DAVE Options History — April 2010 In April 2010, DAVE traded between $254.72 and $300.80. ATM implied volatility averaged 43.7%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 11.0% (HV 20d: 54.7%). Max pain ranged from $160.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2010-04-06 : Highest Volume — 2 contracts2010-04-19 : Largest IV spike — 49.4% change2010-04-14 : Highest IV Rank — 19.0%2010-04-14 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $288.59 $254.72 $300.80 $254.72 $300.16 Max Pain $179.05 $160.00 $240.00 $240.00 $160.00 ATM IV 43.7% 29.1% 63.1% 33.9% 46.7% Expected Move 12.4% 8.4% 13.8% 9.7% 13.4% HV 20d 54.7% 36.5% 63.7% 61.1% 36.5% HV 60d 44.7% 42.8% 45.8% 42.8% 44.0% IV Rank 7.9% 0.0% 19.0% 0.8% 10.7% IV Percentile 19.7% 0.0% 53.6% 0.4% 28.6% Term Structure 1.4% -4.3% 15.6% 15.6% -0.2% VWIV 44.0% 33.4% 47.7% 33.4% 44.3% Skew 25d -1.5% -17.2% 30.9% 30.9% -2.7% Skew 10d 2.6% -24.4% 62.2% 62.2% -0.2% Call IV 25d 42.7% 30.8% 53.7% 37.7% 40.5% Put IV 25d 41.2% 34.0% 68.6% 68.6% 37.8% Bid-Ask Spread % 48.86 28.68 67.12 58.16 32.82 Gamma HHI 0.83 0.48 0.93 0.48 0.74 Net GEX 2.5K 1.1K 4.2K 1.3K 4.2K Net DEX -202.4K -265.9K -75.6K -75.6K -265.9K Net VEX -1.3K -1.3K -1.1K -1.2K -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.00 8.57 0.00 0.07 Total Volume 0.619 0 2 1 0 Total OI 24.667 22 28 22 28
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 2010-04-01 $254.72 $240.00 33.9% 9.7% 61.1% 0.8% 33.4% 30.9% 15.6% 1.3K -75.6K -1.2K 0.00 58.16 N/A N/A 1 0 12 10 2010-04-05 $268.80 $240.00 40.8% 13.7% 61.9% 5.1% 0.0% 16.2% 1.0% 1.1K -116.4K -1.2K 0.00 55.28 N/A N/A 0 0 12 10 2010-04-06 $268.48 $240.00 43.0% 13.3% 61.9% 6.5% 0.0% 9.7% 0.0% 1.2K -121.0K -1.2K 8.57 53.32 N/A N/A 0 2 12 10 2010-04-07 $282.88 $240.00 46.1% 12.9% 63.7% 8.4% 45.6% -11.0% -1.3% 1.1K -156.2K -1.1K 0.00 52.40 N/A N/A 2 0 12 10 2010-04-08 $288.00 $240.00 41.9% 12.6% 63.6% 5.9% 0.0% -7.6% -0.2% 1.3K -172.3K -1.1K 0.00 55.36 N/A N/A 1 0 12 10 2010-04-09 $300.80 $160.00 38.0% 12.4% 60.4% 3.4% 0.0% -2.1% 1.5% 2.7K -246.2K -1.3K 0.00 49.35 N/A N/A 0 0 15 10 2010-04-12 $295.36 $160.00 46.4% 13.3% 61.7% 8.6% 46.6% -5.0% -3.1% 2.7K -230.4K -1.3K 0.00 43.26 N/A N/A 0 0 15 10 2010-04-13 $292.80 $160.00 52.4% 12.6% 62.0% 12.3% 0.0% -5.5% -0.5% 2.8K -230.7K -1.3K 0.00 50.84 N/A N/A 0 0 15 10 2010-04-14 $294.40 $160.00 63.1% 13.8% 57.3% 19.0% 0.0% 4.6% -4.3% 2.5K -228.6K -1.3K 0.00 42.82 N/A N/A 0 0 15 10 2010-04-15 $293.44 $160.00 43.5% 12.5% 55.2% 6.8% 43.0% 4.5% 0.8% 2.5K -222.1K -1.3K 0.07 53.98 N/A N/A 1 0 15 10 2010-04-16 $280.96 $160.00 29.1% 8.4% 57.8% 0.0% 0.0% 3.3% 14.5% 2.3K -184.1K -1.3K 0.00 67.12 N/A N/A 1 0 15 10 2010-04-19 $288.32 $160.00 43.5% 12.5% 57.3% 8.7% 44.4% 5.4% 0.1% 2.8K -201.8K -1.3K 0.50 59.82 N/A N/A 0 0 15 10 2010-04-20 $289.92 $160.00 38.4% 11.0% 55.4% 5.6% 0.0% -8.3% 0.7% 2.8K -205.1K -1.3K 0.00 60.16 N/A N/A 0 0 15 10 2010-04-21 $288.00 $160.00 44.0% 12.6% 55.3% 9.0% 0.0% -6.8% -0.8% 2.8K -202.3K -1.3K 0.00 59.82 N/A N/A 0 0 15 10 2010-04-22 $290.88 $160.00 39.2% 11.2% 55.2% 6.1% 0.0% -6.6% -2.4% 2.8K -215.9K -1.3K 0.00 53.86 N/A N/A 0 0 15 10 2010-04-23 $294.72 $160.00 42.2% 12.1% 55.2% 7.9% 0.0% -0.8% 3.6% 3.0K -224.5K -1.3K 0.00 59.04 N/A N/A 0 0 15 10 2010-04-26 $294.08 $160.00 47.8% 13.7% 55.4% 11.3% 0.0% -17.2% -0.0% 2.9K -223.2K -1.3K 0.00 28.68 N/A N/A 1 0 15 10 2010-04-27 $295.68 $160.00 47.1% 13.5% 38.2% 10.9% 47.7% -14.3% 1.6% 3.2K -233.3K -1.3K 0.00 29.77 N/A N/A 1 0 16 10 2010-04-28 $297.28 $160.00 46.4% 13.3% 37.1% 10.4% 46.9% -3.9% 1.3% 3.4K -241.5K -1.3K 0.38 29.90 N/A N/A 1 0 17 10 2010-04-29 $300.80 $160.00 43.9% 12.6% 37.0% 8.9% 44.3% -14.5% 1.0% 3.6K -253.5K -1.2K 0.07 30.30 N/A N/A 2 0 17 10 2010-04-30 $300.16 $160.00 46.7% 13.4% 36.5% 10.7% 0.0% -2.7% -0.2% 4.2K -265.9K -1.3K 0.00 32.82 N/A N/A 0 0 18 10
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