DAVE Options History — February 2010 In February 2010, DAVE traded between $201.28 and $221.44. ATM implied volatility averaged 43.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 12.6% (HV 20d: 30.6%). 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 2010-02-17 : Highest Volume — 6 contracts2010-02-11 : Largest IV drop — 38.8% change2010-02-10 : Highest IV Rank — 14.9%2010-02-04 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $209.62 $201.28 $221.44 $201.28 $213.76 ATM IV 43.2% 34.6% 56.6% 46.9% 42.3% Expected Move 11.7% 9.8% 14.4% 13.5% 12.1% HV 20d 30.6% 26.3% 33.2% 32.3% 29.8% HV 60d 32.5% 30.1% 33.6% 33.0% 30.1% IV Rank 6.6% 1.3% 14.9% 8.9% 6.1% IV Percentile 9.4% 0.4% 27.4% 10.7% 9.5% Term Structure 6.3% -12.6% 19.0% -9.3% 10.6% Skew 25d 6.4% 3.9% 7.7% 6.8% 7.7% Skew 10d 16.2% 14.4% 17.1% 14.4% 17.1% Call IV 25d 45.0% 42.9% 48.9% 44.6% 42.9% Put IV 25d 51.4% 50.6% 52.8% 51.4% 50.6% Bid-Ask Spread % 54.00 18.25 79.15 18.25 60.93 Gamma HHI 0.86 0.79 0.96 0.79 0.95 Net GEX 1.2K 492 2.5K 492 2.4K Net DEX -32.4K -77.5K -9.5K -9.5K -71.0K Net VEX -236 -471 -114 -114 -442 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 0.316 0 6 0 0 Total OI 6.211 4 10 4 10
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 2010-02-01 $201.28 $0.00 46.9% 13.5% 32.3% 8.9% 0.0% 0.0% -9.3% 492 -9.5K -114 0.00 18.25 N/A N/A 0 0 3 1 2010-02-02 $204.80 $0.00 43.0% 12.3% 32.1% 6.5% 0.0% 0.0% -12.6% 524 -10.9K -118 0.00 18.30 N/A N/A 0 0 3 1 2010-02-03 $204.80 $0.00 44.2% 12.7% 31.6% 7.2% 0.0% 0.0% -10.2% 531 -10.7K -118 0.00 18.30 N/A N/A 0 0 3 1 2010-02-04 $203.52 $0.00 50.2% 14.4% 31.6% 11.0% 0.0% 0.0% -11.5% 520 -10.6K -115 0.00 19.15 N/A N/A 0 0 3 1 2010-02-05 $208.32 $0.00 44.5% 12.1% 31.5% 7.4% 0.0% 0.0% 0.4% 554 -12.6K -122 0.00 66.90 N/A N/A 0 0 3 1 2010-02-08 $209.92 $0.00 48.0% 12.5% 30.9% 9.6% 0.0% 0.0% -0.4% 560 -12.6K -119 0.00 67.38 N/A N/A 0 0 3 1 2010-02-09 $207.68 $0.00 51.2% 9.8% 31.2% 11.6% 0.0% 0.0% 16.8% 549 -12.2K -119 0.00 78.61 N/A N/A 0 0 3 1 2010-02-10 $207.04 $0.00 56.6% 10.9% 31.0% 14.9% 0.0% 0.0% 16.1% 539 -11.0K -116 0.00 79.15 N/A N/A 0 0 3 1 2010-02-11 $206.40 $0.00 34.6% 9.9% 29.5% 1.3% 0.0% 0.0% 15.8% 550 -11.8K -116 0.00 77.77 N/A N/A 0 0 3 1 2010-02-12 $207.36 $0.00 37.3% 10.7% 26.3% 3.0% 0.0% 0.0% 19.0% 549 -11.1K -115 0.00 79.03 N/A N/A 0 0 3 1 2010-02-16 $210.88 $0.00 37.5% 10.7% 26.6% 3.1% 0.0% 0.0% 16.7% 576 -12.5K -115 0.00 78.70 N/A N/A 0 0 3 1 2010-02-17 $217.60 $0.00 48.4% 13.9% 27.8% 9.8% 0.0% 0.0% -1.2% 642 -15.1K -122 0.00 44.43 N/A N/A 6 0 3 1 2010-02-18 $221.44 $0.00 48.1% 13.8% 28.2% 9.7% 0.0% 0.0% 0.6% 2.5K -77.5K -471 0.00 44.34 N/A N/A 0 0 9 1 2010-02-19 $212.48 $0.00 38.2% 10.9% 32.5% 3.5% 0.0% 0.0% 15.0% 2.3K -65.2K -447 0.00 54.61 N/A N/A 0 0 9 1 2010-02-22 $209.60 $0.00 36.8% 10.6% 32.7% 2.7% 0.0% 6.8% 16.1% 2.2K -61.8K -425 0.00 54.75 N/A N/A 0 0 9 1 2010-02-23 $213.76 $0.00 37.7% 10.8% 33.2% 3.2% 0.0% 5.9% 11.6% 2.4K -70.5K -447 0.00 55.50 N/A N/A 0 0 9 1 2010-02-24 $211.20 $0.00 37.1% 10.6% 33.2% 2.8% 0.0% 3.9% 12.4% 2.3K -64.2K -422 0.00 54.93 N/A N/A 0 0 9 1 2010-02-25 $210.88 $0.00 37.7% 10.8% 29.5% 3.2% 0.0% 7.7% 13.7% 2.3K -65.6K -425 0.00 54.93 N/A N/A 0 0 9 1 2010-02-26 $213.76 $0.00 42.3% 12.1% 29.8% 6.1% 0.0% 7.7% 10.6% 2.4K -71.0K -442 0.00 60.93 N/A N/A 0 0 9 1
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