DAVE Options History — July 2009 In July 2009, DAVE traded between $183.04 and $218.88. ATM implied volatility averaged 90.5%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 32.8% (HV 20d: 57.7%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-07-29 : Highest Volume — 1 contracts2009-07-24 : Largest IV spike — 133.6% change2009-07-24 : Highest IV Rank — 100.0%2009-07-08 : Largest Expected Move — 28.9%Monthly Statistics Metric Avg Min Max Open Close Price $194.37 $183.04 $218.88 $203.20 $206.40 ATM IV 90.5% 69.8% 187.4% 96.1% 84.8% Expected Move 24.9% 21.7% 28.9% 27.6% 24.3% HV 20d 57.7% 35.4% 71.0% 70.1% 47.1% HV 60d 71.8% 55.1% 94.6% 94.6% 58.8% IV Rank 35.6% 21.7% 100.0% 39.5% 31.4% IV Percentile 59.1% 35.3% 100.0% 72.2% 54.0% Term Structure -24.6% -86.2% 7.3% -35.3% -29.9% Bid-Ask Spread % 121.26 103.33 180.69 103.33 121.46 Gamma HHI 0.76 0.65 0.92 0.72 0.70 Net GEX 1.2K 834 1.9K 970 1.0K Net DEX -117.1K -157.2K -100.3K -132.6K -136.3K Net VEX -394 -442 -258 -431 -356 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 0.045 0 1 0 0 Total OI 14 14 14 14 14
Daily Data (22 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 2009-07-01 $203.20 $0.00 96.1% 27.6% 70.1% 39.5% 0.0% 0.0% -35.3% 970 -132.6K -431 0.00 103.33 N/A N/A 0 0 10 4 2009-07-02 $196.48 $0.00 99.5% 28.5% 70.8% 41.8% 0.0% 0.0% -38.6% 1.1K -118.5K -442 0.00 140.73 N/A N/A 0 0 10 4 2009-07-06 $197.44 $0.00 85.2% 24.4% 68.9% 32.1% 0.0% 0.0% -11.3% 1.3K -117.0K -417 0.00 111.17 N/A N/A 0 0 10 4 2009-07-07 $192.00 $0.00 85.6% 24.5% 69.4% 32.4% 0.0% 0.0% -6.7% 1.2K -112.0K -429 0.00 111.30 N/A N/A 0 0 10 4 2009-07-08 $183.04 $0.00 100.9% 28.9% 71.0% 42.8% 0.0% 0.0% -32.0% 1.2K -104.4K -417 0.00 109.22 N/A N/A 0 0 10 4 2009-07-09 $183.68 $0.00 69.8% 0.0% 69.8% 21.7% 0.0% 0.0% 7.3% 1.2K -104.8K -417 0.00 174.02 N/A N/A 0 0 10 4 2009-07-10 $184.32 $0.00 97.4% 27.9% 69.8% 40.4% 0.0% 0.0% -27.7% 1.3K -100.3K -421 0.00 104.34 N/A N/A 0 0 10 4 2009-07-13 $188.80 $0.00 88.9% 25.5% 68.5% 34.6% 0.0% 0.0% -13.6% 1.3K -105.4K -424 0.00 107.70 N/A N/A 0 0 10 4 2009-07-14 $185.92 $0.00 89.1% 25.5% 68.7% 34.8% 0.0% 0.0% -14.5% 1.3K -103.5K -413 0.00 111.93 N/A N/A 0 0 10 4 2009-07-15 $192.00 $0.00 85.3% 24.4% 69.0% 32.2% 0.0% 0.0% -14.1% 1.4K -109.7K -410 0.00 110.78 N/A N/A 0 0 10 4 2009-07-16 $192.00 $0.00 86.4% 24.8% 65.3% 33.0% 0.0% 0.0% -11.8% 1.3K -112.0K -406 0.00 110.78 N/A N/A 0 0 10 4 2009-07-17 $192.00 $0.00 87.6% 25.1% 57.6% 33.8% 0.0% 0.0% -17.4% 1.3K -111.8K -408 0.00 110.78 N/A N/A 0 0 10 4 2009-07-20 $191.04 $0.00 76.8% 22.0% 48.1% 26.5% 0.0% 0.0% -25.4% 1.3K -111.5K -397 0.00 119.33 N/A N/A 0 0 10 4 2009-07-21 $191.68 $0.00 75.5% 21.7% 47.1% 25.6% 0.0% 0.0% -24.7% 1.4K -109.6K -395 0.00 118.63 N/A N/A 0 0 10 4 2009-07-22 $191.36 $0.00 76.9% 22.1% 46.1% 26.5% 0.0% 0.0% -25.7% 1.3K -111.8K -391 0.00 119.76 N/A N/A 0 0 10 4 2009-07-23 $188.16 $0.00 80.2% 23.0% 46.8% 28.8% 0.0% 0.0% -28.4% 988 -112.4K -390 0.00 119.76 N/A N/A 0 0 10 4 2009-07-24 $192.00 $0.00 187.4% 0.0% 43.7% 100.0% 0.0% 0.0% -86.2% 1.9K -123.0K -258 0.00 180.69 N/A N/A 0 0 10 4 2009-07-27 $192.00 $0.00 83.6% 24.0% 35.4% 30.6% 0.0% 0.0% -20.6% 1.4K -110.0K -381 0.00 119.95 N/A N/A 0 0 10 4 2009-07-28 $205.44 $0.00 81.3% 23.3% 41.8% 29.1% 0.0% 0.0% -26.4% 1.1K -133.8K -364 0.00 121.28 N/A N/A 0 0 10 4 2009-07-29 $218.88 $0.00 92.2% 26.4% 46.0% 36.3% 0.0% 0.0% -29.6% 834 -157.2K -342 0.00 118.95 N/A N/A 1 0 10 4 2009-07-30 $208.32 $0.00 81.3% 23.3% 48.6% 29.1% 0.0% 0.0% -27.8% 1.0K -138.7K -362 0.00 121.86 N/A N/A 0 0 10 4 2009-07-31 $206.40 $0.00 84.8% 24.3% 47.1% 31.4% 0.0% 0.0% -29.9% 1.0K -136.3K -356 0.00 121.46 N/A N/A 0 0 10 4
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