DAVE Options History — August 2011 In August 2011, DAVE traded between $272.00 and $331.52. ATM implied volatility averaged 70.0%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 23.5% (HV 20d: 46.5%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.73.
Notable Days 2011-08-26 : Highest Volume — 2 contracts2011-08-25 : Largest IV spike — 60.7% change2011-08-25 : Highest IV Rank — 59.6%2011-08-11 : Largest Expected Move — 24.3%Monthly Statistics Metric Avg Min Max Open Close Price $303.47 $272.00 $331.52 $331.52 $305.60 Max Pain $240.00 $240.00 $240.00 $240.00 $240.00 ATM IV 70.0% 34.3% 119.4% 41.1% 76.8% Expected Move 17.7% 5.1% 24.3% 11.8% 22.0% HV 20d 46.5% 22.1% 57.8% 28.2% 55.9% HV 60d 39.8% 30.2% 43.7% 30.2% 43.4% IV Rank 27.2% 3.7% 59.6% 8.2% 31.6% IV Percentile 78.1% 7.9% 99.2% 34.1% 92.9% Term Structure -6.3% -38.8% 161.5% -3.0% -9.9% Skew 25d -7.1% -138.9% 40.6% 5.0% 11.2% Skew 10d -7.8% -90.3% 22.4% 17.2% 9.6% Call IV 25d 81.0% 36.3% 193.2% 41.9% 88.7% Put IV 25d 73.9% 35.2% 143.3% 46.9% 99.9% Bid-Ask Spread % 122.82 106.42 151.19 106.70 118.05 Gamma HHI 0.69 0.53 0.86 0.86 0.65 Net GEX 2.7K 578 5.1K 4.1K 2.4K Net DEX -80.9K -149.2K 662 -149.2K -107.3K Net VEX -820 -1.0K -681 -747 -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.73 0.00 8.50 8.50 0.16 Total Volume 0.348 0 2 1 0 Total OI 15.348 12 19 12 19
Daily Data (23 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 2011-08-01 $331.52 $240.00 41.1% 11.8% 28.2% 8.2% 0.0% 5.0% -3.0% 4.1K -149.2K -747 8.50 106.70 N/A N/A 0 1 8 4 2011-08-02 $328.00 $240.00 40.6% 11.6% 27.8% 7.9% 0.0% 5.4% -1.6% 3.9K -140.8K -786 0.00 107.88 N/A N/A 0 0 9 5 2011-08-03 $314.24 $240.00 34.3% 9.8% 22.1% 3.7% 0.0% 5.8% 0.1% 3.8K -107.4K -794 0.00 112.52 N/A N/A 0 0 9 5 2011-08-04 $299.20 $240.00 35.1% 10.1% 27.0% 4.3% 0.0% 14.6% 2.2% 3.5K -64.2K -746 0.00 109.38 N/A N/A 0 0 9 5 2011-08-05 $296.64 $0.00 35.3% 9.3% 24.2% 4.4% 0.0% -2.2% -1.0% 3.3K -61.8K -750 0.00 106.42 N/A N/A 0 1 9 5 2011-08-08 $272.00 $0.00 54.3% 0.0% 36.7% 16.9% 0.0% -29.8% 0.0% 1.4K 662 -681 0.00 150.25 N/A N/A 0 0 9 6 2011-08-09 $276.80 $0.00 81.9% 5.1% 38.0% 35.0% 0.0% -138.9% 161.5% 578 -59.1K -774 0.00 124.11 N/A N/A 1 0 9 6 2011-08-10 $272.00 $0.00 112.6% 0.0% 37.7% 55.2% 0.0% 40.6% 0.0% 1.4K -4.4K -723 0.00 151.19 N/A N/A 0 0 9 6 2011-08-11 $274.88 $0.00 84.8% 24.3% 38.2% 36.9% 0.0% 2.4% -15.8% 1.4K -42.0K -824 0.00 117.01 N/A N/A 0 0 9 6 2011-08-12 $302.08 $0.00 83.2% 0.0% 53.9% 35.9% 0.0% -50.0% -36.3% 816 -98.2K -832 0.00 150.02 N/A N/A 0 0 9 6 2011-08-15 $306.24 $0.00 66.8% 19.2% 54.4% 25.1% 0.0% 6.9% -27.1% 3.3K -75.7K -844 0.00 117.73 N/A N/A 0 0 9 6 2011-08-16 $311.36 $0.00 67.3% 19.3% 55.0% 25.4% 0.0% 8.6% -25.3% 3.4K -87.9K -846 0.00 117.57 N/A N/A 0 0 9 6 2011-08-17 $317.12 $0.00 68.1% 19.5% 55.6% 26.0% 0.0% 11.3% -26.0% 3.7K -107.1K -862 0.00 115.23 N/A N/A 0 0 9 6 2011-08-18 $317.44 $0.00 83.6% 24.0% 55.7% 36.1% 0.0% -44.8% -38.8% 5.1K -91.8K -685 0.00 148.45 N/A N/A 0 0 9 6 2011-08-19 $303.68 $0.00 72.5% 20.8% 57.4% 28.9% 0.0% 5.9% -20.2% 2.4K -75.8K -852 0.00 116.74 N/A N/A 0 0 9 6 2011-08-22 $305.28 $0.00 73.4% 21.0% 57.5% 29.4% 0.0% 7.3% -26.1% 2.7K -73.4K -829 0.00 116.73 N/A N/A 0 0 9 6 2011-08-23 $304.96 $0.00 70.6% 20.2% 57.4% 27.6% 0.0% 14.0% -16.9% 3.2K -63.7K -749 0.00 117.47 N/A N/A 0 1 9 6 2011-08-24 $301.44 $0.00 74.3% 21.3% 57.4% 30.0% 0.0% 13.9% -5.4% 2.1K -68.7K -832 0.00 117.78 N/A N/A 1 0 9 7 2011-08-25 $305.60 $0.00 119.4% 0.0% 57.2% 59.6% 0.0% -82.5% 0.0% 1.1K -59.2K -760 0.00 149.87 N/A N/A 0 1 9 7 2011-08-26 $310.72 $0.00 76.6% 22.0% 57.5% 31.6% 0.0% 8.0% -13.7% 2.0K -90.0K -910 0.16 117.19 N/A N/A 2 0 9 7 2011-08-29 $314.56 $0.00 79.8% 22.9% 57.6% 33.7% 0.0% 10.3% -16.4% 2.8K -120.7K -995 0.00 118.10 N/A N/A 0 0 11 8 2011-08-30 $308.48 $0.00 77.7% 22.3% 57.8% 32.2% 0.0% 14.5% -6.3% 2.5K -112.9K -1.0K 0.00 118.50 N/A N/A 0 0 11 8 2011-08-31 $305.60 $0.00 76.8% 22.0% 55.9% 31.6% 0.0% 11.2% -9.9% 2.4K -107.3K -1.0K 0.00 118.05 N/A N/A 0 0 11 8
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