DAVE Options History — April 2008

In April 2008, DAVE traded between $284.16 and $352.32. ATM implied volatility averaged 48.4%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 16.7% (HV 20d: 65.1%). Max pain ranged from $320.00 to $480.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2008-04-04: Highest Volume — 5 contracts
  • 2008-04-28: Largest IV drop — 32.6% change
  • 2008-04-23: Highest IV Rank — 31.9%
  • 2008-04-23: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$311.32$284.16$352.32$327.68$288.32
Max Pain$339.05$320.00$480.00$400.00$480.00
ATM IV48.4%34.4%60.6%51.9%36.7%
Expected Move14.0%9.9%17.4%14.9%10.5%
HV 20d65.1%49.1%77.4%65.7%49.1%
HV 60d67.6%60.2%71.1%66.9%60.2%
IV Rank23.2%13.3%31.9%25.7%14.9%
IV Percentile77.7%30.6%96.8%88.9%38.9%
Term Structure1.0%-5.8%22.2%0.9%14.7%
VWIV54.3%34.3%76.2%76.2%34.3%
Skew 25d2.7%-12.8%29.8%7.1%5.7%
Skew 10d7.3%-9.4%54.7%18.7%6.3%
Call IV 25d50.4%35.4%78.7%61.6%38.0%
Put IV 25d53.2%39.1%77.8%68.7%43.7%
Bid-Ask Spread %75.4619.56105.1469.3549.89
Gamma HHI0.500.380.670.560.54
Net GEX971-1.3K4.9K3.2K-1.3K
Net DEX72.6K-1.8K151.9K48.3K151.9K
Net VEX-723-912-451-498-728
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.003.000.000.00
Total Volume0.50502
Total OI18.90912251916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$327.68$400.0051.9%14.9%65.7%25.7%0.0%7.1%0.9%3.2K48.3K-4980.0069.35N/AN/A00136
2008-04-02$347.52$400.0051.6%14.8%68.5%25.5%0.0%8.3%6.5%4.9K12.1K-4510.0074.45N/AN/A00136
2008-04-03$325.12$400.0047.1%13.5%72.9%22.3%76.2%-4.6%3.0%3.4K51.9K-4560.0079.17N/AN/A00136
2008-04-04$352.32$0.0049.0%14.5%77.4%23.7%50.4%-2.6%-2.3%2.9K-1.8K-5322.2093.21N/AN/A23136
2008-04-07$342.72$320.0048.0%14.4%76.1%22.9%50.2%-8.7%-1.4%2.5K43.9K-9120.00103.35N/AN/A00159
2008-04-08$339.20$320.0047.9%14.7%66.6%22.8%0.0%12.2%-3.2%2.5K57.7K-8950.00101.23N/AN/A00159
2008-04-09$337.60$320.0046.9%14.8%66.5%22.2%0.0%-0.8%1.5%2.7K60.0K-8870.0095.10N/AN/A00159
2008-04-10$330.88$320.0051.4%14.7%66.5%25.3%0.0%-2.3%-1.9%3.0K75.8K-8820.0099.53N/AN/A00159
2008-04-11$330.88$320.0050.2%14.4%65.8%24.5%0.0%29.8%-0.4%3.4K81.7K-8420.00100.14N/AN/A00159
2008-04-14$307.84$320.0049.7%14.2%68.1%24.1%0.0%4.8%-1.5%2.6K131.4K-7750.00100.58N/AN/A001510
2008-04-15$299.20$320.0048.5%13.9%67.7%23.3%0.0%-0.8%-2.3%1.5K140.6K-7400.00105.14N/AN/A00159
2008-04-16$294.40$320.0053.8%15.4%67.4%27.1%0.0%-1.4%-4.7%1.1K60.6K-7220.0097.73N/AN/A01157
2008-04-17$290.24$320.0045.2%13.0%66.7%20.9%0.0%11.7%-3.7%-1.3K88.3K-6970.00102.86N/AN/A00157
2008-04-18$289.60$320.0047.4%13.6%65.4%22.5%0.0%0.8%-5.6%-1.1K82.7K-7120.0055.98N/AN/A00157
2008-04-21$296.00$320.0053.1%15.2%63.0%26.6%0.0%3.2%-3.5%-1.3K72.1K-7110.00104.07N/AN/A0057
2008-04-22$296.00$320.0054.1%15.5%61.2%27.3%0.0%-8.3%-2.4%-1.2K72.6K-7190.0037.07N/AN/A1057
2008-04-23$296.00$320.0060.6%17.4%60.6%31.9%60.6%18.2%-4.3%-1.0K64.5K-7573.0031.12N/AN/A0067
2008-04-24$292.80$320.0048.4%13.9%60.6%23.2%0.0%-10.1%-5.2%-1.3K69.2K-7600.0045.37N/AN/A0067
2008-04-25$292.80$320.0051.1%14.6%60.6%25.1%0.0%-12.8%-5.8%-1.3K69.2K-7860.0045.41N/AN/A0067
2008-04-28$287.68$320.0034.4%9.9%60.8%13.3%0.0%4.2%20.8%-1.3K81.7K-7320.0049.72N/AN/A0067
2008-04-29$284.16$320.0037.1%10.6%54.2%15.2%0.0%6.7%22.2%-1.1K82.7K-7220.0019.56N/AN/A0267
2008-04-30$288.32$480.0036.7%10.5%49.1%14.9%34.3%5.7%14.7%-1.3K151.9K-7280.0049.89N/AN/A20610