DAVE Options History — February 2009 In February 2009, DAVE traded between $86.40 and $101.44. ATM implied volatility averaged 88.3%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded above realized volatility by 12.0% (HV 20d: 76.3%). Max pain ranged from $80.00 to $160.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days.
Notable Days 2009-02-23 : Highest Volume — 1 contracts2009-02-04 : Largest IV drop — 30.5% change2009-02-03 : Highest IV Rank — 53.4%2009-02-03 : Largest Expected Move — 32.7%Monthly Statistics Metric Avg Min Max Open Close Price $95.43 $86.40 $101.44 $93.44 $86.40 Max Pain $143.16 $80.00 $160.00 $160.00 $80.00 ATM IV 88.3% 79.2% 114.0% 91.6% 82.1% Expected Move 25.3% 22.7% 32.7% 26.3% 23.5% HV 20d 76.3% 52.3% 126.8% 125.5% 73.9% HV 60d 103.1% 92.8% 110.3% 109.6% 97.2% IV Rank 36.1% 30.1% 53.4% 38.4% 32.0% IV Percentile 80.9% 72.2% 93.7% 85.7% 73.4% Term Structure 16.9% 10.4% 28.1% 12.4% 28.1% Skew 25d -9.9% -32.0% 6.1% -8.9% -26.1% Skew 10d -16.9% -43.2% 5.3% -12.9% -43.2% Call IV 25d 111.3% 97.0% 141.3% 104.2% 121.7% Put IV 25d 101.4% 77.7% 134.7% 95.3% 95.6% Bid-Ask Spread % 103.60 100.14 112.19 100.55 104.43 Gamma HHI 0.57 0.47 1.00 0.48 0.51 Net GEX 140 0 183 169 113 Net DEX 5.5K -2.0K 8.8K 7.1K 2.1K Net VEX -41 -60 0 -47 -60 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.053 0 1 0 0 Total OI 7 7 7 7 7
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 2009-02-02 $93.44 $160.00 91.6% 26.3% 125.5% 38.4% 0.0% -8.9% 0.0% 169 7.1K -47 0.00 100.55 N/A N/A 0 0 5 2 2009-02-03 $98.56 $160.00 114.0% 32.7% 126.8% 53.4% 0.0% -6.6% 0.0% 0 8.6K 0 0.00 108.39 N/A N/A 0 0 5 2 2009-02-04 $94.72 $160.00 79.2% 22.7% 96.5% 30.1% 0.0% -5.7% 0.0% 177 6.3K -49 0.00 102.41 N/A N/A 0 0 5 2 2009-02-05 $96.00 $160.00 85.3% 24.5% 96.9% 34.1% 0.0% -5.1% 0.0% 183 5.7K -50 0.00 104.31 N/A N/A 0 0 5 2 2009-02-06 $94.40 $160.00 79.4% 22.8% 91.9% 30.2% 0.0% -7.4% 0.0% 170 7.6K -44 0.00 103.54 N/A N/A 0 0 5 2 2009-02-09 $96.64 $160.00 89.1% 25.5% 88.1% 36.7% 0.0% -16.8% 0.0% 176 7.8K -38 0.00 112.19 N/A N/A 0 0 5 2 2009-02-10 $94.40 $160.00 79.9% 22.9% 85.9% 30.5% 0.0% -11.7% 0.0% 175 7.0K -42 0.00 102.40 N/A N/A 0 0 5 2 2009-02-11 $96.64 $160.00 85.3% 24.4% 86.2% 34.1% 0.0% 0.6% 0.0% 181 4.8K -51 0.00 104.21 N/A N/A 0 0 5 2 2009-02-12 $95.68 $160.00 83.4% 23.9% 73.2% 32.9% 0.0% 0.5% 0.0% 179 5.0K -52 0.00 104.36 N/A N/A 0 0 5 2 2009-02-13 $95.36 $160.00 88.0% 25.2% 52.4% 36.0% 0.0% 6.1% 0.0% 174 4.9K -54 0.00 100.68 N/A N/A 0 0 5 2 2009-02-17 $100.16 $160.00 97.2% 27.9% 52.3% 42.1% 0.0% -11.1% 0.0% 18 8.8K 0 0.00 100.14 N/A N/A 0 0 5 2 2009-02-18 $96.96 $160.00 96.3% 27.6% 53.1% 41.5% 0.0% -5.1% 0.0% 177 5.9K -49 0.00 101.27 N/A N/A 0 0 5 2 2009-02-19 $98.88 $160.00 99.6% 28.6% 52.4% 43.8% 0.0% 3.2% 0.0% 0 8.7K 0 0.00 102.12 N/A N/A 0 0 5 2 2009-02-20 $95.68 $160.00 92.2% 26.4% 53.2% 38.8% 0.0% -12.8% 0.0% 180 6.3K -42 0.00 103.22 N/A N/A 0 0 5 2 2009-02-23 $93.44 $160.00 85.6% 24.5% 53.5% 34.3% 0.0% -15.0% 12.4% 172 7.3K -36 0.00 102.17 N/A N/A 0 1 5 2 2009-02-24 $94.40 $80.00 86.1% 24.7% 53.6% 34.7% 0.0% -9.3% 10.8% 158 -2.0K -55 0.00 100.96 N/A N/A 0 0 5 2 2009-02-25 $101.44 $80.00 80.3% 23.0% 60.8% 30.8% 0.0% -32.0% 10.4% 148 -110 -52 0.00 107.50 N/A N/A 0 0 5 2 2009-02-26 $89.92 $80.00 82.8% 23.7% 73.4% 32.4% 0.0% -24.7% 23.0% 117 2.0K -59 0.00 103.51 N/A N/A 0 0 5 2 2009-02-27 $86.40 $80.00 82.1% 23.5% 73.9% 32.0% 0.0% -26.1% 28.1% 113 2.1K -60 0.00 104.43 N/A N/A 0 0 5 2
« Jan 2009 | All History | Mar 2009 » Home DAVE History February 2009