DAVE Options History — February 2012 In February 2012, DAVE traded between $339.20 and $359.04. ATM implied volatility averaged 120.6%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 47.0%. IV traded above realized volatility by 92.7% (HV 20d: 27.9%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-09 : Largest IV spike — 317.2% change2012-02-17 : Highest IV Rank — 99.4%2012-02-17 : Largest Expected Move — 56.8%Monthly Statistics Metric Avg Min Max Open Close Price $348.53 $339.20 $359.04 $341.12 $349.44 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 120.6% 32.9% 198.2% 68.8% 120.8% Expected Move 47.0% 9.6% 56.8% 19.7% 56.8% HV 20d 27.9% 22.4% 31.0% 29.4% 22.4% HV 60d 30.1% 28.9% 31.1% 31.0% 29.1% IV Rank 55.0% 4.7% 99.4% 25.3% 55.1% IV Percentile 73.7% 6.0% 99.6% 65.5% 83.7% Term Structure -30.0% -64.8% 119.6% 86.2% -64.8% Skew 25d 21.5% -9.8% 30.1% 12.3% 23.9% Skew 10d 13.2% 4.4% 22.9% 12.6% 8.7% Call IV 25d 40.7% 34.5% 58.3% 34.5% 43.4% Put IV 25d 62.3% 46.8% 71.2% 46.8% 67.3% Bid-Ask Spread % 157.17 135.94 163.99 135.94 158.71 Gamma HHI 0.44 0.33 0.51 0.44 0.50 Net GEX -1.2K -1.8K -889 -1.6K -935 Net DEX 27.2K 18.8K 34.1K 23.1K 26.1K Net VEX -365 -419 -244 -251 -342 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 0 0 0 0 Total OI 9.9 9 10 9 10
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 2012-02-01 $341.12 $320.00 68.8% 19.7% 29.4% 25.3% 0.0% 12.3% 86.2% -1.6K 23.1K -251 0.00 135.94 N/A N/A 0 0 0 9 2012-02-02 $342.08 $320.00 33.6% 9.6% 29.1% 5.1% 0.0% -9.8% 119.6% -1.7K 18.8K -244 0.00 163.99 N/A N/A 0 0 0 9 2012-02-03 $339.20 $0.00 32.9% 50.6% 29.2% 4.7% 0.0% 19.9% -45.5% -1.8K 33.8K -414 0.00 158.95 N/A N/A 0 0 1 9 2012-02-06 $343.68 $0.00 54.5% 51.2% 29.5% 17.1% 0.0% 19.9% -48.1% -1.5K 34.1K -393 0.00 157.74 N/A N/A 0 0 1 9 2012-02-07 $351.04 $0.00 42.6% 49.7% 30.2% 10.2% 0.0% 25.7% -47.5% -1.2K 26.5K -383 0.00 157.11 N/A N/A 0 0 1 9 2012-02-08 $349.12 $0.00 43.4% 50.9% 30.4% 10.7% 0.0% 19.1% -49.5% -1.3K 32.3K -419 0.00 157.85 N/A N/A 0 0 1 9 2012-02-09 $348.16 $0.00 180.9% 51.9% 30.3% 89.5% 0.0% 25.7% -51.2% -1.3K 29.8K -399 0.00 158.74 N/A N/A 0 0 1 9 2012-02-10 $344.32 $0.00 187.4% 53.7% 30.7% 93.3% 0.0% 21.2% -54.0% -1.5K 32.1K -415 0.00 158.80 N/A N/A 0 0 1 9 2012-02-13 $353.28 $0.00 186.1% 53.4% 31.0% 92.5% 0.0% 26.1% -56.5% -979 26.4K -387 0.00 157.27 N/A N/A 0 0 1 9 2012-02-14 $348.80 $0.00 193.8% 55.6% 31.0% 96.9% 0.0% 22.8% -59.9% -1.0K 28.6K -387 0.00 156.83 N/A N/A 0 0 1 9 2012-02-15 $357.76 $0.00 187.1% 53.6% 29.0% 93.1% 0.0% 26.9% -58.9% -899 24.4K -372 0.00 156.50 N/A N/A 0 0 1 9 2012-02-16 $359.04 $0.00 188.7% 54.1% 28.6% 94.0% 0.0% 25.8% -60.5% -889 23.2K -370 0.00 156.31 N/A N/A 0 0 1 9 2012-02-17 $353.60 $0.00 198.2% 56.8% 28.8% 99.4% 0.0% 25.2% -64.8% -916 25.8K -380 0.00 158.25 N/A N/A 0 0 1 9 2012-02-21 $352.96 $0.00 109.3% 0.0% 25.6% 48.5% 0.0% 24.2% 0.0% -919 25.2K -359 0.00 158.51 N/A N/A 0 0 1 9 2012-02-22 $349.76 $0.00 112.6% 0.0% 25.7% 50.4% 0.0% 22.7% 0.0% -933 26.7K -368 0.00 157.90 N/A N/A 0 0 1 9 2012-02-23 $347.20 $0.00 114.2% 0.0% 25.5% 51.3% 0.0% 30.1% 0.0% -948 26.8K -356 0.00 158.33 N/A N/A 0 0 1 9 2012-02-24 $348.80 $0.00 115.6% 0.0% 24.2% 52.1% 0.0% 26.3% 0.0% -936 25.1K -348 0.00 158.88 N/A N/A 0 0 1 9 2012-02-27 $343.68 $0.00 120.9% 0.0% 24.8% 55.1% 0.0% 20.0% 0.0% -957 28.7K -353 0.00 158.69 N/A N/A 0 0 1 9 2012-02-28 $347.52 $0.00 121.0% 0.0% 22.4% 55.2% 0.0% 22.4% 0.0% -943 27.0K -355 0.00 158.03 N/A N/A 0 0 1 9 2012-02-29 $349.44 $0.00 120.8% 0.0% 22.4% 55.1% 0.0% 23.9% 0.0% -935 26.1K -342 0.00 158.71 N/A N/A 0 0 1 9
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