DAVE Options History — November 2010

In November 2010, DAVE traded between $287.68 and $316.80. ATM implied volatility averaged 47.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 14.7% (HV 20d: 33.0%). 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 8 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2010-11-16: Highest Volume — 1 contracts
  • 2010-11-22: Largest IV spike — 41.0% change
  • 2010-11-08: Highest IV Rank — 25.0%
  • 2010-11-23: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$303.01$287.68$316.80$295.04$316.80
Max Pain$305.00$240.00$320.00$320.00$320.00
ATM IV47.8%35.8%56.2%48.3%49.9%
Expected Move13.3%10.3%15.6%13.8%14.3%
HV 20d33.0%24.0%38.0%38.0%24.0%
HV 60d33.3%31.2%35.3%34.2%31.2%
IV Rank17.2%6.2%25.0%17.7%19.2%
IV Percentile48.6%7.1%76.2%50.4%59.1%
Term Structure-1.8%-12.2%8.7%-1.7%-2.9%
VWIV47.6%44.1%52.8%49.1%46.2%
Skew 25d7.6%-9.6%49.7%0.7%49.7%
Skew 10d7.2%-10.4%73.3%1.3%73.3%
Call IV 25d49.1%37.1%61.6%48.8%59.0%
Put IV 25d56.6%46.2%108.7%49.5%108.7%
Bid-Ask Spread %114.10106.32121.82117.60115.94
Gamma HHI0.500.430.600.560.43
Net GEX-2.9K-5.1K-749-4.0K-926
Net DEX-4.8K-67.1K36.2K26.0K-67.1K
Net VEX-1.2K-1.4K-992-1.2K-992
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0010.000.000.00
Total Volume0.0950100
Total OI36.90536383638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$295.04$320.0048.3%13.8%38.0%17.7%0.0%0.7%-1.7%-4.0K26.0K-1.2K0.00117.60N/AN/A001224
2010-11-02$298.56$320.0044.0%12.6%37.3%13.7%0.0%11.9%1.0%-3.8K17.6K-1.3K0.00116.02N/AN/A001224
2010-11-03$292.48$320.0050.5%14.5%33.4%19.7%0.0%11.8%-12.2%-5.0K32.5K-1.2K0.00118.38N/AN/A001224
2010-11-04$291.52$320.0037.5%10.8%31.1%7.7%0.0%21.8%4.1%-4.3K20.6K-1.1K0.00116.97N/AN/A001224
2010-11-05$291.84$0.0042.6%10.8%31.1%12.4%0.0%6.3%-2.5%-4.2K19.7K-1.2K0.00116.40N/AN/A001224
2010-11-08$287.68$0.0056.2%11.4%31.1%25.0%0.0%3.4%-5.3%-5.1K36.2K-1.2K0.00116.06N/AN/A001224
2010-11-09$291.52$0.0049.6%11.7%31.8%18.9%0.0%6.7%-2.2%-4.5K28.5K-1.2K0.00117.82N/AN/A001224
2010-11-10$300.80$0.0049.0%13.4%34.2%18.4%0.0%12.2%8.7%-4.4K3.1K-1.2K0.00113.78N/AN/A001324
2010-11-11$304.96$0.0048.4%13.9%34.5%17.8%49.1%2.6%1.9%-2.3K5.5K-1.4K0.00112.66N/AN/A001324
2010-11-12$309.76$240.0049.9%14.3%34.5%19.2%0.0%4.6%-3.0%-2.4K-17.1K-1.2K0.00108.55N/AN/A001324
2010-11-15$313.60$240.0050.5%14.5%33.6%19.7%0.0%3.8%-3.9%-1.5K-44.5K-1.2K0.00109.13N/AN/A001324
2010-11-16$307.84$240.0050.8%14.6%34.0%20.1%52.8%5.7%-1.8%-1.8K-12.1K-1.3K10.00114.95N/AN/A011324
2010-11-17$308.16$320.0045.7%13.1%34.0%15.3%45.7%-2.2%1.2%-2.4K-6.6K-1.2K0.00107.78N/AN/A001324
2010-11-18$307.84$320.0044.1%12.6%33.2%13.8%44.1%-0.4%2.3%-2.2K-20.4K-1.2K0.00106.32N/AN/A101324
2010-11-19$306.56$320.0035.8%10.3%33.1%6.2%0.0%17.9%3.0%-2.2K-21.5K-1.2K0.00110.82N/AN/A001324
2010-11-22$301.12$320.0050.5%14.5%33.4%19.7%46.2%-4.8%-9.8%-2.8K967-1.1K0.00114.44N/AN/A001324
2010-11-23$299.52$320.0054.3%15.6%33.4%23.3%0.0%-9.6%-12.0%-3.4K16.0K-1.2K0.00111.21N/AN/A001325
2010-11-24$307.84$320.0042.6%12.2%35.0%12.5%0.0%1.7%5.7%-2.0K-17.7K-1.2K0.00121.82N/AN/A001325
2010-11-26$315.20$320.0049.6%14.2%36.2%18.9%0.0%14.5%-2.2%-872-45.9K-1.1K0.00113.17N/AN/A001325
2010-11-29$314.56$320.0053.3%15.3%26.6%22.4%0.0%0.4%-5.4%-749-53.7K-1.1K0.00116.25N/AN/A001325
2010-11-30$316.80$320.0049.9%14.3%24.0%19.2%0.0%49.7%-2.9%-926-67.1K-9920.00115.94N/AN/A001325