DAVE Options History — August 2010

In August 2010, DAVE traded between $256.64 and $288.00. ATM implied volatility averaged 52.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 27.6% (HV 20d: 24.4%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-08-16: Largest IV spike — 94.5% change
  • 2010-08-16: Highest IV Rank — 39.4%
  • 2010-08-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$265.93$256.64$288.00$257.60$265.28
Max Pain$254.12$240.00$320.00$240.00$240.00
ATM IV52.0%39.7%94.2%43.2%46.6%
Expected Move13.9%11.4%16.6%12.4%13.3%
HV 20d24.4%12.9%33.7%33.7%33.0%
HV 60d34.9%31.5%39.2%39.2%34.3%
IV Rank13.8%6.4%39.4%8.5%10.5%
IV Percentile48.6%14.3%96.8%23.4%36.9%
Term Structure-2.4%-12.9%9.5%-2.3%-6.4%
VWIV47.6%47.5%47.8%47.5%47.8%
Skew 25d13.6%-7.2%35.4%3.8%21.9%
Skew 10d24.5%-0.8%80.5%19.9%44.2%
Call IV 25d38.9%30.0%58.5%46.9%32.6%
Put IV 25d52.4%33.4%86.7%50.7%54.5%
Bid-Ask Spread %113.3367.12175.2167.62117.90
Gamma HHI0.640.550.700.670.70
Net GEX-8.3K-10.4K-6.3K-8.6K-10.4K
Net DEX214.2K82.1K268.4K268.4K227.8K
Net VEX-2.3K-2.5K-1.9K-2.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume00000
Total OI48.40948494848

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$257.60$240.0043.2%12.4%33.7%8.5%0.0%3.8%-2.3%-8.6K268.4K-2.5K0.0067.62N/AN/A001236
2010-08-03$257.28$240.0046.5%13.3%31.4%10.5%0.0%-1.7%-0.9%-8.4K261.9K-2.5K0.0067.12N/AN/A001236
2010-08-04$256.64$240.0048.1%13.8%31.2%11.5%0.0%-3.7%-8.6%-8.4K265.3K-2.5K0.0068.66N/AN/A001236
2010-08-05$256.96$240.0053.5%15.3%31.2%14.7%0.0%6.0%-1.9%-8.2K253.4K-2.5K0.0086.92N/AN/A001236
2010-08-06$258.56$0.0052.4%15.1%25.8%14.1%0.0%35.4%9.5%-8.2K262.0K-2.4K0.00111.39N/AN/A001236
2010-08-09$259.52$0.0055.6%12.8%25.1%16.1%0.0%-7.2%6.7%-9.3K268.0K-2.4K0.00121.11N/AN/A001236
2010-08-10$260.16$0.0057.6%13.3%22.6%17.3%0.0%6.3%1.6%-8.6K239.6K-2.4K0.00121.30N/AN/A001336
2010-08-11$260.48$0.0057.7%13.1%19.8%17.3%0.0%22.3%8.8%-8.3K247.4K-2.4K0.00121.11N/AN/A001336
2010-08-12$258.56$0.0046.7%13.4%20.0%10.6%47.5%21.1%4.7%-8.9K249.1K-2.4K0.00121.11N/AN/A001336
2010-08-13$259.52$320.0048.4%13.9%14.3%11.7%0.0%20.2%3.0%-8.4K232.5K-2.4K0.00120.81N/AN/A001336
2010-08-16$257.92$320.0094.2%0.0%14.0%39.4%0.0%0.0%0.0%-8.5K244.4K-2.3K0.00175.21N/AN/A001336
2010-08-17$261.12$320.0049.5%14.2%13.9%12.3%47.8%28.8%-5.7%-9.3K254.4K-2.3K0.00121.28N/AN/A001336
2010-08-18$262.72$240.0048.3%13.9%12.9%11.6%0.0%13.0%5.3%-8.6K232.5K-2.3K0.00120.13N/AN/A001336
2010-08-19$265.28$240.0052.7%15.1%12.9%14.3%0.0%12.7%-9.9%-8.2K209.8K-2.3K0.00120.20N/AN/A001336
2010-08-20$280.64$240.0041.0%11.8%23.1%7.2%0.0%18.3%-12.5%-6.8K134.4K-2.3K0.00119.92N/AN/A001336
2010-08-23$288.00$240.0039.7%11.4%23.7%6.4%0.0%-2.1%1.2%-6.6K82.1K-1.9K0.00116.36N/AN/A001236
2010-08-24$285.76$240.0041.3%11.8%23.8%7.4%0.0%23.3%0.2%-6.3K103.9K-2.1K0.00118.73N/AN/A001236
2010-08-25$272.64$240.0054.0%15.5%30.0%15.1%0.0%19.3%-12.9%-7.1K163.2K-2.2K0.00119.50N/AN/A001236
2010-08-26$280.00$240.0054.8%15.7%30.6%15.6%0.0%16.1%-8.4%-8.5K148.2K-2.1K0.00119.18N/AN/A001236
2010-08-27$274.88$240.0053.4%15.3%31.4%14.7%0.0%16.0%-9.7%-8.2K173.6K-2.1K0.00118.08N/AN/A001236
2010-08-30$271.04$240.0057.8%16.6%31.9%17.3%0.0%14.8%-12.8%-8.3K190.2K-2.1K0.00119.63N/AN/A001236
2010-08-31$265.28$240.0046.6%13.3%33.0%10.5%0.0%21.9%-6.4%-10.4K227.8K-2.1K0.00117.90N/AN/A001236