DAVE Options History — January 2011 In January 2011, DAVE traded between $321.92 and $361.28. ATM implied volatility averaged 42.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 17.4% (HV 20d: 25.5%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-01-25 : Largest IV spike — 48.9% change2011-01-12 : Highest IV Rank — 30.5%2011-01-31 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $349.31 $321.92 $361.28 $356.16 $321.92 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 42.8% 30.7% 62.1% 35.4% 49.0% Expected Move 11.7% 8.4% 14.0% 10.1% 14.0% HV 20d 25.5% 18.9% 34.3% 33.6% 21.8% HV 60d 29.4% 26.4% 30.6% 30.3% 27.2% IV Rank 14.5% 1.8% 30.5% 5.7% 22.7% IV Percentile 34.0% 1.2% 92.9% 6.7% 61.9% Term Structure 4.1% -8.5% 24.2% -0.4% 4.9% VWIV 41.2% 34.2% 50.1% 39.3% 34.2% Skew 25d 5.5% -6.6% 26.1% 5.0% 5.7% Skew 10d 17.2% -0.7% 61.8% 10.2% 17.1% Call IV 25d 39.1% 29.6% 56.1% 39.7% 56.1% Put IV 25d 44.5% 36.9% 66.8% 44.7% 61.8% Bid-Ask Spread % 112.61 104.10 117.62 113.24 112.97 Gamma HHI 0.79 0.67 0.87 0.87 0.67 Net GEX 5.8K 3.8K 7.4K 6.8K 3.8K Net DEX -167.2K -211.7K -79.6K -201.0K -79.6K Net VEX -575 -679 -408 -679 -408 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0 0 0 0 0 Total OI 23 9 29 29 9
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-01-03 $356.16 $320.00 35.4% 10.1% 33.6% 5.7% 39.3% 5.0% -0.4% 6.8K -201.0K -679 0.00 113.24 N/A N/A 0 0 14 15 2011-01-04 $355.20 $320.00 38.4% 11.0% 33.6% 8.5% 0.0% 9.8% -6.6% 6.7K -202.9K -677 0.00 115.84 N/A N/A 0 0 14 15 2011-01-05 $359.68 $320.00 38.7% 11.1% 33.7% 8.9% 0.0% 13.4% -8.5% 7.4K -210.3K -660 0.00 106.35 N/A N/A 0 0 14 15 2011-01-06 $354.88 $320.00 39.2% 11.2% 34.3% 9.3% 0.0% 3.0% 0.1% 6.5K -197.7K -662 0.00 115.75 N/A N/A 0 0 14 15 2011-01-07 $358.72 $0.00 40.0% 10.6% 33.0% 10.1% 0.0% 6.2% 14.0% 7.0K -201.8K -635 0.00 116.73 N/A N/A 0 0 14 15 2011-01-10 $359.04 $0.00 48.5% 11.7% 29.9% 17.9% 0.0% 4.4% 11.8% 7.1K -209.9K -650 0.00 105.39 N/A N/A 0 0 14 15 2011-01-11 $361.28 $0.00 43.5% 8.4% 21.2% 13.3% 0.0% 12.1% 10.1% 7.1K -211.7K -640 0.00 106.70 N/A N/A 0 0 14 15 2011-01-12 $353.92 $0.00 62.1% 13.1% 22.7% 30.5% 0.0% 0.5% -4.9% 7.2K -194.0K -672 0.00 116.29 N/A N/A 0 0 14 15 2011-01-13 $355.20 $0.00 41.7% 12.0% 22.6% 14.4% 0.0% 3.1% 5.7% 6.2K -197.8K -591 0.00 117.36 N/A N/A 0 0 14 15 2011-01-14 $354.88 $0.00 44.9% 12.9% 22.6% 18.1% 0.0% 0.8% -2.9% 7.3K -197.2K -646 0.00 116.27 N/A N/A 0 0 14 15 2011-01-18 $353.60 $0.00 44.8% 12.9% 22.7% 18.0% 0.0% 5.0% 1.2% 6.9K -190.1K -583 0.00 104.10 N/A N/A 0 0 14 15 2011-01-19 $345.92 $0.00 45.8% 13.1% 23.7% 19.1% 50.1% -0.9% -3.2% 4.7K -172.6K -522 0.00 116.36 N/A N/A 0 0 14 15 2011-01-20 $347.20 $320.00 40.6% 11.6% 21.9% 13.1% 0.0% 9.7% 8.4% 4.8K -178.0K -519 0.00 115.56 N/A N/A 0 0 14 15 2011-01-21 $351.68 $320.00 39.1% 11.2% 22.4% 11.4% 34.2% 11.6% 12.4% 4.9K -186.9K -532 0.00 106.28 N/A N/A 0 0 14 15 2011-01-24 $351.36 $320.00 30.7% 8.8% 22.2% 1.8% 0.0% 3.6% 24.2% 5.0K -119.5K -529 0.00 109.06 N/A N/A 0 0 9 0 2011-01-25 $339.84 $320.00 45.7% 13.1% 24.7% 19.0% 0.0% -1.5% -1.8% 4.5K -108.5K -507 0.00 114.35 N/A N/A 0 0 9 0 2011-01-26 $338.24 $320.00 46.0% 13.2% 22.1% 19.3% 0.0% -1.7% -3.2% 4.4K -102.6K -477 0.00 117.62 N/A N/A 0 0 9 0 2011-01-27 $338.88 $320.00 47.8% 13.7% 18.9% 21.4% 0.0% 26.1% 8.0% 4.4K -97.1K -467 0.00 114.90 N/A N/A 0 0 9 0 2011-01-28 $328.64 $320.00 34.9% 10.0% 21.3% 6.5% 0.0% -6.6% 12.4% 4.0K -84.1K -437 0.00 111.07 N/A N/A 0 0 9 0 2011-01-31 $321.92 $320.00 49.0% 14.0% 21.8% 22.7% 0.0% 5.7% 4.9% 3.8K -79.6K -408 0.00 112.97 N/A N/A 0 0 9 0
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