DAVE Options History — February 2007 In February 2007, DAVE traded between $570.56 and $602.56. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.8% (HV 20d: 20.2%). Max pain ranged from $560.00 to $640.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-02-09 : Highest Volume — 3 contracts2007-02-28 : Largest IV drop — 15.7% change2007-02-21 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $589.17 $570.56 $602.56 $582.72 $594.56 Max Pain $633.85 $560.00 $640.00 $560.00 $640.00 ATM IV 30.9% 26.5% 35.0% 27.3% 27.1% Expected Move 9.0% 7.8% 10.0% 7.8% 7.8% HV 20d 20.2% 15.6% 24.3% 21.8% 15.6% Term Structure -0.1% -5.1% 10.5% 1.1% 10.5% VWIV 33.2% 28.6% 36.4% 34.6% 36.4% Skew 25d -0.7% -3.5% 1.9% -2.4% 1.9% Skew 10d -6.6% -8.8% -4.0% -8.0% -4.0% Call IV 25d 30.3% 28.3% 31.7% 29.0% 30.4% Put IV 25d 29.6% 25.2% 32.2% 26.6% 32.2% Bid-Ask Spread % 40.16 27.87 59.97 43.35 40.63 Gamma HHI 0.69 0.53 0.93 0.93 0.58 Net GEX 7.4K 3.6K 10.1K 3.7K 10.1K Net DEX -121.1K -148.9K -84.1K -94.4K -129.6K Net VEX -257 -353 -183 -197 -240 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.211 0 3 0 0 Total OI 3.895 2 5 2 5
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 2007-02-01 $582.72 $560.00 27.3% 7.8% 21.8% 0.0% 0.0% -2.4% 1.1% 3.7K -94.4K -197 0.00 43.35 N/A N/A 0 0 2 0 2007-02-02 $588.80 $0.00 26.7% 8.1% 21.1% 0.0% 0.0% -1.5% 2.8% 3.7K -97.8K -189 0.00 37.18 N/A N/A 0 0 2 0 2007-02-05 $573.76 $0.00 27.5% 8.4% 24.0% 0.0% 0.0% -3.5% -0.1% 4.1K -87.5K -197 0.00 43.71 N/A N/A 0 0 2 0 2007-02-06 $570.56 $0.00 26.5% 8.6% 24.2% 0.0% 0.0% -3.1% 0.1% 4.3K -84.1K -199 0.00 56.90 N/A N/A 0 0 2 0 2007-02-07 $576.96 $0.00 26.5% 8.5% 24.3% 0.0% 0.0% -2.6% 0.9% 4.1K -90.2K -192 0.00 41.18 N/A N/A 0 0 2 0 2007-02-08 $581.44 $0.00 30.2% 8.7% 24.3% 0.0% 0.0% -2.6% -1.1% 3.9K -96.7K -184 0.00 41.45 N/A N/A 0 0 2 0 2007-02-09 $584.00 $0.00 34.4% 9.9% 24.3% 0.0% 34.6% -1.7% -2.0% 3.6K -97.3K -183 0.00 29.09 N/A N/A 3 0 2 0 2007-02-12 $590.08 $640.00 34.8% 10.0% 22.6% 0.0% 0.0% -1.0% -2.6% 8.8K -148.5K -353 0.00 33.44 N/A N/A 0 0 5 0 2007-02-13 $592.00 $640.00 34.2% 9.8% 22.6% 0.0% 0.0% 0.0% -1.5% 8.9K -148.9K -339 0.00 31.32 N/A N/A 0 0 5 0 2007-02-14 $588.80 $640.00 34.3% 9.8% 20.8% 0.0% 0.0% -0.1% -2.0% 8.8K -144.7K -328 0.00 27.87 N/A N/A 0 0 5 0 2007-02-15 $588.48 $640.00 33.7% 9.7% 19.7% 0.0% 0.0% -0.4% -0.0% 8.8K -141.5K -324 0.00 34.26 N/A N/A 0 0 5 0 2007-02-16 $592.00 $640.00 34.2% 9.8% 17.3% 0.0% 0.0% 0.1% -1.3% 8.8K -145.5K -311 0.00 38.23 N/A N/A 0 0 5 0 2007-02-20 $594.24 $640.00 34.3% 9.8% 17.3% 0.0% 0.0% 0.3% -3.5% 9.1K -133.9K -295 0.00 35.54 N/A N/A 0 0 5 0 2007-02-21 $599.68 $640.00 35.0% 10.0% 17.2% 0.0% 28.6% 1.1% -5.1% 9.7K -137.2K -295 0.00 42.34 N/A N/A 1 0 5 0 2007-02-22 $602.56 $640.00 30.9% 8.9% 17.1% 0.0% 0.0% 1.1% -1.1% 10.0K -139.1K -288 0.00 46.27 N/A N/A 0 0 5 0 2007-02-23 $600.32 $640.00 28.8% 8.3% 16.1% 0.0% 0.0% 1.3% 1.4% 10.0K -137.7K -274 0.00 39.61 N/A N/A 0 0 5 0 2007-02-26 $600.64 $640.00 29.3% 8.4% 16.2% 0.0% 0.0% 0.3% 0.9% 10.0K -125.0K -246 0.00 59.97 N/A N/A 0 0 5 0 2007-02-27 $592.64 $640.00 32.1% 9.2% 16.6% 0.0% 0.0% -0.0% 1.4% 9.4K -120.7K -245 0.00 40.65 N/A N/A 0 0 5 0 2007-02-28 $594.56 $640.00 27.1% 7.8% 15.6% 0.0% 36.4% 1.9% 10.5% 10.1K -129.6K -240 0.00 40.63 N/A N/A 0 0 5 0
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