DAVE Options History — July 2010

In July 2010, DAVE traded between $246.08 and $271.68. ATM implied volatility averaged 65.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 25.7% (HV 20d: 39.6%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2010-07-15: Highest Volume — 7 contracts
  • 2010-07-15: Largest IV drop — 51.5% change
  • 2010-07-14: Highest IV Rank — 52.9%
  • 2010-07-26: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$256.46$246.08$271.68$256.96$255.68
Max Pain$281.90$240.00$320.00$240.00$240.00
ATM IV65.2%45.6%116.4%57.6%53.4%
Expected Move15.8%13.1%17.6%16.5%15.3%
HV 20d39.6%33.6%43.3%38.8%33.6%
HV 60d40.0%38.7%40.9%39.6%39.1%
IV Rank21.9%10.0%52.9%17.2%14.7%
IV Percentile67.1%29.4%97.6%61.5%52.8%
Term Structure-2.1%-17.6%11.6%0.3%-11.5%
VWIV54.9%51.2%58.1%55.4%51.2%
Skew 25d11.2%-1.5%21.7%11.8%0.6%
Skew 10d24.3%16.4%52.5%16.4%27.4%
Call IV 25d46.5%40.2%54.0%49.5%46.6%
Put IV 25d57.7%47.2%66.6%61.4%47.2%
Bid-Ask Spread %96.7265.53118.94110.5965.53
Gamma HHI0.590.480.670.490.64
Net GEX-5.0K-7.8K-847-847-7.7K
Net DEX180.8K38.5K281.4K63.1K239.9K
Net VEX-2.6K-2.8K-2.4K-2.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.000.640.000.00
Total Volume0.7140761
Total OI52.8148615148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$256.96$240.0057.6%16.5%38.8%17.2%0.0%11.8%0.3%-84763.1K-2.4K0.00110.59N/AN/A062031
2010-07-02$256.32$240.0057.6%16.5%38.7%17.3%0.0%12.5%-0.4%-2.6K130.2K-2.8K0.00114.83N/AN/A002037
2010-07-06$248.00$320.0063.2%16.5%39.2%20.7%0.0%12.7%-4.4%-2.3K177.3K-2.7K0.00114.39N/AN/A002037
2010-07-07$246.08$320.0064.4%17.0%38.9%21.4%0.0%12.6%-3.7%-2.0K198.9K-2.7K0.00112.19N/AN/A002037
2010-07-08$247.04$320.0067.6%16.1%38.9%23.3%0.0%10.9%-2.1%-2.4K179.0K-2.6K0.00116.02N/AN/A002037
2010-07-09$259.52$320.0074.0%16.3%42.6%27.2%0.0%13.2%-2.3%-2.6K123.2K-2.7K0.00116.26N/AN/A002038
2010-07-12$264.00$320.0093.3%13.6%42.6%38.9%0.0%-1.3%8.4%-2.8K78.0K-2.6K0.00118.94N/AN/A002038
2010-07-13$271.68$320.00107.9%13.4%42.1%47.7%0.0%3.4%9.1%-3.3K38.5K-2.6K0.00117.53N/AN/A002038
2010-07-14$263.36$320.00116.4%13.6%43.3%52.9%0.0%-1.5%5.5%-3.3K75.4K-2.6K0.60118.26N/AN/A102038
2010-07-15$263.04$320.0056.4%16.2%42.0%16.5%0.0%17.1%-2.7%-5.5K68.4K-2.5K0.6478.16N/AN/A431938
2010-07-16$253.12$320.0057.5%16.5%39.6%17.2%0.0%17.6%-3.5%-1.8K110.0K-2.6K0.0086.63N/AN/A002338
2010-07-19$250.88$320.0045.6%13.1%39.1%10.0%0.0%13.2%11.6%-7.8K279.2K-2.6K0.0087.46N/AN/A001236
2010-07-20$254.40$320.0053.4%15.3%39.8%14.7%55.4%15.5%6.0%-7.7K266.5K-2.6K0.0088.91N/AN/A001236
2010-07-21$251.20$240.0055.8%16.0%39.5%16.1%0.0%14.7%-4.3%-7.6K281.4K-2.6K0.0090.38N/AN/A001236
2010-07-22$253.76$240.0059.9%17.2%39.6%18.6%0.0%21.1%-8.7%-7.3K254.3K-2.6K0.0071.41N/AN/A001236
2010-07-23$254.40$240.0057.7%16.5%39.3%17.3%58.1%18.5%-5.9%-7.5K265.1K-2.6K0.0071.41N/AN/A001236
2010-07-26$259.52$240.0061.4%17.6%40.0%19.6%0.0%21.7%-17.6%-7.1K236.6K-2.6K0.0072.76N/AN/A001236
2010-07-27$257.92$240.0054.9%15.7%40.0%15.6%0.0%3.4%-7.5%-7.4K249.9K-2.6K0.0091.14N/AN/A001236
2010-07-28$261.12$240.0059.2%17.0%37.5%18.2%0.0%3.6%-11.4%-7.3K240.3K-2.5K0.0074.64N/AN/A001236
2010-07-29$257.60$240.0052.8%15.1%36.3%14.4%51.2%14.0%0.8%-7.6K242.4K-2.5K0.00113.73N/AN/A001236
2010-07-30$255.68$240.0053.4%15.3%33.6%14.7%0.0%0.6%-11.5%-7.7K239.9K-2.5K0.0065.53N/AN/A011236