.00	130.63	N/A	N/A	0	1	38	111
2014-01-16	$622.40	$640.00	80.3%	23.0%	28.5%	39.9%	66.9%	18.1%	-6.5%	-5.3K	186.4K	-6.3K	0.00	134.08	N/A	N/A	1	0	38	111
2014-01-17	$630.40	$640.00	73.5%	21.1%	28.8%	36.4%	117.3%	11.8%	1.6%	-31.1K	168.8K	-6.3K	0.00	134.11	N/A	N/A	1	0	39	111
2014-01-21	$626.24	$640.00	72.4%	20.8%	28.9%	35.9%	78.4%	21.9%	-0.7%	6.7K	-803.9K	-6.2K	0.56	127.70	N/A	N/A	1	0	33	39
2014-01-22	$630.40	$640.00	115.0%	33.0%	27.6%	58.4%	139.7%	35.7%	-34.7%	5.3K	-806.9K	-6.5K	2.10	133.65	N/A	N/A	0	1	33	39
2014-01-23	$629.76	$640.00	114.2%	32.7%	27.1%	57.9%	141.3%	13.5%	-53.0%	6.6K	-859.5K	-6.3K	0.50	139.14	N/A	N/A	0	0	33	40
2014-01-24	$591.68	$640.00	132.9%	38.1%	35.2%	67.6%	167.9%	5.4%	-42.3%	6.3K	-731.1K	-6.3K	0.32	137.12	N/A	N/A	1	0	34	40
2014-01-27	$568.64	$640.00	142.4%	40.8%	37.6%	72.6%	159.7%	21.3%	-67.1%	4.8K	-591.3K	-6.3K	1.33	129.92	N/A	N/A	0	1	35	40
2014-01-28	$540.80	$640.00	163.3%	46.8%	40.6%	83.5%	168.1%	8.4%	-114.7%	3.7K	-566.0K	-6.1K	1.32	130.76	N/A	N/A	1	1	35	41
2014-01-29	$540.80	$560.00	153.3%	43.9%	39.6%	78.2%	135.8%	-35.5%	-91.9%	3.1K	-594.7K	-6.0K	0.27	138.28	N/A	N/A	5	1	36	42
2014-01-30	$543.68	$560.00	176.3%	50.6%	39.8%	90.2%	176.2%	-32.3%	-55.7%	3.9K	-440.0K	-6.6K	0.69	135.01	N/A	N/A	3	2	38	43
2014-01-31	$537.92	$560.00	146.8%	42.1%	36.6%	74.9%	192.6%	28.3%	-54.5%	3.4K	-376.5K	-6.2K	5.09	134.41	N/A	N/A	0	2	37	45