DAVE Options History — November 2008 In November 2008, DAVE traded between $82.56 and $142.08. ATM implied volatility averaged 82.5%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 1.7% (HV 20d: 84.2%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2008-11-20 : Largest IV spike — 109.5% change2008-11-20 : Highest IV Rank — 66.7%2008-11-20 : Largest Expected Move — 37.8%Monthly Statistics Metric Avg Min Max Open Close Price $115.00 $82.56 $142.08 $142.08 $92.16 Max Pain $160.00 $160.00 $160.00 $160.00 $160.00 ATM IV 82.5% 55.3% 131.9% 55.3% 103.6% Expected Move 22.0% 15.2% 37.8% 15.8% 29.7% HV 20d 84.2% 57.2% 112.7% 82.4% 112.7% HV 60d 77.8% 71.3% 90.4% 72.7% 85.6% IV Rank 34.7% 17.1% 66.7% 17.1% 48.4% IV Percentile 90.9% 76.6% 98.0% 76.6% 96.4% Term Structure -3.0% -35.0% 15.9% 15.0% -15.6% Skew 25d 7.7% -63.3% 46.0% 40.9% 11.2% Skew 10d 6.3% -62.1% 45.1% 39.7% 15.1% Call IV 25d 82.9% 52.6% 147.4% 61.9% 90.5% Put IV 25d 90.6% 65.9% 119.1% 102.8% 101.7% Bid-Ask Spread % 85.26 51.14 134.45 52.13 84.97 Gamma HHI 0.61 0.36 1.00 0.44 0.57 Net GEX 49 -67 141 -67 52 Net DEX 51.5K 41.2K 57.6K 48.1K 42.5K Net VEX -109 -219 0 -219 -70 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 0 0 0 0 Total OI 14.789 14 15 15 14
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 2008-11-03 $142.08 $160.00 55.3% 15.8% 82.4% 17.1% 0.0% 40.9% 15.0% -67 48.1K -219 0.00 52.13 N/A N/A 0 0 9 6 2008-11-04 $137.92 $160.00 68.0% 19.5% 82.5% 25.3% 0.0% 34.7% -15.3% -26 57.6K -151 0.00 69.24 N/A N/A 0 0 9 6 2008-11-05 $137.28 $160.00 69.6% 20.0% 79.3% 26.4% 0.0% 34.4% 0.5% -37 51.5K -187 0.00 54.38 N/A N/A 0 0 9 6 2008-11-06 $131.20 $160.00 70.6% 20.3% 73.1% 27.0% 0.0% 23.3% -18.4% 87 57.2K -140 0.00 51.14 N/A N/A 0 0 9 6 2008-11-07 $138.24 $0.00 70.8% 15.2% 71.0% 27.1% 0.0% 46.0% -4.4% -37 56.9K -154 0.00 91.45 N/A N/A 0 0 9 6 2008-11-10 $134.72 $0.00 80.6% 16.8% 62.7% 33.5% 0.0% 1.9% 11.8% 115 52.4K -180 0.00 102.47 N/A N/A 0 0 9 6 2008-11-11 $130.24 $0.00 89.0% 17.2% 63.5% 38.9% 0.0% 14.9% -5.9% 107 56.5K -137 0.00 85.94 N/A N/A 0 0 9 6 2008-11-12 $123.20 $0.00 99.5% 17.2% 62.0% 45.7% 0.0% 9.1% -6.2% 98 55.6K -125 0.00 82.36 N/A N/A 0 0 9 6 2008-11-13 $127.36 $0.00 60.4% 17.3% 59.4% 20.4% 0.0% 15.7% -5.7% 112 57.6K -124 0.00 86.99 N/A N/A 0 0 9 6 2008-11-14 $125.76 $0.00 86.9% 24.9% 57.2% 37.5% 0.0% 29.8% -21.3% 141 57.6K -126 0.00 125.51 N/A N/A 0 0 9 6 2008-11-17 $117.44 $0.00 92.4% 26.5% 61.6% 41.1% 0.0% 8.1% -19.9% 91 53.9K -118 0.00 82.26 N/A N/A 0 0 9 6 2008-11-18 $96.00 $0.00 62.3% 17.9% 92.5% 21.6% 0.0% -3.4% -4.1% 81 52.0K -51 0.00 85.66 N/A N/A 0 0 9 6 2008-11-19 $92.80 $0.00 63.0% 18.1% 92.7% 22.1% 0.0% -39.5% 9.1% 38 49.2K -52 0.00 64.72 N/A N/A 0 0 9 6 2008-11-20 $82.56 $0.00 131.9% 37.8% 97.7% 66.7% 0.0% -11.7% -35.0% 35 47.7K -34 0.00 134.45 N/A N/A 0 0 9 6 2008-11-21 $95.68 $0.00 101.9% 29.2% 111.8% 47.3% 0.0% -63.3% 12.9% 0 55.9K 0 0.00 75.75 N/A N/A 0 0 9 6 2008-11-24 $92.16 $0.00 88.6% 25.4% 112.1% 38.7% 0.0% 13.8% 14.4% 50 41.2K -78 0.00 96.31 N/A N/A 0 0 8 6 2008-11-25 $92.80 $0.00 89.5% 25.7% 112.0% 39.3% 0.0% 8.5% 15.9% 51 42.3K -76 0.00 99.04 N/A N/A 0 0 8 6 2008-11-26 $95.36 $0.00 82.9% 23.8% 112.7% 35.0% 0.0% -28.3% 15.5% 38 43.2K -58 0.00 95.18 N/A N/A 0 0 8 6 2008-11-28 $92.16 $0.00 103.6% 29.7% 112.7% 48.4% 0.0% 11.2% -15.6% 52 42.5K -70 0.00 84.97 N/A N/A 0 0 8 6
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