DAVE Options History — June 2008 In June 2008, DAVE traded between $246.40 and $283.20. ATM implied volatility averaged 47.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 21.1% (HV 20d: 26.5%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-06-02 : Highest Volume — 1 contracts2008-06-05 : Largest IV spike — 28.9% change2008-06-05 : Highest IV Rank — 28.0%2008-06-05 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $260.28 $246.40 $283.20 $283.20 $246.40 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 47.6% 39.5% 56.7% 39.5% 53.6% Expected Move 14.0% 11.3% 16.3% 11.3% 15.4% HV 20d 26.5% 22.1% 29.2% 28.5% 24.4% HV 60d 44.0% 31.4% 52.8% 52.8% 31.4% IV Rank 18.9% 14.8% 28.0% 15.9% 21.9% IV Percentile 70.2% 44.8% 93.3% 44.8% 88.1% Term Structure 0.8% -28.4% 16.8% 16.8% -7.5% Skew 25d 3.9% -12.2% 17.9% 2.8% -5.8% Skew 10d 4.4% -8.1% 14.8% 3.0% -8.1% Call IV 25d 44.7% 35.7% 59.3% 38.4% 59.3% Put IV 25d 48.6% 37.8% 54.9% 41.2% 53.5% Bid-Ask Spread % 81.52 16.31 106.22 50.45 98.44 Gamma HHI 0.35 0.34 0.41 0.41 0.35 Net GEX 232 -121 369 -121 263 Net DEX 65.2K 32.3K 80.9K 63.9K 80.8K Net VEX -520 -693 -373 -682 -373 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.048 0 1 1 0 Total OI 14.095 14 15 15 14
Daily Data (21 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 2008-06-02 $283.20 $320.00 39.5% 11.3% 28.5% 15.9% 0.0% 2.8% 16.8% -121 63.9K -682 0.00 50.45 N/A N/A 1 0 8 7 2008-06-03 $276.80 $320.00 44.6% 12.8% 29.2% 19.6% 0.0% -1.6% -15.5% 122 58.1K -693 0.00 16.31 N/A N/A 0 0 8 7 2008-06-04 $271.04 $320.00 44.0% 12.6% 29.2% 19.1% 0.0% -1.6% -11.7% 138 58.5K -612 0.00 50.29 N/A N/A 0 0 8 6 2008-06-05 $269.12 $320.00 56.7% 16.3% 29.1% 28.0% 0.0% -12.2% -28.4% 369 32.3K -685 0.00 33.78 N/A N/A 0 0 8 6 2008-06-06 $266.88 $320.00 45.2% 15.4% 28.9% 19.7% 0.0% 17.9% -1.0% 166 60.6K -587 0.00 65.32 N/A N/A 0 0 8 6 2008-06-09 $263.36 $320.00 45.5% 15.1% 28.8% 19.9% 0.0% 15.6% -1.2% 189 67.7K -560 0.00 64.70 N/A N/A 0 0 8 6 2008-06-10 $262.72 $320.00 42.7% 13.6% 28.3% 17.7% 0.0% 11.3% 8.6% 255 62.9K -528 0.00 55.72 N/A N/A 0 0 8 6 2008-06-11 $261.44 $320.00 43.1% 14.5% 28.2% 17.4% 0.0% 11.6% 2.2% 243 62.6K -536 0.00 64.37 N/A N/A 0 0 8 6 2008-06-12 $261.76 $320.00 47.3% 13.5% 24.0% 17.0% 0.0% 8.8% 6.8% 293 55.8K -549 0.00 103.17 N/A N/A 0 0 8 6 2008-06-13 $264.32 $320.00 47.5% 13.6% 24.7% 17.2% 0.0% 15.2% 11.9% 255 59.0K -549 0.00 106.22 N/A N/A 0 0 8 6 2008-06-16 $268.48 $320.00 44.4% 12.7% 22.1% 14.8% 0.0% 11.8% 16.2% 273 52.7K -569 0.00 102.95 N/A N/A 0 0 8 6 2008-06-17 $256.32 $320.00 46.5% 13.3% 24.8% 16.5% 0.0% 3.5% 8.0% 324 59.4K -508 0.00 102.74 N/A N/A 0 0 8 6 2008-06-18 $259.52 $320.00 44.3% 12.7% 25.5% 14.8% 0.0% 7.8% 16.0% 319 56.7K -538 0.00 104.69 N/A N/A 0 0 8 6 2008-06-19 $257.28 $320.00 51.3% 14.7% 25.1% 20.1% 0.0% 3.9% -1.3% 275 71.3K -469 0.00 105.53 N/A N/A 0 0 8 6 2008-06-20 $250.56 $320.00 48.6% 13.9% 25.7% 18.1% 0.0% -0.5% 1.5% 334 73.5K -440 0.00 105.60 N/A N/A 0 0 8 6 2008-06-23 $249.60 $320.00 48.9% 14.0% 25.7% 18.3% 0.0% -2.2% 0.6% 234 77.9K -423 0.00 97.86 N/A N/A 0 0 8 6 2008-06-24 $249.92 $320.00 55.0% 15.8% 25.9% 22.9% 0.0% 1.3% -6.6% 189 77.3K -425 0.00 92.02 N/A N/A 0 0 8 6 2008-06-25 $250.88 $320.00 52.1% 14.9% 26.2% 20.7% 0.0% -1.4% -3.3% 220 77.1K -423 0.00 96.87 N/A N/A 0 0 8 6 2008-06-26 $246.40 $320.00 52.3% 15.0% 26.1% 20.9% 0.0% -2.7% -2.3% 227 80.5K -382 0.00 95.71 N/A N/A 0 0 8 6 2008-06-27 $249.92 $320.00 45.8% 13.1% 25.9% 15.9% 0.0% -1.6% 7.2% 302 80.9K -396 0.00 99.13 N/A N/A 0 0 8 6 2008-06-30 $246.40 $320.00 53.6% 15.4% 24.4% 21.9% 0.0% -5.8% -7.5% 263 80.8K -373 0.00 98.44 N/A N/A 0 0 8 6
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