DAVE Options History — August 2009 In August 2009, DAVE traded between $182.40 and $196.48. ATM implied volatility averaged 87.0%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 38.5% (HV 20d: 48.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2009-08-11 : Largest IV spike — 82.0% change2009-08-04 : Highest IV Rank — 97.7%2009-08-04 : Largest Expected Move — 52.7%Monthly Statistics Metric Avg Min Max Open Close Price $188.68 $182.40 $196.48 $194.56 $184.00 ATM IV 87.0% 55.9% 183.9% 101.2% 88.8% Expected Move 25.5% 17.9% 52.7% 29.0% 25.2% HV 20d 48.4% 31.5% 53.0% 51.9% 31.5% HV 60d 54.5% 52.1% 59.2% 59.2% 52.1% IV Rank 32.6% 12.1% 97.7% 42.4% 32.6% IV Percentile 48.4% 12.7% 99.2% 79.8% 59.9% Term Structure -46.2% -117.5% 2.6% -35.9% -100.0% Bid-Ask Spread % 148.49 123.05 181.34 123.05 180.89 Gamma HHI 0.78 0.72 0.98 0.75 0.77 Net GEX 1.5K 1.1K 1.9K 1.3K 1.4K Net DEX -104.0K -117.8K -89.4K -117.2K -93.5K Net VEX -328 -371 -152 -364 -327 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 14.714 14 15 14 15
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 2009-08-03 $194.56 $0.00 101.2% 29.0% 51.9% 42.4% 0.0% 0.0% -35.9% 1.3K -117.2K -364 0.00 123.05 N/A N/A 0 0 10 4 2009-08-04 $196.48 $0.00 183.9% 52.7% 51.0% 97.7% 0.0% 0.0% -32.3% 1.2K -117.8K -371 0.00 180.82 N/A N/A 0 0 10 4 2009-08-05 $190.72 $0.00 112.6% 32.3% 49.0% 50.0% 0.0% 0.0% -43.4% 1.3K -105.4K -371 0.00 125.77 N/A N/A 0 0 10 4 2009-08-06 $182.72 $0.00 93.0% 26.7% 51.5% 36.9% 0.0% 0.0% -37.9% 1.6K -89.4K -364 0.00 124.33 N/A N/A 0 0 10 4 2009-08-07 $187.52 $0.00 110.9% 18.8% 52.4% 48.8% 0.0% 0.0% -24.8% 1.1K -107.7K -363 0.00 125.98 N/A N/A 0 0 10 4 2009-08-10 $186.88 $0.00 66.5% 0.0% 51.7% 19.2% 0.0% 0.0% -89.4% 1.6K -101.5K -351 0.00 180.70 N/A N/A 0 0 10 4 2009-08-11 $184.96 $0.00 121.0% 17.9% 51.5% 55.6% 0.0% 0.0% 1.1% 1.5K -95.5K -360 0.00 123.31 N/A N/A 0 0 10 5 2009-08-12 $188.80 $0.00 66.1% 0.0% 50.7% 18.9% 0.0% 0.0% -101.3% 1.5K -101.9K -350 0.00 180.63 N/A N/A 0 0 10 5 2009-08-13 $192.00 $0.00 70.0% 20.1% 51.1% 21.6% 0.0% 0.0% -10.2% 1.4K -109.1K -334 0.00 125.87 N/A N/A 0 0 10 5 2009-08-14 $191.68 $0.00 71.2% 20.4% 51.1% 22.3% 0.0% 0.0% -27.3% 1.2K -107.5K -361 0.00 125.87 N/A N/A 0 0 10 5 2009-08-17 $188.80 $0.00 55.9% 0.0% 51.3% 12.1% 0.0% 0.0% 0.0% 1.9K -112.9K -152 0.00 181.34 N/A N/A 0 0 10 5 2009-08-18 $182.40 $0.00 63.8% 18.3% 52.7% 17.4% 0.0% 0.0% 2.6% 1.7K -89.7K -336 0.00 164.45 N/A N/A 0 0 10 5 2009-08-19 $183.04 $0.00 66.9% 0.0% 52.7% 19.5% 0.0% 0.0% -110.9% 1.6K -94.3K -330 0.00 180.89 N/A N/A 0 0 10 5 2009-08-20 $186.88 $0.00 65.4% 0.0% 53.0% 18.5% 0.0% 0.0% -117.5% 1.6K -99.5K -324 0.00 180.80 N/A N/A 0 0 10 5 2009-08-21 $187.84 $0.00 65.6% 0.0% 52.5% 18.6% 0.0% 0.0% 0.0% 1.7K -100.5K -325 0.00 181.14 N/A N/A 0 0 10 5 2009-08-24 $189.44 $0.00 82.9% 23.8% 52.6% 30.2% 0.0% 0.0% -28.4% 1.6K -102.3K -321 0.00 126.87 N/A N/A 0 0 10 5 2009-08-25 $192.32 $0.00 82.6% 23.7% 46.5% 29.9% 0.0% 0.0% -36.1% 1.6K -110.6K -308 0.00 126.67 N/A N/A 0 0 10 5 2009-08-26 $190.40 $0.00 83.2% 23.9% 39.3% 29.8% 0.0% 0.0% -22.0% 1.6K -109.1K -299 0.00 125.91 N/A N/A 0 0 10 5 2009-08-27 $192.00 $0.00 86.3% 24.8% 36.3% 30.9% 0.0% 0.0% -32.6% 1.5K -111.0K -304 0.00 126.08 N/A N/A 0 0 10 5 2009-08-28 $188.80 $0.00 88.1% 25.2% 36.5% 32.1% 0.0% 0.0% -31.4% 1.8K -107.6K -278 0.00 126.83 N/A N/A 0 0 10 5 2009-08-31 $184.00 $0.00 88.8% 0.0% 31.5% 32.6% 0.0% 0.0% -100.0% 1.4K -93.5K -327 0.00 180.89 N/A N/A 0 0 10 5
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