DAVE Options History — April 2012 In April 2012, DAVE traded between $319.04 and $386.56. ATM implied volatility averaged 120.0%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 39.2%. IV traded above realized volatility by 98.6% (HV 20d: 21.4%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-03 : Highest Volume — 2 contracts2012-04-12 : Largest IV spike — 257.2% change2012-04-25 : Highest IV Rank — 99.6%2012-04-25 : Largest Expected Move — 56.9%Monthly Statistics Metric Avg Min Max Open Close Price $363.25 $319.04 $386.56 $370.88 $319.04 Max Pain $320.00 $320.00 $320.00 $320.00 $320.00 ATM IV 120.0% 28.8% 198.5% 57.3% 82.1% Expected Move 39.2% 8.3% 56.9% 16.4% 23.5% HV 20d 21.4% 13.8% 49.6% 18.4% 49.6% HV 60d 23.1% 19.0% 33.1% 22.8% 33.1% IV Rank 54.6% 2.4% 99.6% 18.7% 32.9% IV Percentile 67.2% 1.6% 99.6% 46.4% 56.3% Term Structure -59.0% -170.4% 121.4% 110.0% 115.7% VWIV 82.1% 82.1% 82.1% 82.1% 82.1% Skew 25d -3.3% -131.5% 24.4% 22.7% -131.5% Skew 10d -18.4% -150.6% 17.7% 17.7% -150.6% Call IV 25d 83.8% 36.9% 196.0% 36.9% 182.9% Put IV 25d 80.5% 34.1% 197.2% 59.6% 51.4% Bid-Ask Spread % 155.58 149.21 162.74 162.16 156.50 Gamma HHI 0.58 0.43 0.70 0.47 0.57 Net GEX 888 160 1.7K 288 628 Net DEX -42.7K -84.3K -5.0K -5.0K -47.5K Net VEX -350 -441 -202 -224 -419 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 0.2 0 2 0 1 Total OI 10.65 7 13 10 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 2012-04-02 $370.88 $320.00 57.3% 16.4% 18.4% 18.7% 0.0% 22.7% 110.0% 288 -5.0K -224 0.00 162.16 N/A N/A 0 0 1 9 2012-04-03 $366.40 $320.00 54.3% 15.6% 19.3% 17.0% 0.0% 16.0% 118.4% 160 -5.4K -202 0.00 161.81 N/A N/A 2 0 1 9 2012-04-04 $366.40 $320.00 55.8% 16.0% 19.3% 17.9% 0.0% 16.2% 118.7% 779 -30.3K -317 0.00 162.74 N/A N/A 0 0 3 9 2012-04-05 $368.00 $320.00 53.8% 15.4% 18.9% 16.7% 0.0% 24.4% 121.4% 1.4K -35.2K -301 0.00 162.09 N/A N/A 0 0 3 9 2012-04-09 $361.28 $0.00 40.4% 47.9% 20.4% 9.0% 0.0% 16.5% -132.9% 497 -33.7K -337 0.00 154.13 N/A N/A 0 0 3 9 2012-04-10 $362.24 $0.00 48.9% 48.4% 20.4% 13.9% 0.0% 17.9% -148.2% 554 -33.8K -336 0.00 153.89 N/A N/A 0 0 3 9 2012-04-11 $366.40 $0.00 48.2% 48.8% 18.5% 13.5% 0.0% 19.9% -170.3% 755 -35.1K -327 0.00 153.90 N/A N/A 0 0 3 9 2012-04-12 $366.72 $0.00 172.3% 49.4% 17.6% 84.6% 0.0% 18.4% -170.4% 850 -40.6K -351 0.00 153.62 N/A N/A 0 0 3 9 2012-04-13 $365.76 $0.00 174.9% 50.1% 15.8% 86.1% 0.0% 21.4% -169.2% 787 -40.5K -348 0.00 154.33 N/A N/A 0 0 3 9 2012-04-16 $365.76 $0.00 161.0% 46.2% 14.4% 78.1% 0.0% 20.1% -148.0% 764 -40.4K -343 0.00 154.49 N/A N/A 0 0 3 9 2012-04-17 $372.80 $0.00 166.4% 47.7% 13.8% 81.2% 0.0% 22.3% -146.2% 869 -44.3K -336 0.00 152.89 N/A N/A 0 0 3 9 2012-04-18 $368.00 $0.00 167.0% 47.9% 14.6% 81.6% 0.0% 19.8% -153.7% 948 -46.8K -356 0.00 154.06 N/A N/A 0 0 4 9 2012-04-19 $369.60 $0.00 170.5% 48.9% 14.6% 83.5% 0.0% 22.3% -154.0% 953 -48.0K -355 0.00 154.21 N/A N/A 0 0 4 9 2012-04-20 $368.96 $0.00 173.1% 49.6% 14.4% 85.0% 0.0% 22.1% -159.7% 969 -47.3K -353 0.00 154.88 N/A N/A 1 0 4 9 2012-04-23 $373.76 $0.00 185.0% 53.0% 14.8% 91.8% 0.0% -5.5% -31.3% 1.4K -67.6K -417 0.00 153.96 N/A N/A 0 0 4 3 2012-04-24 $377.60 $0.00 190.4% 54.6% 15.1% 95.0% 0.0% -2.7% -31.8% 1.5K -70.5K -416 0.00 154.53 N/A N/A 0 0 4 3 2012-04-25 $386.56 $0.00 198.5% 56.9% 16.9% 99.6% 0.0% 4.8% -29.9% 1.7K -84.3K -441 0.00 153.30 N/A N/A 0 0 5 3 2012-04-26 $347.84 $0.00 171.6% 0.0% 41.5% 84.2% 0.0% -85.0% 115.7% 1.4K -50.0K -406 0.00 149.21 N/A N/A 0 0 5 3 2012-04-27 $320.96 $0.00 28.8% 8.3% 49.6% 2.4% 0.0% -125.7% 0.0% 662 -47.9K -422 0.00 154.97 N/A N/A 0 0 5 3 2012-04-30 $319.04 $0.00 82.1% 23.5% 49.6% 32.9% 82.1% -131.5% 0.0% 628 -47.5K -419 0.00 156.50 N/A N/A 0 1 5 3
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