DAVE Options History — November 2009 In November 2009, DAVE traded between $180.48 and $199.04. ATM implied volatility averaged 59.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 17.1% (HV 20d: 42.1%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-11-24 : Largest IV spike — 49.1% change2009-11-10 : Highest IV Rank — 30.2%2009-11-05 : Largest Expected Move — 20.9%Monthly Statistics Metric Avg Min Max Open Close Price $192.46 $180.48 $199.04 $197.44 $191.36 Max Pain $80.00 $80.00 $80.00 $80.00 $80.00 ATM IV 59.2% 45.5% 83.8% 59.5% 57.2% Expected Move 15.3% 12.7% 20.9% 17.1% 16.4% HV 20d 42.1% 36.4% 55.8% 55.1% 36.4% HV 60d 43.9% 42.9% 46.2% 43.7% 45.2% IV Rank 14.7% 6.0% 30.2% 14.9% 13.4% IV Percentile 16.9% 2.8% 52.0% 14.3% 15.1% Term Structure -9.7% -30.1% 9.2% -19.7% 8.8% Bid-Ask Spread % 67.53 26.51 133.79 28.73 78.20 Gamma HHI 0.78 0.61 0.87 0.78 0.71 Net GEX 299 232 353 315 335 Net DEX 1.3K -7.0K 16.2K -7.0K 13.0K Net VEX -172 -209 -122 -209 -144 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 8.05 8 9 8 8
Daily Data (20 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 2009-11-02 $197.44 $80.00 59.5% 17.1% 55.1% 14.9% 0.0% 0.0% -19.7% 315 -7.0K -209 0.00 28.73 N/A N/A 0 0 5 3 2009-11-03 $192.64 $80.00 57.3% 16.4% 55.8% 13.5% 0.0% 0.0% -15.7% 280 -1.2K -181 0.00 26.51 N/A N/A 0 0 5 3 2009-11-04 $195.20 $80.00 62.4% 17.9% 44.5% 16.7% 0.0% 0.0% -22.7% 301 -4.7K -195 0.00 28.87 N/A N/A 0 0 5 3 2009-11-05 $199.04 $80.00 73.0% 20.9% 45.0% 23.4% 0.0% 0.0% -30.1% 303 -2.3K -172 0.00 59.43 N/A N/A 0 0 5 3 2009-11-06 $197.12 $0.00 67.4% 12.7% 40.4% 19.9% 0.0% 0.0% -7.2% 305 -4.0K -188 0.00 98.03 N/A N/A 0 0 5 3 2009-11-09 $195.52 $0.00 73.8% 13.5% 40.5% 23.9% 0.0% 0.0% -7.5% 299 -4.5K -190 0.00 84.39 N/A N/A 0 0 5 3 2009-11-10 $196.48 $0.00 83.8% 14.0% 40.5% 30.2% 0.0% 0.0% -10.9% 305 -4.4K -185 0.00 85.71 N/A N/A 0 0 5 3 2009-11-11 $196.80 $0.00 78.6% 12.9% 40.3% 27.0% 0.0% 0.0% -6.4% 299 -2.9K -179 0.00 83.94 N/A N/A 0 0 5 3 2009-11-12 $195.84 $0.00 46.4% 13.3% 40.2% 6.6% 0.0% 0.0% -5.8% 293 -3.1K -182 0.00 133.79 N/A N/A 0 0 5 3 2009-11-13 $196.80 $0.00 46.3% 13.3% 38.0% 6.5% 0.0% 0.0% -5.5% 306 -3.4K -181 0.00 58.28 N/A N/A 0 0 5 3 2009-11-16 $193.60 $0.00 61.8% 17.7% 38.3% 16.3% 0.0% 0.0% -18.0% 304 -2.1K -177 0.00 113.00 N/A N/A 0 0 5 3 2009-11-17 $195.20 $0.00 48.1% 13.8% 38.2% 7.7% 0.0% 0.0% -6.8% 300 -2.0K -174 0.00 65.67 N/A N/A 0 0 5 3 2009-11-18 $192.64 $0.00 48.7% 14.0% 36.7% 8.1% 0.0% 0.0% 9.2% 293 -1.0K -166 0.00 68.87 N/A N/A 0 0 5 3 2009-11-19 $182.40 $0.00 45.5% 13.0% 40.7% 6.0% 0.0% 0.0% -11.0% 234 6.6K -135 0.00 64.28 N/A N/A 0 0 5 3 2009-11-20 $182.08 $0.00 51.2% 14.7% 39.9% 9.6% 0.0% 0.0% -13.0% 232 9.9K -122 0.00 71.71 N/A N/A 0 0 6 3 2009-11-23 $181.44 $0.00 47.2% 13.5% 39.6% 7.1% 0.0% 0.0% 3.3% 247 16.2K -124 0.00 62.99 N/A N/A 0 0 5 3 2009-11-24 $180.48 $0.00 70.4% 20.2% 38.2% 21.7% 0.0% 0.0% -11.6% 324 7.7K -184 0.00 82.08 N/A N/A 0 0 5 3 2009-11-25 $193.60 $0.00 54.1% 15.5% 47.1% 11.5% 0.0% 0.0% -16.6% 353 7.6K -181 0.00 28.31 N/A N/A 0 0 5 3 2009-11-27 $193.60 $0.00 50.7% 14.5% 47.1% 9.3% 0.0% 0.0% -6.8% 349 8.1K -177 0.00 27.87 N/A N/A 0 0 5 3 2009-11-30 $191.36 $0.00 57.2% 16.4% 36.4% 13.4% 0.0% 0.0% 8.8% 335 13.0K -144 0.00 78.20 N/A N/A 0 0 5 3
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