DAVE Options History — June 2014

In June 2014, DAVE traded between $914.88 and $1100.80. ATM implied volatility averaged 43.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 2.4% (HV 20d: 41.1%). Max pain ranged from $640.00 to $720.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.42.

Notable Days

2014-06-13: Highest Volume — 15 contracts
2014-06-03: Largest IV drop — 24.4% change
2014-06-02: Highest IV Rank — 29.2%
2014-06-02: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1005.15	$914.88	$1100.80	$1027.20	$918.40
Max Pain	$697.14	$640.00	$720.00	$640.00	$720.00
ATM IV	43.5%	35.3%	59.2%	59.2%	43.8%
Expected Move	12.5%	10.1%	17.0%	17.0%	12.6%
HV 20d	41.1%	30.9%	48.0%	36.1%	45.1%
HV 60d	47.0%	41.0%	50.3%	48.2%	41.7%
IV Rank	21.0%	16.8%	29.2%	29.2%	21.2%
IV Percentile	36.0%	18.3%	57.9%	57.9%	34.9%
Term Structure	3.5%	-7.5%	17.5%	-7.5%	1.6%
VWIV	45.1%	28.4%	58.1%	58.1%	46.2%
Skew 25d	16.1%	-2.9%	51.2%	11.5%	2.9%
Skew 10d	21.3%	-9.4%	78.9%	-9.4%	4.3%
Call IV 25d	38.2%	28.2%	50.7%	40.7%	43.7%
Put IV 25d	54.3%	32.4%	86.2%	52.2%	46.6%
Bid-Ask Spread %	100.74	83.00	116.63	110.97	90.63
Gamma HHI	0.47	0.44	0.71	0.45	0.47
Net GEX	103.3K	80.5K	132.5K	92.3K	80.5K
Net DEX	-3.7M	-5.2M	-2.1M	-4.1M	-2.1M
Net VEX	-9.0K	-10.4K	-6.4K	-9.8K	-8.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.42	0.00	33.33	0.05	1.59
Total Volume	1.476	0	15	0	2
Total OI	101.19	94	111	96	111

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
2014-06-02	$1027.20	$640.00	59.2%	17.0%	36.1%	29.2%	0.0%	11.5%	-7.5%	92.3K	-4.1M	-9.8K	0.00	110.97	N/A	N/A	0	0	66	30
2014-06-03	$1024.32	$640.00	44.8%	12.8%	36.1%	21.7%	0.0%	3.3%	-3.2%	104.4K	-4.0M	-9.6K	0.00	116.63	N/A	N/A	0	0	64	30
2014-06-04	$1047.36	$640.00	38.4%	11.0%	36.4%	18.4%	0.0%	-2.9%	1.0%	126.2K	-4.3M	-8.8K	0.00	114.26	N/A	N/A	0	0	64	31
2014-06-05	$1072.96	$640.00	41.1%	11.8%	36.7%	19.8%	58.1%	29.8%	1.3%	124.1K	-4.7M	-8.3K	0.05	104.05	N/A	N/A	3	0	64	31
2014-06-06	$1100.16	$640.00	35.3%	10.1%	36.8%	16.8%	28.4%	13.9%	15.5%	94.3K	-5.2M	-6.4K	1.00	108.25	N/A	N/A	0	0	63	31
2014-06-09	$1098.88	$640.00	41.5%	11.9%	30.9%	20.0%	0.0%	39.3%	10.4%	132.5K	-5.2M	-7.1K	0.00	113.56	N/A	N/A	0	2	63	31
2014-06-10	$1073.60	$720.00	38.7%	11.1%	32.6%	18.5%	0.0%	51.2%	14.9%	107.0K	-4.6M	-8.9K	0.00	113.68	N/A	N/A	0	0	63	32
2014-06-11	$1100.80	$720.00	41.9%	12.0%	33.0%	20.2%	0.0%	11.7%	6.6%	118.2K	-5.2M	-6.6K	0.77	97.68	N/A	N/A	0	0	63	32
2014-06-12	$1041.92	$720.00	37.0%	10.6%	39.4%	17.7%	0.0%	14.9%	17.5%	112.9K	-4.4M	-8.3K	0.00	105.01	N/A	N/A	1	0	63	32
2014-06-13	$991.68	$720.00	43.5%	12.5%	43.3%	21.0%	43.9%	28.5%	4.2%	97.4K	-3.5M	-9.0K	0.02	99.37	N/A	N/A	15	0	64	32
2014-06-16	$942.08	$720.00	43.6%	12.5%	47.2%	21.1%	43.6%	50.8%	4.0%	91.9K	-2.9M	-9.5K	0.00	98.83	N/A	N/A	0	1	70	33
2014-06-17	$958.08	$720.00	44.1%	12.6%	46.2%	21.4%	45.4%	4.1%	2.6%	96.6K	-3.1M	-9.7K	0.75	91.33	N/A	N/A	0	0	70	34
2014-06-18	$996.16	$720.00	45.5%	13.0%	48.0%	22.1%	46.5%	7.0%	-0.7%	107.1K	-3.7M	-10.2K	12.75	91.47	N/A	N/A	0	3	70	34
2014-06-19	$983.68	$720.00	46.2%	13.3%	45.8%	22.5%	46.8%	6.7%	0.6%	101.2K	-3.4M	-10.3K	1.40	96.97	N/A	N/A	0	0	70	36
2014-06-20	$981.12	$720.00	45.8%	13.1%	45.6%	22.3%	0.0%	19.2%	0.8%	102.2K	-3.4M	-10.4K	0.00	100.32	N/A	N/A	0	0	71	37
2014-06-23	$953.60	$720.00	47.0%	13.5%	46.6%	22.9%	0.0%	15.2%	-0.2%	94.6K	-2.9M	-9.7K	0.00	92.73	N/A	N/A	0	0	71	37
2014-06-24	$963.20	$720.00	46.1%	13.2%	44.5%	22.4%	0.0%	13.8%	1.8%	99.3K	-3.0M	-9.5K	0.00	96.69	N/A	N/A	0	0	71	37
2014-06-25	$960.96	$720.00	47.4%	13.6%	43.5%	23.1%	49.4%	1.9%	-0.8%	100.0K	-3.0M	-9.5K	1.36	83.00	N/A	N/A	0	1	71	37
2014-06-26	$957.12	$720.00	46.2%	13.2%	43.2%	22.4%	0.0%	13.5%	-0.2%	98.4K	-2.9M	-9.4K	0.00	97.77	N/A	N/A	0	0	71	37
2014-06-27	$914.88	$720.00	36.1%	10.4%	45.0%	17.2%	42.7%	0.9%	2.8%	87.6K	-2.4M	-8.8K	33.33	92.40	N/A	N/A	0	3	71	37
2014-06-30	$918.40	$720.00	43.8%	12.6%	45.1%	21.2%	46.2%	2.9%	1.6%	80.5K	-2.1M	-8.8K	1.59	90.63	N/A	N/A	1	1	71	40