DAVE Options History — October 2011

In October 2011, DAVE traded between $255.68 and $280.00. ATM implied volatility averaged 128.6%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 92.7% (HV 20d: 35.9%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.00.

Notable Days

  • 2011-10-03: Highest Volume — 1 contracts
  • 2011-10-06: Largest IV spike — 183.1% change
  • 2011-10-17: Highest IV Rank — 100.0%
  • 2011-10-10: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$267.03$255.68$280.00$263.68$277.44
Max Pain$255.24$240.00$320.00$320.00$240.00
ATM IV128.6%24.7%199.2%24.7%101.0%
Expected Move17.6%7.1%28.2%7.1%22.3%
HV 20d35.9%30.5%39.6%34.5%35.7%
HV 60d40.6%39.1%42.6%39.1%41.8%
IV Rank62.9%0.0%100.0%0.0%43.7%
IV Percentile85.6%0.0%100.0%0.0%89.3%
Term Structure36.7%7.3%97.9%97.9%8.1%
VWIV25.6%24.7%26.5%24.7%26.5%
Skew 25d-72.0%-158.1%0.4%-112.9%-0.8%
Skew 10d-81.8%-81.8%-81.8%-81.8%-81.8%
Call IV 25d160.8%140.6%198.2%164.2%148.2%
Put IV 25d88.9%37.8%175.6%51.3%147.4%
Bid-Ask Spread %161.24158.10162.70159.22162.50
Gamma HHI0.480.390.730.470.42
Net GEX-799-3.3K722722-599
Net DEX6.8K-14.3K45.8K16.0K-2.6K
Net VEX-872-1.0K-795-983-861
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.004.004.004.004.00
Total Volume0.2380110
Total OI24.47618282519

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$263.68$320.0024.7%7.1%34.5%0.0%24.7%-112.9%97.9%72216.0K-9834.00159.22N/AN/A011213
2011-10-04$265.60$320.0026.5%7.6%34.3%1.1%26.5%-109.5%0.0%37616.4K-1.0K0.00160.36N/AN/A011214
2011-10-05$262.72$320.0055.7%16.0%34.3%19.2%0.0%-116.1%33.3%18914.8K-1.0K0.00160.64N/AN/A001215
2011-10-06$266.88$320.00157.8%0.0%35.2%82.1%0.0%-18.0%0.0%-2.0K4.1K-8670.00160.94N/AN/A001215
2011-10-07$262.08$240.00162.4%0.0%35.4%84.9%0.0%-19.7%0.0%-2.5K9.6K-8630.00161.35N/AN/A001215
2011-10-10$264.64$240.00127.6%28.2%35.9%63.5%0.0%-118.1%7.3%2606.6K-1.0K0.00160.29N/AN/A001215
2011-10-11$256.00$240.00122.9%24.7%37.1%60.5%0.0%-68.7%8.1%-32245.8K-9320.00158.10N/AN/A001215
2011-10-12$255.68$240.00171.5%0.0%37.1%90.5%0.0%-88.6%0.0%-3.3K14.7K-8340.00162.70N/AN/A001215
2011-10-13$260.48$240.00174.9%0.0%37.7%92.7%0.0%-95.7%0.0%-2.5K6.4K-8220.00162.38N/AN/A001215
2011-10-14$264.96$240.00169.3%0.0%38.7%89.2%0.0%-88.5%0.0%-1.9K2.7K-8180.00160.82N/AN/A001215
2011-10-17$268.80$240.00190.6%0.0%39.3%100.0%0.0%-52.3%0.0%-489-1.0K-8010.00161.00N/AN/A001215
2011-10-18$272.32$240.00174.5%0.0%39.6%90.3%0.0%-4.7%0.0%-460-9.9K-7950.00160.34N/AN/A001215
2011-10-19$272.00$240.00139.2%0.0%39.0%69.0%0.0%-100.9%0.0%-465-8.5K-7970.00161.94N/AN/A011215
2011-10-20$280.00$240.00145.1%0.0%30.7%72.6%0.0%-63.4%0.0%-417-7.7K-8390.00162.26N/AN/A001215
2011-10-21$273.92$240.0098.9%0.0%31.5%44.7%0.0%-158.1%0.0%-33110.0K-8480.00161.83N/AN/A011216
2011-10-24$270.72$240.00175.7%0.0%30.5%91.0%0.0%-99.7%0.0%-605-14.3K-8410.00161.78N/AN/A00612
2011-10-25$257.28$240.0077.6%22.3%34.9%31.9%0.0%-17.7%0.0%-41427.4K-7950.00162.65N/AN/A00612
2011-10-26$260.80$240.00104.5%0.0%35.5%48.1%0.0%-98.6%0.0%-65212.9K-8290.00160.32N/AN/A01612
2011-10-27$272.64$240.00100.4%0.0%38.3%45.6%0.0%-80.1%0.0%-7373.2K-8670.00162.29N/AN/A00613
2011-10-28$279.04$240.00199.2%0.0%38.9%100.0%0.0%0.4%0.0%-592-4.4K-8760.00162.39N/AN/A00613
2011-10-31$277.44$240.00101.0%0.0%35.7%43.7%0.0%-0.8%0.0%-599-2.6K-8610.00162.50N/AN/A00613