DAVE Options History — September 2010

In September 2010, DAVE traded between $260.80 and $304.00. ATM implied volatility averaged 46.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.2% (HV 20d: 34.8%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-09-16: Highest Volume — 5 contracts
  • 2010-09-21: Largest IV spike — 41.4% change
  • 2010-09-08: Highest IV Rank — 28.3%
  • 2010-09-15: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$282.80$260.80$304.00$265.28$302.40
Max Pain$240.00$240.00$240.00$240.00$240.00
ATM IV46.9%32.3%75.8%54.0%34.3%
Expected Move12.7%9.3%16.6%15.5%9.8%
HV 20d34.8%26.6%41.0%33.0%26.9%
HV 60d33.3%30.2%35.3%34.2%30.2%
IV Rank10.8%1.9%28.3%15.1%3.1%
IV Percentile38.5%0.4%92.5%61.9%2.8%
Term Structure7.4%-16.3%27.3%-16.3%18.2%
VWIV45.7%20.3%69.9%31.5%69.9%
Skew 25d8.4%-12.0%21.0%11.5%1.8%
Skew 10d14.2%-0.5%42.7%15.7%3.3%
Call IV 25d40.1%31.6%55.9%36.8%45.7%
Put IV 25d48.5%42.0%55.9%48.3%47.5%
Bid-Ask Spread %79.2137.29121.41121.4183.76
Gamma HHI0.540.410.700.670.43
Net GEX-4.4K-11.2K4.2K-9.5K4.2K
Net DEX93.2K-30.8K213.1K213.1K-21.4K
Net VEX-1.8K-2.1K-1.5K-2.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.005.330.000.00
Total Volume0.3810500
Total OI48.57147494849

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$265.28$240.0054.0%15.5%33.0%15.1%0.0%11.5%-16.3%-9.5K213.1K-2.1K0.00121.41N/AN/A001236
2010-09-02$272.00$240.0053.7%15.4%34.0%14.9%0.0%12.4%-12.6%-8.8K175.9K-2.0K0.00118.09N/AN/A001236
2010-09-03$276.80$240.0056.6%10.7%34.4%16.6%0.0%14.8%12.4%-8.3K139.1K-1.9K0.0098.21N/AN/A101236
2010-09-07$269.12$240.0056.5%13.2%36.2%16.6%0.0%12.2%10.3%-9.3K183.3K-2.0K0.0074.00N/AN/A001336
2010-09-08$260.80$240.0075.8%13.6%38.1%28.3%31.5%16.3%10.8%-8.2K168.9K-2.0K0.0089.98N/AN/A001336
2010-09-09$268.80$240.0049.8%14.3%39.5%12.5%0.0%10.2%6.1%-10.8K187.3K-2.0K0.0082.02N/AN/A001336
2010-09-10$268.48$240.0048.8%14.0%39.4%11.9%0.0%11.9%6.4%-11.2K187.8K-2.0K0.0070.75N/AN/A001336
2010-09-13$271.68$240.0053.6%15.4%39.6%14.8%0.0%12.1%3.4%-9.7K171.5K-1.9K0.0081.20N/AN/A001336
2010-09-14$272.96$240.0055.4%15.9%39.4%15.9%61.3%14.1%4.8%-8.3K153.4K-1.9K0.0037.29N/AN/A011336
2010-09-15$280.00$240.0058.0%16.6%40.1%17.5%0.0%14.5%-2.5%-4.0K89.7K-1.5K0.0037.93N/AN/A001336
2010-09-16$280.00$240.0042.8%12.3%40.1%8.3%34.6%18.8%2.8%-6.1K99.5K-1.7K5.3362.90N/AN/A141336
2010-09-17$287.68$240.0047.3%13.6%41.0%11.0%50.8%10.1%-1.7%-4.8K71.3K-1.8K0.0080.00N/AN/A001434
2010-09-20$289.60$240.0032.3%9.3%36.1%1.9%20.3%-2.0%27.3%-2.1K55.5K-1.6K0.0062.10N/AN/A001334
2010-09-21$290.24$240.0045.7%13.1%34.9%10.0%50.3%-12.0%12.1%-2.3K32.1K-1.7K0.0067.64N/AN/A001434
2010-09-22$294.40$240.0034.4%9.9%35.1%3.2%0.0%-2.3%16.5%-22333.1K-1.5K0.0281.66N/AN/A101334
2010-09-23$296.32$240.0034.2%9.8%30.1%3.0%29.6%0.9%17.6%80512.8K-1.6K0.1484.56N/AN/A001534
2010-09-24$294.72$240.0033.0%9.5%29.0%2.4%63.1%-0.5%16.7%82415.6K-1.6K0.0084.82N/AN/A001534
2010-09-27$293.12$240.0038.1%10.9%28.1%5.4%0.0%8.7%6.9%-83928.1K-1.5K0.0083.62N/AN/A001534
2010-09-28$300.48$240.0036.5%10.5%28.4%4.5%0.0%21.0%13.7%2.4K-8.4K-1.5K0.0084.14N/AN/A001534
2010-09-29$304.00$240.0044.7%12.8%26.6%9.4%0.0%2.5%1.7%3.1K-30.8K-1.5K0.0077.26N/AN/A001534
2010-09-30$302.40$240.0034.3%9.8%26.9%3.1%69.9%1.8%18.2%4.2K-21.4K-1.5K0.0083.76N/AN/A001534