DAVE Options History — June 2010

In June 2010, DAVE traded between $262.40 and $301.44. ATM implied volatility averaged 50.1%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 10.1% (HV 20d: 40.0%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2010-06-30: Highest Volume — 13 contracts
  • 2010-06-29: Largest IV spike — 58.1% change
  • 2010-06-09: Highest IV Rank — 24.6%
  • 2010-06-29: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$279.36$262.40$301.44$269.12$267.20
Max Pain$250.91$240.00$320.00$320.00$240.00
ATM IV50.1%38.9%69.7%54.4%59.1%
Expected Move13.5%11.2%18.0%15.6%16.9%
HV 20d40.0%30.5%49.9%49.9%36.8%
HV 60d45.6%39.9%49.9%49.8%40.4%
IV Rank12.7%5.9%24.6%15.3%18.2%
IV Percentile38.0%12.3%71.0%50.0%64.3%
Term Structure4.6%-12.2%20.1%-6.9%-12.2%
VWIV46.0%32.5%56.5%44.3%32.5%
Skew 25d1.5%-5.5%11.8%-2.1%1.6%
Skew 10d12.8%-3.0%25.7%14.1%15.9%
Call IV 25d49.2%39.1%67.3%56.9%43.5%
Put IV 25d50.7%38.8%65.0%54.8%45.1%
Bid-Ask Spread %118.94113.16122.03113.61121.77
Gamma HHI0.550.500.630.570.52
Net GEX2.1K1.5K2.8K1.6K1.8K
Net DEX-164.7K-275.5K-69.8K-104.5K-95.6K
Net VEX-1.4K-1.5K-1.3K-1.5K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0010.0010.000.00
Total Volume0.864013013
Total OI36.77336393639

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$269.12$320.0054.4%15.6%49.9%15.3%0.0%-2.1%-6.9%1.6K-104.5K-1.5K0.00113.61N/AN/A002016
2010-06-02$267.84$320.0054.7%15.7%49.9%15.5%0.0%-0.4%-8.5%1.9K-101.7K-1.5K10.00113.85N/AN/A002016
2010-06-03$272.00$320.0055.9%16.0%45.9%16.2%0.0%-0.2%-12.0%2.0K-123.6K-1.4K0.00113.16N/AN/A012016
2010-06-04$269.76$240.0054.8%12.9%46.0%15.5%44.3%-0.3%4.9%1.8K-107.6K-1.5K0.00119.53N/AN/A002016
2010-06-07$262.40$240.0058.9%13.3%44.3%18.0%0.0%-5.5%5.2%1.7K-69.8K-1.5K0.00121.25N/AN/A002016
2010-06-08$265.28$240.0067.2%13.6%40.1%23.0%0.0%8.7%6.3%1.8K-84.2K-1.4K0.00121.22N/AN/A002016
2010-06-09$262.40$240.0069.7%14.0%39.3%24.6%50.2%8.4%2.6%1.7K-74.7K-1.4K0.00122.03N/AN/A002016
2010-06-10$266.88$240.0048.3%13.8%39.7%11.6%0.0%1.1%3.4%1.8K-93.7K-1.4K0.00121.56N/AN/A002016
2010-06-11$271.68$240.0048.7%14.0%40.4%11.8%46.2%8.0%6.1%1.6K-110.1K-1.4K6.00120.56N/AN/A002016
2010-06-14$280.96$240.0046.3%13.3%40.4%10.4%0.0%10.7%-0.9%1.5K-150.5K-1.3K0.09118.28N/AN/A002017
2010-06-15$281.60$240.0047.1%13.5%40.4%10.9%0.0%11.8%2.2%1.9K-159.7K-1.4K0.00119.45N/AN/A102017
2010-06-16$288.64$240.0040.4%11.6%41.2%6.8%0.0%8.7%13.7%2.2K-208.6K-1.4K0.00120.54N/AN/A102117
2010-06-17$301.44$240.0039.6%11.4%42.5%6.4%0.0%-0.3%16.8%2.3K-275.5K-1.4K0.00119.38N/AN/A002217
2010-06-18$293.76$240.0042.6%12.2%42.9%8.2%56.5%2.8%5.9%2.7K-249.8K-1.4K1.00117.90N/AN/A002217
2010-06-21$291.20$240.0044.6%12.8%40.8%9.4%0.0%-3.4%6.6%2.5K-237.0K-1.4K10.00119.17N/AN/A001917
2010-06-22$293.44$240.0045.8%13.1%39.0%10.1%0.0%-4.0%-0.6%2.5K-244.8K-1.3K0.00119.58N/AN/A001917
2010-06-23$296.00$240.0038.9%11.2%32.2%5.9%0.0%-2.2%20.1%2.2K-252.5K-1.3K0.00118.52N/AN/A101917
2010-06-24$288.96$240.0041.0%11.7%31.2%7.2%0.0%-4.7%16.6%2.8K-237.7K-1.4K0.00119.68N/AN/A002017
2010-06-25$291.52$240.0041.1%11.8%30.5%7.2%0.0%-0.5%13.2%2.6K-243.3K-1.4K0.00119.34N/AN/A002017
2010-06-28$288.32$240.0039.7%11.4%31.0%6.4%32.5%-3.0%18.1%2.3K-233.5K-1.3K0.00118.83N/AN/A002017
2010-06-29$275.52$240.0062.8%18.0%35.0%20.4%0.0%-1.7%0.9%2.6K-165.6K-1.4K0.00117.52N/AN/A022017
2010-06-30$267.20$240.0059.1%16.9%36.8%18.2%0.0%1.6%-12.2%1.8K-95.6K-1.5K0.00121.77N/AN/A0132019