DAVE Options History — February 2014

In February 2014, DAVE traded between $498.24 and $850.88. ATM implied volatility averaged 104.1%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded above realized volatility by 37.9% (HV 20d: 66.2%). Max pain ranged from $400.00 to $720.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2014-02-10: Highest Volume — 9 contracts
2014-02-10: Largest IV spike — 100.3% change
2014-02-12: Highest IV Rank — 100.0%
2014-02-07: Largest Expected Move — 30.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$712.27	$498.24	$850.88	$510.72	$784.00
Max Pain	$581.05	$400.00	$720.00	$560.00	$720.00
ATM IV	104.1%	69.8%	195.9%	90.9%	83.7%
Expected Move	26.1%	20.0%	30.9%	26.1%	24.0%
HV 20d	66.2%	37.7%	79.6%	40.1%	73.4%
HV 60d	46.4%	33.2%	52.2%	33.9%	52.2%
IV Rank	52.5%	34.7%	100.0%	45.8%	41.9%
IV Percentile	75.0%	63.5%	100.0%	72.2%	64.3%
Term Structure	-17.2%	-66.2%	42.0%	-45.0%	42.0%
VWIV	116.1%	80.5%	199.3%	182.1%	87.5%
Skew 25d	3.2%	-85.2%	99.0%	-38.9%	-26.5%
Skew 10d	31.3%	-119.2%	105.5%	88.9%	23.6%
Call IV 25d	125.8%	49.8%	166.7%	155.6%	133.7%
Put IV 25d	129.0%	34.6%	175.6%	116.7%	107.1%
Bid-Ask Spread %	126.54	106.38	136.25	132.25	124.65
Gamma HHI	0.23	0.17	0.30	0.25	0.19
Net GEX	12.1K	1.5K	22.3K	1.5K	18.3K
Net DEX	-1.4M	-2.3M	-261.0K	-346.4K	-1.8M
Net VEX	-5.3K	-6.6K	-3.5K	-6.3K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	9.00	0.10	0.18
Total Volume	2.737	0	9	1	6
Total OI	83.684	74	95	84	77

Daily Data (19 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
2014-02-03	$510.72	$560.00	90.9%	26.1%	40.1%	45.8%	182.1%	-38.9%	-45.0%	1.5K	-346.4K	-6.3K	0.10	132.25	N/A	N/A	1	0	37	47
2014-02-04	$498.24	$560.00	84.3%	24.2%	37.7%	42.4%	0.0%	-85.2%	-43.1%	1.8K	-348.2K	-6.1K	0.00	128.77	N/A	N/A	0	0	38	47
2014-02-05	$500.80	$560.00	91.1%	26.1%	38.1%	45.9%	0.0%	4.4%	-66.2%	1.8K	-261.0K	-6.2K	0.00	129.83	N/A	N/A	3	0	39	47
2014-02-06	$515.52	$560.00	96.2%	27.6%	40.5%	48.5%	199.3%	-12.8%	-65.7%	2.2K	-352.4K	-6.4K	9.00	133.49	N/A	N/A	0	3	40	47
2014-02-07	$552.96	$400.00	88.6%	30.9%	48.3%	44.6%	0.0%	30.3%	-38.2%	6.0K	-497.0K	-6.2K	1.30	129.92	N/A	N/A	1	1	40	49
2014-02-10	$638.40	$400.00	177.4%	28.0%	71.5%	90.8%	0.0%	94.2%	-24.0%	9.2K	-997.0K	-6.6K	0.04	133.38	N/A	N/A	9	0	40	50
2014-02-11	$678.40	$400.00	184.0%	28.9%	74.6%	94.2%	0.0%	99.0%	-39.2%	12.1K	-1.3M	-4.2K	0.07	128.24	N/A	N/A	6	0	36	50
2014-02-12	$718.40	$400.00	195.9%	26.7%	77.0%	100.0%	0.0%	34.4%	-24.6%	11.5K	-1.4M	-5.2K	0.34	132.81	N/A	N/A	1	0	34	50
2014-02-13	$755.84	$400.00	90.3%	25.9%	78.2%	45.3%	0.0%	22.5%	-14.8%	10.3K	-1.6M	-4.7K	0.00	136.25	N/A	N/A	0	0	33	50
2014-02-14	$793.28	$400.00	87.1%	25.0%	79.0%	43.6%	127.6%	4.8%	-31.6%	18.3K	-1.9M	-3.5K	0.87	131.97	N/A	N/A	1	1	33	50
2014-02-18	$788.16	$640.00	70.3%	20.2%	79.3%	34.9%	91.6%	10.8%	-1.6%	12.9K	-1.7M	-4.0K	2.06	131.12	N/A	N/A	1	2	33	51
2014-02-19	$793.92	$720.00	69.8%	20.0%	79.0%	34.7%	0.0%	-40.9%	26.1%	12.7K	-1.7M	-4.7K	0.17	134.83	N/A	N/A	2	0	34	52
2014-02-20	$826.56	$720.00	89.9%	25.8%	79.6%	45.1%	80.5%	7.7%	-3.4%	9.5K	-2.0M	-4.8K	0.08	110.61	N/A	N/A	8	1	36	52
2014-02-21	$827.52	$720.00	97.2%	27.9%	79.6%	48.9%	91.5%	-29.8%	-2.1%	15.9K	-2.2M	-5.7K	0.63	122.12	N/A	N/A	2	1	42	53
2014-02-24	$831.04	$720.00	95.5%	27.4%	74.5%	48.0%	81.0%	21.7%	-33.5%	21.4K	-2.1M	-5.1K	0.32	106.38	N/A	N/A	1	0	39	35
2014-02-25	$850.88	$720.00	98.9%	28.3%	71.4%	49.7%	0.0%	-17.7%	-4.7%	21.7K	-2.3M	-5.2K	2.00	118.52	N/A	N/A	0	1	40	36
2014-02-26	$840.96	$720.00	99.5%	28.5%	67.6%	50.0%	104.1%	-8.8%	1.9%	20.8K	-2.3M	-5.1K	0.27	118.32	N/A	N/A	0	0	40	36
2014-02-27	$827.52	$720.00	86.6%	24.8%	68.5%	43.4%	0.0%	-8.2%	41.4%	22.3K	-2.3M	-4.8K	0.00	120.76	N/A	N/A	0	0	41	36
2014-02-28	$784.00	$720.00	83.7%	24.0%	73.4%	41.9%	87.5%	-26.5%	42.0%	18.3K	-1.8M	-5.0K	0.18	124.65	N/A	N/A	5	1	41	36