DAVE Options History — December 2009 In December 2009, DAVE traded between $179.20 and $193.60. ATM implied volatility averaged 54.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 17.4% (HV 20d: 36.5%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-12-07 : Largest IV spike — 40.0% change2009-12-07 : Highest IV Rank — 27.1%2009-12-03 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $188.09 $179.20 $193.60 $192.32 $193.60 Max Pain $240.00 $240.00 $240.00 $240.00 $240.00 ATM IV 54.0% 41.3% 78.8% 57.7% 55.8% Expected Move 14.2% 11.8% 17.0% 16.5% 16.0% HV 20d 36.5% 30.3% 40.5% 36.4% 33.0% HV 60d 44.0% 42.0% 45.7% 45.1% 42.1% IV Rank 11.4% 3.3% 27.1% 13.7% 12.6% IV Percentile 14.3% 2.8% 43.3% 16.3% 18.7% Term Structure -6.1% -26.2% 14.0% -19.9% -12.8% VWIV 54.0% 54.0% 54.0% 54.0% 54.0% Bid-Ask Spread % 47.65 17.50 98.15 34.19 19.63 Gamma HHI 0.72 0.60 0.79 0.60 0.75 Net GEX 261 179 347 347 218 Net DEX 18.5K 2.8K 23.1K 2.8K 22.1K Net VEX -88 -190 -56 -190 -69 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 8 8 8 8
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 2009-12-01 $192.32 $0.00 57.7% 16.5% 36.4% 13.7% 0.0% 0.0% -19.9% 347 2.8K -190 0.00 34.19 N/A N/A 0 0 5 3 2009-12-02 $192.32 $0.00 56.0% 16.0% 35.3% 12.6% 0.0% 0.0% -14.5% 276 17.7K -107 0.00 34.95 N/A N/A 0 0 5 3 2009-12-03 $188.16 $0.00 59.4% 17.0% 35.8% 14.8% 0.0% 0.0% -22.9% 248 20.0K -89 0.00 29.85 N/A N/A 0 0 5 3 2009-12-04 $192.00 $240.00 56.3% 12.0% 35.8% 12.8% 0.0% 0.0% 13.6% 295 17.4K -103 0.00 98.15 N/A N/A 0 0 5 3 2009-12-07 $185.60 $240.00 78.8% 15.8% 37.5% 27.1% 0.0% 0.0% -26.2% 289 16.8K -122 0.00 74.39 N/A N/A 0 0 5 3 2009-12-08 $190.08 $240.00 68.9% 11.8% 38.6% 20.8% 0.0% 0.0% 14.0% 272 18.8K -92 0.00 58.74 N/A N/A 0 0 5 3 2009-12-09 $192.96 $240.00 76.4% 12.5% 39.0% 25.5% 0.0% 0.0% 9.1% 302 17.3K -99 0.00 58.30 N/A N/A 0 0 5 3 2009-12-10 $191.36 $240.00 49.7% 14.2% 39.1% 8.7% 0.0% 0.0% -5.3% 306 17.5K -100 0.00 67.44 N/A N/A 0 0 5 3 2009-12-11 $190.40 $240.00 42.5% 12.2% 39.1% 4.1% 0.0% 0.0% 12.1% 271 19.1K -87 0.00 62.15 N/A N/A 0 0 5 3 2009-12-14 $184.32 $240.00 44.4% 12.7% 40.5% 5.3% 0.0% 0.0% 8.7% 230 21.1K -78 0.00 55.50 N/A N/A 0 0 5 3 2009-12-15 $182.40 $240.00 59.1% 16.9% 40.3% 14.6% 0.0% 0.0% -22.9% 288 16.7K -117 0.00 56.52 N/A N/A 0 0 5 3 2009-12-16 $184.32 $240.00 53.9% 15.5% 40.4% 11.3% 0.0% 0.0% -14.8% 277 17.6K -108 0.00 54.02 N/A N/A 0 0 5 3 2009-12-17 $182.40 $240.00 45.5% 13.0% 40.3% 6.0% 0.0% 0.0% -8.0% 227 21.0K -74 0.00 74.88 N/A N/A 0 0 5 3 2009-12-18 $183.68 $240.00 50.2% 14.4% 35.5% 9.0% 0.0% 0.0% -3.0% 231 21.0K -76 0.00 60.60 N/A N/A 0 0 5 3 2009-12-21 $179.20 $240.00 41.3% 11.8% 36.6% 3.3% 0.0% 0.0% 12.5% 179 23.1K -58 0.00 56.61 N/A N/A 0 0 5 3 2009-12-22 $184.00 $240.00 43.4% 12.4% 37.8% 4.7% 0.0% 0.0% 6.0% 201 22.4K -58 0.00 58.33 N/A N/A 0 0 5 3 2009-12-23 $190.08 $240.00 46.6% 13.4% 39.3% 6.7% 0.0% 0.0% -11.7% 253 20.6K -64 0.00 19.91 N/A N/A 0 0 5 3 2009-12-24 $188.16 $240.00 46.7% 13.4% 30.3% 6.8% 54.0% 0.0% -12.8% 243 20.8K -62 0.00 18.66 N/A N/A 0 0 5 3 2009-12-28 $189.12 $240.00 50.3% 14.4% 30.4% 9.1% 0.0% 0.0% -12.6% 255 17.8K -60 0.00 18.83 N/A N/A 0 0 5 3 2009-12-29 $192.64 $240.00 54.0% 15.5% 30.9% 11.4% 0.0% 0.0% -15.8% 291 17.1K -62 0.00 17.50 N/A N/A 0 0 5 3 2009-12-30 $188.80 $240.00 50.1% 14.4% 31.7% 8.9% 0.0% 0.0% -6.4% 241 18.2K -56 0.00 19.10 N/A N/A 0 0 5 3 2009-12-31 $193.60 $240.00 55.8% 16.0% 33.0% 12.6% 0.0% 0.0% -12.8% 218 22.1K -69 0.00 19.63 N/A N/A 0 0 5 3
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