DAVE Options History — January 2010 In January 2010, DAVE traded between $190.72 and $208.00. ATM implied volatility averaged 59.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 28.9% (HV 20d: 30.5%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2010-01-14 : Largest IV drop — 76.3% change2010-01-13 : Highest IV Rank — 64.0%2010-01-29 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $200.39 $190.72 $208.00 $190.72 $200.00 ATM IV 59.4% 32.5% 137.2% 60.8% 61.2% Expected Move 11.5% 8.6% 17.5% 11.7% 17.5% HV 20d 30.5% 27.6% 33.3% 32.5% 33.3% HV 60d 36.0% 32.5% 37.6% 37.4% 33.4% IV Rank 16.0% 0.0% 64.0% 15.7% 17.8% IV Percentile 26.9% 0.0% 94.4% 26.6% 31.3% Term Structure 5.4% -19.9% 21.7% 9.8% -19.9% Bid-Ask Spread % 43.64 17.73 79.04 78.49 19.15 Gamma HHI 0.81 0.73 0.89 0.73 0.77 Net GEX 371 191 538 191 478 Net DEX 5.3K -12.7K 22.7K 22.7K -10.6K Net VEX -97 -126 -64 -64 -117 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 6.158 3 9 8 4
Daily Data (19 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 2010-01-04 $190.72 $0.00 60.8% 11.7% 32.5% 15.7% 0.0% 0.0% 9.8% 191 22.7K -64 0.00 78.49 N/A N/A 0 0 5 3 2010-01-05 $194.24 $0.00 66.1% 11.1% 32.4% 19.0% 0.0% 0.0% 14.1% 222 22.0K -66 0.00 77.02 N/A N/A 0 0 5 3 2010-01-06 $192.96 $0.00 71.8% 11.5% 29.8% 22.7% 0.0% 0.0% 10.9% 246 20.9K -75 0.00 77.02 N/A N/A 0 0 5 3 2010-01-07 $197.76 $0.00 81.0% 12.4% 29.9% 28.5% 0.0% 0.0% 7.1% 310 18.8K -84 0.00 79.04 N/A N/A 0 0 5 3 2010-01-08 $201.60 $0.00 68.4% 9.5% 30.2% 20.5% 0.0% 0.0% 17.6% 283 18.7K -85 0.00 54.16 N/A N/A 0 0 5 3 2010-01-11 $200.96 $0.00 85.2% 8.6% 30.0% 31.1% 0.0% 0.0% 21.7% 280 19.9K -77 0.00 18.84 N/A N/A 0 0 5 3 2010-01-12 $203.20 $0.00 99.8% 10.2% 30.0% 40.4% 0.0% 0.0% 10.8% 282 20.9K -75 0.00 78.47 N/A N/A 0 0 5 3 2010-01-13 $198.08 $0.00 137.2% 12.5% 29.0% 64.0% 0.0% 0.0% -10.9% 266 14.1K -76 0.00 55.04 N/A N/A 0 0 5 3 2010-01-14 $205.76 $0.00 32.5% 9.3% 30.9% 0.0% 0.0% 0.0% 16.4% 375 9.9K -100 0.00 54.49 N/A N/A 0 0 6 3 2010-01-15 $203.84 $0.00 35.7% 10.2% 31.4% 2.0% 0.0% 0.0% 13.2% 360 11.3K -97 0.00 53.56 N/A N/A 0 0 6 3 2010-01-19 $200.64 $0.00 35.7% 10.2% 31.8% 2.0% 0.0% 0.0% 12.9% 349 -3.3K -89 0.00 19.08 N/A N/A 0 0 2 1 2010-01-20 $201.60 $0.00 36.9% 10.6% 31.8% 2.8% 0.0% 0.0% 12.6% 467 -7.0K -114 0.00 18.03 N/A N/A 0 0 3 1 2010-01-21 $200.96 $0.00 39.3% 11.3% 30.0% 4.2% 0.0% 0.0% -3.8% 452 -6.5K -112 0.00 19.06 N/A N/A 0 0 3 1 2010-01-22 $199.04 $0.00 49.1% 14.1% 29.4% 10.3% 0.0% 0.0% -11.7% 449 -6.9K -114 0.00 17.73 N/A N/A 0 0 3 1 2010-01-25 $201.28 $0.00 40.1% 11.5% 27.6% 4.7% 0.0% 0.0% -5.2% 487 -10.0K -119 0.00 19.08 N/A N/A 0 0 3 1 2010-01-26 $199.04 $0.00 52.9% 15.2% 27.7% 12.7% 0.0% 0.0% -14.3% 475 -9.8K -119 0.00 17.73 N/A N/A 0 0 3 1 2010-01-27 $208.00 $0.00 37.2% 10.7% 31.3% 2.9% 0.0% 0.0% 7.7% 537 -12.7K -126 0.00 54.88 N/A N/A 0 0 3 1 2010-01-28 $207.68 $0.00 37.8% 10.8% 30.9% 3.3% 0.0% 0.0% 13.5% 538 -12.2K -125 0.00 18.24 N/A N/A 0 0 3 1 2010-01-29 $200.00 $0.00 61.2% 17.5% 33.3% 17.8% 0.0% 0.0% -19.9% 478 -10.6K -117 0.00 19.15 N/A N/A 0 0 3 1
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