DAVE Options History — January 2007

In January 2007, DAVE traded between $523.84 and $575.68. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.9% (HV 20d: 22.3%). Max pain ranged from $480.00 to $560.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-01-29: Highest Volume — 1 contracts
  • 2007-01-11: Largest IV spike — 25.4% change
  • 2007-01-26: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$543.98$523.84$575.68$529.28$575.68
Max Pain$540.00$480.00$560.00$480.00$560.00
ATM IV26.2%19.8%29.6%20.0%27.4%
Expected Move7.9%5.7%8.5%5.7%7.8%
HV 20d22.3%22.0%22.7%22.7%22.2%
Term Structure2.3%-0.4%10.7%10.2%3.5%
VWIV28.7%28.7%28.7%28.7%28.7%
Skew 25d1.5%-3.2%2.7%1.7%-3.2%
Skew 10d-0.3%-8.6%2.7%0.4%-8.6%
Call IV 25d28.7%28.1%29.4%28.9%28.9%
Put IV 25d30.2%25.7%31.4%30.6%25.7%
Bid-Ask Spread %31.8615.2059.8051.3028.92
Gamma HHI0.890.830.980.880.90
Net GEX8.1K2.9K27.7K7.2K3.9K
Net DEX-134.7K-260.5K-61.5K-159.1K-91.0K
Net VEX-244-288-212-284-212
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.050100
Total OI52772

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$529.28$480.0020.0%5.7%0.0%0.0%0.0%0.0%10.2%7.2K-159.1K-2840.0051.30N/AN/A0061
2007-01-04$523.84$480.0019.8%5.7%0.0%0.0%0.0%0.0%10.7%6.1K-150.4K-2710.0015.20N/AN/A0061
2007-01-05$526.40$0.0020.2%8.3%0.0%0.0%0.0%0.0%0.9%6.4K-153.1K-2710.0049.13N/AN/A0061
2007-01-08$526.72$0.0021.3%8.0%0.0%0.0%0.0%0.0%1.5%6.3K-153.5K-2610.0044.20N/AN/A0061
2007-01-09$528.00$0.0022.9%8.2%0.0%0.0%0.0%0.0%1.1%6.6K-155.1K-2580.0044.74N/AN/A0061
2007-01-10$528.64$0.0022.8%8.0%0.0%0.0%0.0%0.0%1.7%6.6K-155.5K-2510.0059.80N/AN/A0061
2007-01-11$529.60$0.0028.6%8.2%0.0%0.0%0.0%0.0%1.2%6.8K-157.8K-2490.0059.21N/AN/A0061
2007-01-12$545.28$0.0028.4%8.2%0.0%0.0%0.0%0.0%1.5%11.7K-194.6K-2880.0021.69N/AN/A0061
2007-01-16$550.40$0.0028.8%8.3%0.0%0.0%0.0%0.0%1.5%14.8K-198.3K-2610.0019.03N/AN/A0061
2007-01-17$566.08$0.0029.1%8.4%0.0%0.0%0.0%0.0%0.6%22.6K-260.5K-2520.0023.05N/AN/A0061
2007-01-18$556.80$0.0028.1%8.0%0.0%0.0%0.0%1.7%1.8%27.7K-208.4K-2460.0021.50N/AN/A0061
2007-01-19$544.64$0.0028.2%8.1%0.0%0.0%0.0%1.8%2.2%9.5K-170.0K-2260.0020.87N/AN/A0061
2007-01-22$545.60$0.0028.3%8.1%0.0%0.0%0.0%1.9%1.4%2.9K-61.5K-2140.0022.84N/AN/A0020
2007-01-23$544.00$0.0028.7%8.2%0.0%0.0%28.7%1.9%1.1%3.0K-62.1K-2170.0022.93N/AN/A0020
2007-01-24$549.44$560.0028.8%8.3%0.0%0.0%0.0%1.4%-0.4%3.7K-72.1K-2290.0026.20N/AN/A0020
2007-01-25$542.40$560.0027.9%8.0%22.7%0.0%0.0%2.7%2.9%3.7K-66.1K-2230.0024.59N/AN/A0020
2007-01-26$545.60$560.0029.6%8.5%22.0%0.0%0.0%2.5%0.1%3.7K-65.7K-2250.0031.41N/AN/A0020
2007-01-29$555.52$560.0028.1%8.1%22.2%0.0%0.0%2.0%0.8%3.9K-75.8K-2220.0023.10N/AN/A1020
2007-01-30$565.76$560.0027.7%7.9%22.3%0.0%0.0%2.3%1.7%4.0K-83.7K-2180.0027.40N/AN/A0020
2007-01-31$575.68$560.0027.4%7.8%22.2%0.0%0.0%-3.2%3.5%3.9K-91.0K-2120.0028.92N/AN/A0020