DAVE Options History — September 2011

In September 2011, DAVE traded between $274.88 and $303.68. ATM implied volatility averaged 88.0%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 56.6% (HV 20d: 31.4%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2011-09-28: Highest Volume — 2 contracts
  • 2011-09-29: Largest IV spike — 221.1% change
  • 2011-09-29: Highest IV Rank — 100.0%
  • 2011-09-30: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$293.79$274.88$303.68$300.80$274.88
Max Pain$320.00$320.00$320.00$320.00$320.00
ATM IV88.0%41.4%186.8%80.8%99.5%
Expected Move18.6%9.7%28.5%23.2%28.5%
HV 20d31.4%16.1%53.4%53.4%31.9%
HV 60d40.0%37.5%43.6%43.6%38.8%
IV Rank38.7%8.4%100.0%34.3%44.8%
IV Percentile88.4%36.9%100.0%94.4%94.8%
Term Structure19.6%-15.2%148.7%-9.3%148.7%
VWIV69.0%52.5%79.1%75.3%52.5%
Skew 25d8.0%-98.6%46.9%13.9%-98.6%
Skew 10d7.8%-119.5%43.5%6.6%-119.5%
Call IV 25d71.2%35.9%183.1%90.0%152.6%
Put IV 25d79.2%48.3%172.7%103.9%53.9%
Bid-Ask Spread %126.18117.47158.26118.14155.32
Gamma HHI0.610.490.820.650.49
Net GEX2.5K1.2K4.3K2.4K1.2K
Net DEX-70.0K-101.7K-12.1K-100.6K-12.1K
Net VEX-926-1.1K-710-998-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.002.001.001.00
Total Volume0.2380200
Total OI20.90519251925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$300.80$0.0080.8%23.2%53.4%34.3%0.0%13.9%-9.3%2.4K-100.6K-9980.00118.14N/AN/A00118
2011-09-02$300.48$0.0066.8%19.1%53.3%25.1%0.0%41.1%7.9%2.8K-75.4K-9440.00118.50N/AN/A00118
2011-09-06$303.68$320.0091.7%16.2%42.1%41.4%0.0%0.9%-3.9%2.6K-93.6K-9520.00117.47N/AN/A00118
2011-09-07$302.40$320.0079.9%13.5%42.0%33.7%0.0%-1.4%13.5%3.9K-80.9K-8750.00121.15N/AN/A00118
2011-09-08$301.12$320.0084.1%19.1%41.4%36.5%75.3%5.3%-9.7%2.5K-95.7K-9660.00119.71N/AN/A00118
2011-09-09$300.80$320.0089.2%19.6%41.4%39.8%0.0%6.0%-11.9%2.4K-95.5K-9650.00121.08N/AN/A00118
2011-09-12$297.60$320.00118.0%20.3%24.5%58.8%0.0%3.8%-13.6%2.3K-87.4K-9320.00121.17N/AN/A01118
2011-09-13$296.00$320.00141.3%9.7%23.9%74.1%0.0%12.4%11.8%4.3K-58.9K-8560.00120.34N/AN/A00119
2011-09-14$296.00$320.00163.5%18.5%22.9%88.6%79.1%7.0%-4.2%2.4K-79.3K-9310.00121.63N/AN/A01119
2011-09-15$299.20$320.0069.0%19.8%22.2%26.5%0.0%2.3%-15.2%2.1K-81.2K-9650.00121.32N/AN/A001110
2011-09-16$297.92$320.0064.9%18.6%22.1%23.9%52.5%13.6%6.3%2.1K-81.1K-9551.00122.36N/AN/A001110
2011-09-19$295.68$320.0066.3%19.0%16.1%24.8%0.0%6.9%3.3%2.5K-77.1K-9290.00121.67N/AN/A001110
2011-09-20$297.60$320.0052.5%15.0%16.1%15.7%0.0%29.1%26.5%3.4K-64.5K-8652.00120.14N/AN/A011110
2011-09-21$302.08$320.0072.9%20.9%17.1%29.1%0.0%12.2%9.2%2.3K-101.7K-9790.00123.01N/AN/A001210
2011-09-22$280.00$320.0092.8%26.6%31.7%42.2%0.0%46.9%-4.9%1.8K-29.7K-8970.00122.41N/AN/A001210
2011-09-23$281.92$320.0041.4%11.9%31.3%8.4%0.0%22.9%40.0%3.4K-58.4K-7100.00158.26N/AN/A001210
2011-09-26$288.00$320.0062.4%17.9%31.7%22.2%0.0%36.6%32.2%2.4K-58.7K-9040.00121.13N/AN/A001210
2011-09-27$287.68$320.0065.0%18.6%31.2%23.9%0.0%6.6%26.7%2.5K-51.7K-8810.00121.32N/AN/A001210
2011-09-28$287.04$320.0058.2%16.7%30.7%19.4%0.0%10.8%34.9%2.5K-48.2K-8660.00126.23N/AN/A021210
2011-09-29$278.72$320.00186.8%0.0%32.0%100.0%0.0%-10.4%123.3%1.3K-37.7K-1.0K1.00157.48N/AN/A001213
2011-09-30$274.88$320.0099.5%28.5%31.9%44.8%0.0%-98.6%148.7%1.2K-12.1K-1.1K0.00155.32N/AN/A001213