DAVE Options History — September 2007 In September 2007, DAVE traded between $504.00 and $614.08. ATM implied volatility averaged 35.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 5.8% (HV 20d: 41.7%). 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 0.12.
Notable Days 2007-09-13 : Highest Volume — 1 contracts2007-09-06 : Largest IV spike — 8.9% change2007-09-21 : Highest IV Rank — 12.6%2007-09-21 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $564.55 $504.00 $614.08 $614.08 $520.32 Max Pain $625.00 $560.00 $640.00 $640.00 $560.00 ATM IV 35.8% 32.3% 38.0% 32.5% 37.0% Expected Move 10.4% 9.3% 10.9% 9.3% 10.6% HV 20d 41.7% 32.3% 46.0% 44.7% 37.9% HV 60d 36.2% 34.8% 39.2% 34.8% 38.9% IV Rank 11.4% 9.4% 12.6% 9.5% 12.1% IV Percentile 85.8% 69.2% 91.7% 70.8% 89.2% Term Structure -0.6% -2.9% 2.8% 1.4% -0.5% VWIV 36.9% 35.8% 38.9% 35.8% 38.9% Skew 25d 1.5% -8.4% 11.0% 6.4% 1.6% Skew 10d 0.9% -6.8% 9.6% 9.6% 4.2% Call IV 25d 32.0% 23.5% 38.5% 27.7% 37.2% Put IV 25d 33.6% 27.0% 38.8% 34.1% 38.8% Bid-Ask Spread % 73.03 39.43 99.32 58.72 42.26 Gamma HHI 0.36 0.31 0.41 0.38 0.32 Net GEX 2.7K 1.5K 4.5K 4.5K 2.9K Net DEX 31.4K -41.7K 99.9K -41.7K 1.4K Net VEX -685 -1.0K -378 -1.0K -492 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.12 0.00 1.00 0.00 0.00 Total Volume 0.158 0 1 0 1 Total OI 12.053 12 13 12 13
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 2007-09-04 $614.08 $0.00 32.5% 9.3% 44.7% 9.5% 0.0% 6.4% 1.4% 4.5K -41.7K -1.0K 0.00 58.72 N/A N/A 0 0 9 3 2007-09-05 $607.68 $0.00 32.3% 9.3% 44.5% 9.4% 0.0% 6.7% 2.2% 4.1K -21.5K -973 0.00 59.39 N/A N/A 0 0 9 3 2007-09-06 $584.00 $0.00 35.2% 10.1% 46.0% 11.0% 0.0% -0.8% 0.8% 3.2K 14.8K -836 0.00 59.36 N/A N/A 0 0 9 3 2007-09-07 $583.04 $640.00 35.1% 9.8% 44.6% 11.0% 0.0% -3.2% 2.8% 3.1K 19.7K -810 0.00 69.88 N/A N/A 0 0 9 3 2007-09-10 $576.00 $640.00 34.5% 10.4% 44.5% 10.7% 0.0% -3.0% -0.3% 2.7K 39.3K -750 0.00 86.54 N/A N/A 0 0 9 3 2007-09-11 $574.40 $640.00 34.4% 10.5% 44.6% 10.6% 0.0% -0.8% 0.1% 2.6K 43.4K -696 0.00 89.96 N/A N/A 0 0 9 3 2007-09-12 $576.00 $640.00 35.7% 10.9% 44.0% 11.3% 0.0% 11.0% 0.9% 2.7K 35.7K -766 0.00 93.97 N/A N/A 0 0 9 3 2007-09-13 $567.68 $640.00 36.9% 10.6% 44.1% 12.0% 0.0% -3.7% -1.6% 2.4K 52.7K -670 0.00 89.21 N/A N/A 1 0 9 3 2007-09-14 $571.20 $640.00 36.2% 10.4% 43.5% 11.6% 0.0% 7.2% 0.4% 2.8K 35.3K -727 0.00 98.03 N/A N/A 0 0 9 3 2007-09-17 $560.64 $640.00 37.2% 10.7% 43.8% 12.1% 0.0% 5.4% -2.9% 2.4K 52.8K -651 0.00 81.74 N/A N/A 0 0 9 3 2007-09-18 $577.60 $640.00 36.9% 10.6% 44.9% 12.0% 35.8% -0.5% -2.9% 3.1K 25.9K -718 0.00 99.32 N/A N/A 0 0 9 3 2007-09-19 $581.12 $640.00 35.5% 10.2% 44.9% 11.2% 0.0% 10.0% 0.5% 3.2K 21.0K -755 0.00 97.48 N/A N/A 0 0 9 3 2007-09-20 $570.24 $640.00 37.5% 10.7% 44.8% 12.3% 0.0% 8.5% -2.1% 2.7K 42.0K -674 0.00 82.32 N/A N/A 0 0 9 3 2007-09-21 $550.40 $640.00 38.0% 10.9% 35.5% 12.6% 0.0% 1.4% -2.0% 1.9K 71.4K -587 0.00 80.43 N/A N/A 0 0 9 3 2007-09-24 $547.84 $640.00 36.5% 10.5% 35.3% 11.8% 36.5% -1.7% -2.0% 1.6K 81.4K -555 0.00 62.26 N/A N/A 0 0 9 3 2007-09-25 $527.68 $640.00 36.7% 10.5% 34.2% 11.9% 36.6% -8.4% -1.6% 1.5K 99.9K -441 0.33 46.40 N/A N/A 1 0 9 3 2007-09-26 $504.00 $560.00 37.6% 10.8% 32.3% 12.4% 0.0% -0.7% -1.7% 2.0K 24.5K -378 1.00 39.43 N/A N/A 0 0 10 2 2007-09-27 $532.48 $560.00 35.2% 10.1% 37.6% 11.0% 0.0% -6.0% -2.4% 2.8K -1.7K -516 0.00 50.91 N/A N/A 0 0 10 2 2007-09-28 $520.32 $560.00 37.0% 10.6% 37.9% 12.1% 38.9% 1.6% -0.5% 2.9K 1.4K -492 0.00 42.26 N/A N/A 1 0 11 2
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