DAVE Options History — September 2009 In September 2009, DAVE traded between $171.20 and $192.00. ATM implied volatility averaged 63.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 28.0% (HV 20d: 35.4%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-09-08 : Highest Volume — 1 contracts2009-09-10 : Largest IV drop — 34.5% change2009-09-08 : Highest IV Rank — 42.0%2009-09-02 : Largest Expected Move — 22.8%Monthly Statistics Metric Avg Min Max Open Close Price $183.09 $171.20 $192.00 $177.60 $187.20 Max Pain $160.00 $160.00 $160.00 $160.00 $160.00 ATM IV 63.4% 50.0% 104.5% 64.6% 62.1% Expected Move 17.2% 14.3% 22.8% 22.8% 17.8% HV 20d 35.4% 28.6% 42.1% 33.1% 39.4% HV 60d 46.7% 41.4% 52.7% 52.5% 41.4% IV Rank 12.1% 1.5% 42.0% 14.0% 9.9% IV Percentile 16.3% 0.8% 82.5% 16.7% 10.3% Term Structure 8.0% -22.6% 114.8% -20.8% -2.1% VWIV 85.0% 85.0% 85.0% 85.0% 85.0% Bid-Ask Spread % 109.39 69.89 187.88 181.89 98.13 Gamma HHI 0.87 0.77 0.98 0.85 0.93 Net GEX 2.0K 840 2.7K 2.0K 1.7K Net DEX -109.3K -142.3K -69.3K -84.7K -132.8K Net VEX -223 -292 -127 -292 -140 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 0.143 0 1 0 0 Total OI 16.095 15 17 15 16
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 2009-09-01 $177.60 $0.00 64.6% 0.0% 33.1% 14.0% 0.0% 0.0% 0.0% 2.0K -84.7K -292 0.00 181.89 N/A N/A 0 0 10 5 2009-09-02 $172.48 $0.00 79.5% 22.8% 33.1% 24.5% 0.0% 0.0% -20.8% 2.4K -69.3K -291 0.00 129.18 N/A N/A 0 0 10 5 2009-09-03 $171.20 $0.00 71.1% 0.0% 29.9% 18.6% 0.0% 0.0% 0.0% 2.0K -70.7K -288 0.00 182.37 N/A N/A 0 0 10 5 2009-09-04 $173.44 $160.00 80.9% 18.9% 28.6% 25.4% 0.0% 0.0% 5.2% 2.1K -75.5K -286 0.00 98.46 N/A N/A 0 0 10 5 2009-09-08 $179.20 $160.00 104.5% 18.8% 31.4% 42.0% 0.0% 0.0% 5.3% 2.4K -83.7K -263 0.00 83.44 N/A N/A 0 1 10 5 2009-09-09 $183.04 $160.00 76.3% 21.9% 32.3% 22.2% 85.0% 0.0% -11.6% 1.5K -98.3K -272 0.00 85.40 N/A N/A 1 0 10 6 2009-09-10 $188.16 $160.00 50.0% 14.3% 33.0% 3.8% 0.0% 0.0% 15.3% 1.8K -119.2K -229 0.00 96.53 N/A N/A 0 0 11 6 2009-09-11 $185.28 $160.00 57.4% 16.5% 32.8% 9.0% 0.0% 0.0% -1.4% 2.0K -108.1K -273 0.00 97.92 N/A N/A 0 0 11 6 2009-09-14 $183.68 $160.00 68.5% 19.6% 32.9% 16.8% 0.0% 0.0% 3.9% 1.7K -103.4K -273 0.00 97.87 N/A N/A 0 0 11 6 2009-09-15 $186.24 $160.00 53.8% 15.4% 32.9% 6.4% 0.0% 0.0% 114.8% 1.7K -137.1K -159 0.00 187.88 N/A N/A 0 0 11 6 2009-09-16 $186.24 $160.00 51.4% 14.7% 30.4% 4.8% 0.0% 0.0% 15.2% 2.3K -120.7K -205 0.00 70.95 N/A N/A 0 0 11 6 2009-09-17 $186.24 $160.00 52.3% 15.0% 30.4% 2.9% 0.0% 0.0% 13.6% 2.3K -119.2K -213 0.00 101.10 N/A N/A 1 0 11 6 2009-09-18 $174.72 $160.00 66.6% 19.1% 37.2% 13.2% 0.0% 0.0% -22.6% 2.1K -84.3K -282 0.00 100.19 N/A N/A 0 0 11 6 2009-09-21 $182.72 $160.00 58.6% 16.8% 40.8% 7.4% 0.0% 0.0% 0.0% 2.7K -114.1K -208 0.00 117.44 N/A N/A 0 0 11 5 2009-09-22 $184.00 $160.00 53.8% 15.4% 40.8% 4.0% 0.0% 0.0% 1.1% 2.6K -117.3K -207 0.00 69.89 N/A N/A 0 0 11 5 2009-09-23 $184.64 $160.00 57.0% 16.3% 40.4% 6.2% 0.0% 0.0% -4.1% 2.5K -118.5K -194 0.00 97.51 N/A N/A 0 0 11 5 2009-09-24 $184.32 $160.00 55.8% 16.0% 40.3% 5.4% 0.0% 0.0% -2.1% 2.5K -118.9K -188 0.00 117.59 N/A N/A 0 0 11 5 2009-09-25 $190.72 $160.00 59.6% 17.1% 42.1% 8.1% 0.0% 0.0% 0.0% 1.5K -136.6K -163 0.00 112.06 N/A N/A 0 0 11 5 2009-09-28 $191.68 $160.00 50.4% 14.5% 41.7% 1.5% 0.0% 0.0% 0.0% 840 -142.3K -127 0.00 74.16 N/A N/A 0 0 11 5 2009-09-29 $192.00 $160.00 58.3% 16.7% 40.5% 7.2% 0.0% 0.0% 0.0% 987 -141.0K -128 0.00 97.22 N/A N/A 0 0 11 5 2009-09-30 $187.20 $160.00 62.1% 17.8% 39.4% 9.9% 0.0% 0.0% 0.0% 1.7K -132.8K -140 0.00 98.13 N/A N/A 0 0 11 5
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