DAVE Options History — July 2014

In July 2014, DAVE traded between $797.76 and $936.64. ATM implied volatility averaged 48.1%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 13.0% (HV 20d: 35.2%). Max pain ranged from $720.00 to $960.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2014-07-14: Highest Volume — 7 contracts
2014-07-17: Largest IV spike — 306.1% change
2014-07-17: Highest IV Rank — 76.7%
2014-07-30: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$852.54	$797.76	$936.64	$936.64	$797.76
Max Pain	$778.18	$720.00	$960.00	$720.00	$800.00
ATM IV	48.1%	34.3%	151.0%	46.1%	44.9%
Expected Move	12.8%	9.8%	14.6%	13.2%	12.9%
HV 20d	35.2%	28.5%	45.9%	45.9%	31.6%
HV 60d	40.2%	38.2%	42.0%	41.8%	39.4%
IV Rank	23.4%	16.3%	76.7%	22.4%	21.7%
IV Percentile	35.7%	13.5%	93.7%	40.1%	34.1%
Term Structure	2.6%	-3.4%	11.6%	-0.4%	11.6%
VWIV	47.7%	41.8%	57.2%	56.5%	45.4%
Skew 25d	-1.1%	-22.1%	10.2%	10.2%	1.1%
Skew 10d	8.4%	-26.1%	37.5%	16.4%	31.7%
Call IV 25d	45.1%	39.1%	53.8%	42.5%	47.4%
Put IV 25d	44.0%	30.0%	52.7%	52.7%	48.5%
Bid-Ask Spread %	87.26	71.13	128.95	87.27	85.75
Gamma HHI	0.35	0.25	0.53	0.47	0.28
Net GEX	38.1K	12.9K	98.5K	90.7K	12.9K
Net DEX	-1.1M	-2.4M	-137.0K	-2.4M	-137.0K
Net VEX	-7.1K	-9.0K	-5.7K	-9.0K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.06	0.00	0.00
Total Volume	0.955	0	7	0	0
Total OI	94.864	60	127	112	63

Daily Data (22 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
2014-07-01	$936.64	$720.00	46.1%	13.2%	45.9%	22.4%	56.5%	10.2%	-0.4%	90.7K	-2.4M	-9.0K	0.00	87.27	N/A	N/A	0	0	71	41
2014-07-02	$928.64	$720.00	40.4%	11.6%	44.8%	19.4%	0.0%	1.8%	5.7%	91.3K	-2.2M	-8.6K	0.00	87.96	N/A	N/A	0	0	71	41
2014-07-03	$936.64	$720.00	41.3%	11.8%	43.8%	19.9%	0.0%	-12.1%	3.4%	98.5K	-2.4M	-8.5K	0.00	88.84	N/A	N/A	0	0	71	41
2014-07-07	$915.52	$720.00	44.8%	12.8%	42.4%	21.7%	45.0%	-13.3%	1.0%	84.6K	-2.0M	-7.8K	0.00	95.48	N/A	N/A	0	0	71	41
2014-07-08	$888.96	$720.00	38.3%	11.0%	42.9%	18.4%	44.6%	-9.3%	1.4%	62.8K	-1.5M	-7.1K	0.00	97.15	N/A	N/A	3	0	71	41
2014-07-09	$879.68	$720.00	40.1%	11.5%	42.7%	19.3%	0.0%	-16.3%	1.4%	55.7K	-1.5M	-7.5K	0.06	95.19	N/A	N/A	2	0	74	41
2014-07-10	$881.28	$720.00	41.6%	11.9%	40.9%	20.1%	0.0%	-13.5%	-3.4%	62.5K	-1.6M	-7.7K	0.00	94.57	N/A	N/A	1	0	76	41
2014-07-11	$870.08	$720.00	34.3%	9.8%	37.5%	16.3%	57.2%	-22.1%	11.6%	52.3K	-1.4M	-7.6K	0.00	94.53	N/A	N/A	1	0	77	41
2014-07-14	$858.24	$960.00	38.4%	13.8%	34.4%	18.4%	46.6%	6.4%	0.0%	17.2K	-1.3M	-6.7K	0.00	77.41	N/A	N/A	7	0	78	41
2014-07-15	$864.96	$800.00	40.2%	13.6%	30.5%	19.4%	47.5%	4.8%	0.0%	27.3K	-1.6M	-7.6K	0.00	77.93	N/A	N/A	0	1	85	41
2014-07-16	$844.16	$800.00	37.2%	13.7%	30.3%	17.8%	48.6%	4.6%	0.0%	19.4K	-1.4M	-7.3K	0.00	73.27	N/A	N/A	0	1	85	41
2014-07-17	$805.76	$800.00	151.0%	13.2%	28.5%	76.7%	41.8%	-0.4%	0.0%	25.6K	-981.2K	-7.2K	0.00	109.95	N/A	N/A	1	0	85	42
2014-07-18	$828.48	$800.00	45.9%	13.1%	31.5%	22.3%	0.0%	6.0%	0.0%	12.9K	-1.3M	-7.1K	0.00	78.52	N/A	N/A	1	0	85	41
2014-07-21	$808.96	$800.00	46.5%	13.3%	31.9%	22.6%	0.0%	2.6%	0.0%	13.3K	-236.9K	-6.6K	0.00	72.25	N/A	N/A	0	0	39	21
2014-07-22	$810.88	$800.00	46.8%	13.4%	31.4%	22.8%	0.0%	3.1%	0.0%	14.4K	-266.6K	-6.6K	0.00	71.13	N/A	N/A	0	0	39	21
2014-07-23	$812.16	$800.00	45.4%	13.0%	30.8%	22.0%	0.0%	1.8%	0.0%	13.0K	-212.8K	-6.4K	0.00	73.27	N/A	N/A	0	0	39	21
2014-07-24	$822.40	$800.00	46.4%	13.3%	31.7%	22.5%	46.4%	4.5%	0.0%	15.7K	-298.5K	-6.4K	0.00	80.14	N/A	N/A	1	0	39	21
2014-07-25	$820.80	$800.00	45.7%	13.1%	31.7%	22.2%	46.8%	2.2%	0.0%	16.7K	-322.1K	-6.5K	0.00	83.52	N/A	N/A	2	0	40	21
2014-07-28	$802.88	$800.00	46.8%	13.4%	29.1%	22.8%	42.4%	7.8%	0.0%	15.1K	-230.7K	-6.4K	0.00	86.08	N/A	N/A	0	0	42	21
2014-07-29	$812.48	$800.00	45.9%	13.2%	29.6%	22.3%	50.9%	2.1%	0.0%	16.8K	-271.1K	-6.4K	0.00	80.60	N/A	N/A	0	0	42	21
2014-07-30	$828.48	$800.00	50.9%	14.6%	29.6%	24.9%	0.0%	3.7%	0.0%	18.7K	-336.5K	-6.3K	0.00	128.95	N/A	N/A	0	0	42	21
2014-07-31	$797.76	$800.00	44.9%	12.9%	31.6%	21.7%	45.4%	1.1%	0.0%	12.9K	-137.0K	-5.7K	0.00	85.75	N/A	N/A	0	0	42	21