DAVE Options History — August 2007

In August 2007, DAVE traded between $560.64 and $636.80. ATM implied volatility averaged 43.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.0% (HV 20d: 37.3%). Max pain ranged from $640.00 to $640.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2007-08-02: Highest Volume — 2 contracts
  • 2007-08-17: Largest IV spike — 195.8% change
  • 2007-08-17: Highest IV Rank — 51.2%
  • 2007-08-17: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$596.61$560.64$636.80$636.80$608.96
Max Pain$640.00$640.00$640.00$640.00$640.00
ATM IV43.3%29.7%106.1%46.5%34.2%
Expected Move11.9%9.1%30.4%13.3%9.8%
HV 20d37.3%29.6%47.8%32.2%47.5%
HV 60d31.9%29.9%35.5%30.4%34.9%
IV Rank15.6%7.9%51.2%17.4%10.5%
IV Percentile86.4%56.8%97.5%96.6%80.2%
Term Structure-2.0%-25.9%39.7%-13.8%0.7%
VWIV40.6%36.6%47.4%47.4%36.6%
Skew 25d3.4%-2.5%9.7%1.8%8.0%
Skew 10d5.4%-1.6%37.8%8.2%8.8%
Call IV 25d38.5%25.6%107.0%32.2%28.1%
Put IV 25d41.9%29.7%111.7%34.0%36.1%
Bid-Ask Spread %73.7124.57171.4057.8253.13
Gamma HHI0.370.300.490.400.38
Net GEX3.8K1.1K8.4K6.0K4.2K
Net DEX411-82.1K87.0K-57.2K-33.3K
Net VEX-1.1K-1.4K-806-1.4K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.000.430.00
Total Volume0.2610210
Total OI12.8711151312

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$636.80$640.0046.5%13.3%32.2%17.4%47.4%1.8%-13.8%6.0K-57.2K-1.4K0.4357.82N/AN/A1094
2007-08-02$626.88$640.0039.8%11.4%30.5%13.6%37.8%2.5%-5.4%8.4K-53.4K-1.4K0.7249.71N/AN/A11105
2007-08-03$630.40$640.0036.6%10.5%30.7%11.8%36.6%2.0%-4.3%7.6K-54.2K-1.3K0.1751.07N/AN/A10105
2007-08-06$602.24$0.0029.7%9.1%33.6%7.9%0.0%3.0%-0.3%3.8K19.7K-1.1K0.0049.20N/AN/A0094
2007-08-07$593.28$0.0042.1%10.3%33.4%14.9%0.0%6.1%-2.6%3.6K32.7K-1.0K0.0024.73N/AN/A0094
2007-08-08$606.40$0.0063.4%9.2%35.0%27.0%0.0%3.7%39.7%4.4K991-1.1K0.00141.71N/AN/A00104
2007-08-09$587.20$0.0040.5%10.3%36.0%14.0%0.0%3.0%-2.1%3.2K45.7K-1.0K0.0024.57N/AN/A00104
2007-08-10$579.20$0.0040.5%9.9%35.8%14.0%0.0%1.3%1.5%2.7K54.0K-1.0K1.0082.82N/AN/A11104
2007-08-13$578.88$0.0099.6%28.5%35.5%47.5%0.0%4.8%-21.9%2.5K-8.6K-1.3K0.00171.40N/AN/A00104
2007-08-14$567.36$0.0037.6%10.2%34.8%12.4%0.0%-2.4%0.8%1.8K79.5K-8790.0091.86N/AN/A00104
2007-08-15$572.80$0.0030.5%10.4%34.4%8.4%0.0%-1.4%-0.1%1.8K73.7K-8690.0091.88N/AN/A00104
2007-08-16$560.64$0.0035.9%10.3%33.7%11.4%0.0%-2.5%-0.6%1.1K87.0K-8060.0093.87N/AN/A00104
2007-08-17$568.00$0.00106.1%30.4%34.9%51.2%0.0%4.7%-25.9%1.8K498-1.2K0.00169.33N/AN/A00104
2007-08-20$574.40$0.0036.1%10.3%34.7%11.5%0.0%-1.9%-0.2%2.4K35.3K-8470.0040.58N/AN/A0083
2007-08-21$577.28$0.0035.0%10.0%35.1%10.9%0.0%0.1%1.4%2.5K31.3K-8510.0053.45N/AN/A0083
2007-08-22$564.80$0.0035.9%10.3%29.6%11.4%0.0%-2.2%-1.1%2.3K41.6K-8090.0064.63N/AN/A0083
2007-08-23$611.52$0.0034.6%9.9%43.2%10.7%0.0%7.6%-0.9%3.8K-29.9K-1.1K0.0065.02N/AN/A0083
2007-08-24$614.40$0.0032.7%9.4%42.5%9.6%0.0%9.7%0.9%4.2K-45.2K-1.1K0.0082.03N/AN/A0083
2007-08-27$633.60$0.0034.0%9.8%42.2%10.4%0.0%2.5%-0.4%4.9K-82.1K-1.2K0.0072.59N/AN/A0093
2007-08-28$598.40$0.0038.2%10.9%46.6%12.7%0.0%9.6%-12.6%4.1K-28.7K-1.0K0.0066.93N/AN/A0093
2007-08-29$614.08$0.0032.8%9.4%47.8%9.7%0.0%9.1%0.7%4.6K-49.5K-1.1K0.0042.84N/AN/A0093
2007-08-30$614.40$0.0033.6%9.6%47.5%10.1%0.0%9.3%0.9%4.6K-50.3K-1.1K0.0054.12N/AN/A0093
2007-08-31$608.96$0.0034.2%9.8%47.5%10.5%0.0%8.0%0.7%4.2K-33.3K-1.0K0.0053.13N/AN/A0093