DAVE Options History — February 2011 In February 2011, DAVE traded between $321.60 and $367.04. ATM implied volatility averaged 53.2%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 21.2% (HV 20d: 32.0%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-03 : Highest Volume — 2 contracts2011-02-28 : Largest IV spike — 260.9% change2011-02-28 : Highest IV Rank — 100.0%2011-02-22 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $339.22 $321.60 $367.04 $327.04 $328.32 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 53.2% 38.6% 180.8% 44.5% 180.8% Expected Move 13.2% 11.1% 16.2% 12.8% 14.4% HV 20d 32.0% 23.0% 37.5% 23.0% 35.4% HV 60d 29.3% 27.3% 31.3% 27.3% 30.9% IV Rank 23.7% 10.9% 100.0% 17.6% 100.0% IV Percentile 49.5% 16.3% 100.0% 37.7% 100.0% Term Structure 0.3% -7.6% 12.3% -0.4% -6.5% VWIV 47.9% 43.5% 52.2% 43.5% 52.2% Skew 25d 10.6% -0.8% 38.7% 0.8% 26.9% Skew 10d 22.1% 4.8% 62.8% 15.8% 43.2% Call IV 25d 47.8% 29.6% 126.1% 56.5% 126.1% Put IV 25d 58.4% 39.7% 153.0% 57.3% 153.0% Bid-Ask Spread % 115.58 82.81 177.80 121.92 177.80 Gamma HHI 0.66 0.49 0.94 0.67 0.53 Net GEX 3.3K 7 5.1K 3.8K 2.3K Net DEX -88.4K -155.0K -37.9K -80.2K -155.0K Net VEX -422 -515 -291 -419 -449 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 0.158 0 2 0 0 Total OI 10.421 9 12 9 9
Daily Data (19 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 2011-02-01 $327.04 $320.00 44.5% 12.8% 23.0% 17.6% 0.0% 0.8% -0.4% 3.8K -80.2K -419 0.00 121.92 N/A N/A 0 0 9 0 2011-02-02 $332.16 $320.00 46.3% 13.3% 24.1% 19.6% 0.0% 0.7% 0.3% 4.7K -89.2K -399 0.00 121.70 N/A N/A 0 0 9 0 2011-02-03 $342.72 $320.00 44.8% 12.8% 26.5% 17.9% 43.5% 14.9% 2.5% 4.7K -106.4K -474 0.00 116.09 N/A N/A 0 2 9 0 2011-02-04 $343.04 $0.00 41.2% 13.3% 26.2% 13.8% 0.0% 10.3% 0.8% 2.6K -95.8K -515 0.00 114.16 N/A N/A 0 0 9 2 2011-02-07 $352.00 $0.00 41.3% 11.7% 27.7% 13.9% 0.0% 17.9% 12.3% 3.6K -108.1K -485 0.00 104.18 N/A N/A 0 0 9 2 2011-02-08 $352.96 $0.00 42.5% 13.6% 27.7% 15.3% 0.0% 17.7% 0.1% 3.9K -111.1K -488 0.00 99.08 N/A N/A 0 0 9 2 2011-02-09 $352.96 $0.00 48.9% 11.1% 27.6% 22.7% 0.0% 2.5% 9.1% 3.8K -111.2K -486 0.00 116.90 N/A N/A 0 0 9 2 2011-02-10 $367.04 $0.00 39.9% 11.4% 30.0% 12.3% 0.0% 7.5% 6.2% 5.1K -138.2K -511 0.00 116.22 N/A N/A 0 0 9 2 2011-02-11 $349.12 $0.00 38.6% 11.1% 35.2% 10.9% 0.0% 1.6% 9.2% 3.3K -101.0K -474 0.00 117.22 N/A N/A 0 1 9 2 2011-02-14 $343.68 $0.00 45.4% 13.0% 35.6% 18.6% 0.0% 0.3% -4.1% 2.7K -72.0K -440 0.00 116.76 N/A N/A 0 0 9 3 2011-02-15 $343.04 $0.00 46.0% 13.2% 35.6% 19.3% 0.0% 7.7% -2.5% 2.5K -67.8K -429 0.00 82.81 N/A N/A 0 0 9 3 2011-02-16 $340.80 $0.00 47.1% 13.5% 34.8% 20.5% 0.0% -0.8% -7.4% 2.4K -68.1K -432 0.00 116.05 N/A N/A 0 0 9 3 2011-02-17 $342.40 $0.00 46.2% 13.2% 34.8% 19.5% 0.0% 1.6% -4.3% 2.6K -68.8K -420 0.00 118.45 N/A N/A 0 0 9 3 2011-02-18 $328.00 $0.00 47.5% 13.6% 37.5% 21.0% 0.0% 5.8% -1.3% 7 -37.9K -356 0.00 113.84 N/A N/A 0 0 9 3 2011-02-22 $325.12 $0.00 56.4% 16.2% 37.5% 31.2% 0.0% 10.2% -7.6% 3.6K -63.0K -306 0.00 110.90 N/A N/A 0 0 9 0 2011-02-23 $321.60 $0.00 53.5% 15.3% 36.0% 27.9% 52.2% 38.7% -1.7% 3.3K -57.4K -291 0.00 100.62 N/A N/A 0 0 9 0 2011-02-24 $323.20 $320.00 49.5% 14.2% 36.1% 23.4% 0.0% 33.4% 0.4% 3.9K -69.2K -324 0.00 111.51 N/A N/A 0 0 9 0 2011-02-25 $329.92 $320.00 50.1% 14.4% 37.0% 24.0% 0.0% 3.6% -6.5% 4.4K -80.2K -326 0.00 119.83 N/A N/A 0 0 9 0 2011-02-28 $328.32 $320.00 180.8% 0.0% 35.4% 100.0% 0.0% 26.9% 0.0% 2.3K -155.0K -449 0.00 177.80 N/A N/A 0 0 9 0
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