DAVE Options History — March 2007

In March 2007, DAVE traded between $565.12 and $591.68. ATM implied volatility averaged 59.4%. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 40.8% (HV 20d: 18.6%). Max pain ranged from $480.00 to $640.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2007-03-01: Highest Volume — 2 contracts
  • 2007-03-07: Largest IV drop — 83.1% change
  • 2007-03-02: Largest Expected Move — 50.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$582.01$565.12$591.68$576.00$578.88
Max Pain$494.55$480.00$640.00$640.00$480.00
ATM IV59.4%27.1%192.2%172.1%33.0%
Expected Move14.8%8.9%50.5%49.3%9.4%
HV 20d18.6%17.2%19.9%18.8%18.7%
HV 60d19.7%19.1%20.1%20.1%20.0%
Term Structure-11.3%-73.3%1.3%-72.1%-1.5%
VWIV26.8%21.9%32.0%26.4%21.9%
Skew 25d10.8%-1.6%42.6%27.7%7.1%
Skew 10d23.8%-6.5%101.6%71.7%10.5%
Call IV 25d46.3%22.6%111.7%107.0%26.3%
Put IV 25d57.1%28.8%140.9%134.6%33.4%
Bid-Ask Spread %79.5922.28193.33193.3368.22
Gamma HHI0.540.500.700.510.52
Net GEX7.4K3.3K10.8K3.3K6.5K
Net DEX-140.8K-212.6K-96.9K-155.1K-114.7K
Net VEX-550-681-314-314-504
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.000.00
Total Volume0.3180220
Total OI7.18251055

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$576.00$640.00172.1%49.3%18.8%0.0%0.0%27.7%-72.1%3.3K-155.1K-3140.00193.33N/AN/A2050
2007-03-02$585.60$640.00176.0%50.5%19.3%0.0%0.0%29.6%-73.3%4.9K-212.6K-5070.00191.92N/AN/A0070
2007-03-05$575.36$480.00188.2%28.8%19.9%0.0%0.0%28.7%-40.4%6.6K-180.1K-4930.00170.73N/AN/A0070
2007-03-06$580.48$480.00192.2%29.0%17.9%0.0%0.0%29.9%-40.3%6.8K-187.9K-4960.00170.49N/AN/A0070
2007-03-07$579.84$480.0032.4%9.1%17.7%0.0%0.0%-1.2%-0.6%9.3K-123.2K-3491.0022.28N/AN/A1170
2007-03-08$579.20$480.0030.6%9.0%17.3%0.0%26.4%-1.3%-0.5%8.5K-119.8K-5490.0027.12N/AN/A1081
2007-03-09$582.08$480.0041.7%10.0%17.2%0.0%0.0%42.6%-11.4%10.8K-142.4K-6810.00124.39N/AN/A0091
2007-03-12$588.16$480.0028.1%8.9%17.5%0.0%0.0%-0.5%-0.4%8.2K-145.3K-6480.0027.34N/AN/A0091
2007-03-13$582.40$480.0027.1%9.1%17.4%0.0%0.0%-1.6%-0.8%7.7K-132.7K-6290.0028.16N/AN/A0091
2007-03-14$574.40$480.0029.8%9.5%18.0%0.0%0.0%-0.4%-0.9%7.3K-122.0K-6210.0056.49N/AN/A0091
2007-03-15$583.04$480.0033.4%9.6%18.8%0.0%0.0%0.6%-1.4%7.6K-135.3K-6220.0052.71N/AN/A0091
2007-03-16$587.84$480.0032.5%9.3%19.1%0.0%0.0%0.0%1.3%7.8K-142.2K-6310.0054.98N/AN/A0091
2007-03-19$582.72$480.0032.6%9.3%19.2%0.0%0.0%1.5%-1.0%7.8K-134.7K-5950.0059.20N/AN/A0051
2007-03-20$588.80$480.0032.6%9.3%19.5%0.0%0.0%0.0%-0.8%8.0K-143.7K-6030.0054.91N/AN/A0051
2007-03-21$591.68$480.0032.2%9.2%19.3%0.0%32.0%0.0%-0.6%8.2K-150.2K-6060.0056.10N/AN/A0051
2007-03-22$591.04$480.0032.5%9.3%19.2%0.0%0.0%0.9%-1.3%8.2K-148.0K-5970.0056.56N/AN/A0051
2007-03-23$584.32$480.0031.0%8.9%19.5%0.0%0.0%8.6%0.4%8.2K-135.2K-5790.0066.82N/AN/A0051
2007-03-26$585.28$480.0031.6%9.1%19.5%0.0%21.9%0.0%-0.8%8.3K-136.3K-5550.0069.48N/AN/A2051
2007-03-27$583.36$480.0032.6%9.3%19.0%0.0%0.0%9.5%-0.8%6.2K-122.2K-5140.0066.64N/AN/A0041
2007-03-28$578.56$480.0032.4%9.3%19.2%0.0%0.0%7.9%-1.3%6.4K-116.4K-5140.0068.05N/AN/A0041
2007-03-29$565.12$480.0032.0%9.2%17.6%0.0%0.0%5.1%-0.8%6.6K-96.9K-4970.0065.05N/AN/A0041
2007-03-30$578.88$480.0033.0%9.4%18.7%0.0%0.0%7.1%-1.5%6.5K-114.7K-5040.0068.22N/AN/A0041