DAVE Options History — July 2007

In July 2007, DAVE traded between $630.72 and $734.08. ATM implied volatility averaged 33.6%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.2% (HV 20d: 25.4%). 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 6 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2007-07-09: Highest Volume — 2 contracts
  • 2007-07-26: Largest IV spike — 182.2% change
  • 2007-07-26: Highest IV Rank — 44.5%
  • 2007-07-26: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$696.24$630.72$734.08$706.88$636.80
Max Pain$704.76$640.00$720.00$640.00$640.00
ATM IV33.6%24.9%94.3%27.3%36.8%
Expected Move9.8%7.7%27.0%7.8%10.5%
HV 20d25.4%22.7%32.9%24.9%32.9%
HV 60d29.8%26.1%30.9%29.9%30.5%
IV Rank10.5%5.2%44.5%6.4%11.9%
IV Percentile66.2%12.4%97.2%23.0%95.1%
Term Structure-1.8%-15.8%1.8%1.4%-3.7%
VWIV34.1%28.5%36.9%28.5%36.7%
Skew 25d1.0%-5.1%6.3%-2.0%1.4%
Skew 10d0.6%-6.3%30.3%-2.1%7.3%
Call IV 25d30.0%24.9%72.5%25.4%30.3%
Put IV 25d31.0%21.7%78.8%23.4%31.6%
Bid-Ask Spread %57.7918.52173.7019.7518.52
Gamma HHI0.550.400.780.430.44
Net GEX15.2K3.5K48.9K8.7K5.6K
Net DEX-234.2K-421.7K-14.4K-252.8K-41.6K
Net VEX-1.6K-1.7K-1.2K-1.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.000.000.20
Total Volume0.3330210
Total OI15.95212191513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$706.88$640.0027.3%7.8%24.9%0.0%0.0%-2.0%1.4%8.7K-252.8K-1.6K0.0019.75N/AN/A10114
2007-07-03$690.24$640.0026.8%7.7%23.7%0.0%0.0%-5.1%1.6%7.9K-220.2K-1.6K0.0051.06N/AN/A00124
2007-07-05$707.84$640.0027.0%7.7%23.4%6.4%0.0%-0.6%1.8%10.3K-269.2K-1.7K0.0021.26N/AN/A00124
2007-07-06$708.48$720.0026.7%8.1%23.4%6.2%0.0%0.1%-1.5%10.5K-275.7K-1.7K0.0068.04N/AN/A00124
2007-07-09$696.32$720.0025.9%8.2%23.1%5.7%28.5%-2.0%-1.3%8.9K-239.5K-1.6K0.2062.38N/AN/A20124
2007-07-10$699.20$720.0024.9%8.4%23.0%5.2%0.0%0.2%-2.2%16.3K-259.7K-1.6K0.0063.57N/AN/A00145
2007-07-11$699.52$720.0027.9%9.0%22.9%6.9%0.0%-1.2%-2.5%15.9K-263.8K-1.7K2.0059.28N/AN/A01145
2007-07-12$697.92$720.0030.7%8.8%22.9%8.5%0.0%1.9%-1.9%16.9K-251.4K-1.7K0.0058.45N/AN/A00145
2007-07-13$700.80$720.0031.9%9.1%22.7%9.1%0.0%3.7%-1.8%20.6K-271.6K-1.7K0.0065.25N/AN/A00145
2007-07-16$704.32$720.0032.1%9.2%22.8%9.3%0.0%1.5%-2.1%22.9K-253.0K-1.6K0.0061.39N/AN/A00145
2007-07-17$712.00$720.0032.0%9.2%23.0%9.2%0.0%1.3%-2.0%26.8K-307.8K-1.7K0.0067.93N/AN/A00145
2007-07-18$722.24$720.0031.3%9.0%23.3%8.8%0.0%1.4%-0.8%33.3K-365.9K-1.7K0.0068.12N/AN/A00145
2007-07-19$728.64$720.0031.7%9.1%23.5%9.1%0.0%0.6%-2.1%35.6K-421.7K-1.7K0.0061.39N/AN/A00145
2007-07-20$724.80$720.0032.2%9.2%23.6%9.3%0.0%1.0%-2.6%48.9K-398.4K-1.6K0.6767.99N/AN/A11145
2007-07-23$734.08$720.0031.6%9.1%23.0%9.0%0.0%0.8%0.0%6.6K-264.2K-1.6K0.0032.46N/AN/A0084
2007-07-24$719.04$720.0030.9%8.9%24.5%8.6%0.0%1.2%1.0%6.5K-239.2K-1.6K0.0081.34N/AN/A0084
2007-07-25$675.20$720.0033.4%9.6%31.7%10.0%0.0%2.5%0.5%5.2K-116.4K-1.5K0.0034.30N/AN/A0084
2007-07-26$672.00$720.0094.3%27.0%30.6%44.5%0.0%6.3%-15.8%4.2K-128.2K-1.6K0.00173.70N/AN/A0084
2007-07-27$654.08$720.0033.8%9.7%31.5%10.2%0.0%5.1%-0.9%4.4K-62.8K-1.4K0.0057.19N/AN/A0084
2007-07-30$630.72$720.0036.9%10.6%32.4%12.0%36.9%2.4%-4.0%3.5K-14.4K-1.2K0.0020.32N/AN/A1084
2007-07-31$636.80$640.0036.8%10.5%32.9%11.9%36.7%1.4%-3.7%5.6K-41.6K-1.3K0.2018.52N/AN/A0094