DAVE Options History — January 2012 In January 2012, DAVE traded between $326.40 and $359.36. ATM implied volatility averaged 55.2%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 25.7% (HV 20d: 29.5%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-01-31 : Highest Volume — 1 contracts2012-01-11 : Largest IV spike — 63.8% change2012-01-11 : Highest IV Rank — 26.0%2012-01-30 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $338.37 $326.40 $359.36 $326.40 $331.52 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 55.2% 38.0% 70.0% 47.4% 38.0% Expected Move 15.3% 10.9% 19.3% 13.6% 10.9% HV 20d 29.5% 22.2% 36.5% 36.5% 28.0% HV 60d 32.4% 30.9% 33.9% 33.9% 31.3% IV Rank 17.5% 7.6% 26.0% 13.0% 7.6% IV Percentile 56.0% 15.1% 66.3% 54.8% 15.1% Term Structure 33.5% -23.4% 133.4% 0.7% 133.4% Skew 25d 7.6% -46.1% 16.8% 5.5% 5.8% Skew 10d 13.8% 2.1% 17.9% 13.6% 2.1% Call IV 25d 38.5% 31.6% 93.9% 45.4% 35.4% Put IV 25d 46.1% 37.0% 51.8% 50.8% 41.2% Bid-Ask Spread % 142.63 126.98 149.67 127.67 142.93 Gamma HHI 0.54 0.39 0.78 0.65 0.41 Net GEX 978 -1.8K 5.3K 3.1K -1.8K Net DEX -69.7K -186.6K 24.7K -72.1K 23.5K Net VEX -293 -450 -151 -450 -238 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 0.05 0 1 0 1 Total OI 15.8 8 20 20 8
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 2012-01-03 $326.40 $320.00 47.4% 13.6% 36.5% 13.0% 0.0% 5.5% 0.7% 3.1K -72.1K -450 0.00 127.67 N/A N/A 0 0 6 14 2012-01-04 $331.20 $320.00 46.4% 13.3% 36.4% 12.5% 0.0% 8.4% 5.4% 3.2K -87.8K -422 0.00 127.81 N/A N/A 0 0 6 14 2012-01-05 $332.80 $320.00 53.5% 15.3% 35.2% 16.5% 0.0% 3.8% -11.6% 2.7K -91.3K -390 0.00 126.98 N/A N/A 0 0 6 14 2012-01-06 $331.20 $320.00 46.4% 12.0% 35.3% 12.4% 0.0% 2.0% 63.3% 3.5K -90.4K -410 0.00 147.43 N/A N/A 0 0 6 14 2012-01-09 $331.20 $320.00 65.6% 13.8% 34.7% 23.5% 0.0% 7.4% -7.3% 2.5K -84.8K -390 0.00 148.97 N/A N/A 0 0 6 14 2012-01-10 $332.80 $320.00 42.7% 14.5% 33.5% 10.3% 0.0% 10.3% -7.5% 4.4K -101.7K -369 0.00 149.67 N/A N/A 0 0 6 14 2012-01-11 $331.20 $320.00 70.0% 14.2% 32.5% 26.0% 0.0% 11.5% 57.5% 2.8K -88.7K -351 0.00 142.41 N/A N/A 0 0 6 14 2012-01-12 $332.80 $320.00 50.0% 14.3% 32.0% 14.5% 0.0% 9.3% 53.6% 5.3K -112.0K -323 0.00 147.76 N/A N/A 0 0 6 14 2012-01-13 $340.48 $320.00 61.4% 17.6% 32.4% 21.1% 0.0% 14.4% -21.9% 2.5K -111.9K -327 0.00 146.40 N/A N/A 0 0 6 14 2012-01-17 $345.60 $320.00 50.3% 14.4% 25.8% 14.7% 0.0% 4.0% -12.7% 1.7K -164.8K -218 0.00 148.01 N/A N/A 0 0 6 14 2012-01-18 $359.36 $320.00 60.7% 17.4% 27.6% 20.7% 0.0% 13.9% -22.5% 565 -184.3K -151 0.00 145.24 N/A N/A 0 0 6 14 2012-01-19 $354.56 $320.00 59.7% 17.1% 22.4% 20.1% 0.0% -46.1% -23.4% -1.1K -186.6K -165 0.00 141.47 N/A N/A 0 0 6 14 2012-01-20 $350.40 $320.00 51.3% 14.7% 22.2% 15.3% 0.0% 16.4% -22.1% -1.4K -169.4K -195 0.00 141.79 N/A N/A 0 0 6 14 2012-01-23 $338.24 $320.00 63.2% 18.1% 24.6% 22.1% 0.0% 8.3% 58.9% -1.3K 22.3K -255 0.00 147.14 N/A N/A 0 0 0 8 2012-01-24 $341.44 $320.00 60.3% 17.3% 24.7% 20.4% 0.0% 14.1% 85.2% -1.3K 20.6K -233 0.00 147.08 N/A N/A 0 0 0 8 2012-01-25 $345.92 $320.00 59.1% 17.0% 24.8% 19.7% 0.0% 16.8% 73.5% -1.2K 18.9K -236 0.00 146.95 N/A N/A 0 0 0 8 2012-01-26 $338.56 $320.00 57.1% 16.4% 26.2% 18.6% 0.0% 14.7% 80.0% -1.4K 21.7K -251 0.00 141.15 N/A N/A 0 0 0 8 2012-01-27 $340.80 $320.00 52.8% 15.1% 26.3% 16.1% 0.0% 15.2% 90.1% -1.4K 20.4K -231 0.00 142.88 N/A N/A 0 0 0 8 2012-01-30 $330.88 $320.00 67.3% 19.3% 28.0% 24.4% 0.0% 16.0% 96.9% -1.4K 24.7K -250 0.00 142.90 N/A N/A 0 0 0 8 2012-01-31 $331.52 $320.00 38.0% 10.9% 28.0% 7.6% 0.0% 5.8% 133.4% -1.8K 23.5K -238 0.00 142.93 N/A N/A 0 1 0 8
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