DAVE Options History — July 2012

In July 2012, DAVE traded between $307.20 and $348.80. ATM implied volatility averaged 100.9%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 81.5% (HV 20d: 19.3%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 11.00.

Notable Days

  • 2012-07-09: Highest Volume — 6 contracts
  • 2012-07-16: Largest IV spike — 219.1% change
  • 2012-07-11: Highest IV Rank — 96.4%
  • 2012-07-11: Largest Expected Move — 55.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$333.17$307.20$348.80$348.80$332.80
Max Pain$320.00$320.00$320.00$320.00$320.00
ATM IV100.9%24.5%192.9%178.5%51.6%
Expected Move24.1%7.0%55.3%49.6%14.8%
HV 20d19.3%12.1%33.3%21.4%33.3%
HV 60d33.1%23.1%36.4%36.4%27.0%
IV Rank44.2%0.8%96.4%88.2%16.2%
IV Percentile43.9%0.4%96.4%87.7%14.7%
Term Structure-19.3%-160.2%75.3%-62.9%-4.4%
VWIV64.1%53.0%75.1%75.1%53.0%
Skew 25d-19.6%-105.3%46.8%18.0%10.4%
Skew 10d-12.0%-113.9%104.7%48.2%20.3%
Call IV 25d98.3%40.6%185.9%148.0%46.0%
Put IV 25d78.7%32.9%169.9%166.1%56.5%
Bid-Ask Spread %134.81101.74160.23160.23105.44
Gamma HHI0.800.480.930.480.93
Net GEX-6.1K-13.0K-209-209-12.9K
Net DEX148.4K254264.2K254249.4K
Net VEX-1.1K-1.5K-381-390-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.0011.0011.0011.0011.00
Total Volume0.810600
Total OI20.14312281223

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$348.80$320.00178.5%0.0%21.4%88.2%0.0%18.0%0.0%-209254-3900.00160.23N/AN/A0066
2012-07-03$344.64$320.00181.7%0.0%21.4%90.1%0.0%18.6%0.0%-2541.6K-3870.00160.04N/AN/A0066
2012-07-05$345.60$320.00168.3%0.0%21.2%82.5%0.0%18.3%0.0%-2591.1K-3850.00160.04N/AN/A0066
2012-07-06$342.72$0.00173.1%49.6%20.9%85.2%0.0%-23.4%-62.9%-2671.9K-3830.00158.23N/AN/A0066
2012-07-09$339.20$0.00183.0%52.5%17.9%90.8%0.0%-26.4%-69.0%-66810.1K-3810.00158.45N/AN/A0666
2012-07-10$336.00$0.00132.0%37.8%18.1%61.9%75.1%-86.3%-160.2%-1.8K88.3K-8970.00157.29N/AN/A05612
2012-07-11$334.40$320.00192.9%55.3%13.2%96.4%0.0%-94.5%-74.6%-5.0K155.4K-1.2K0.00158.51N/AN/A00618
2012-07-12$335.36$320.00113.0%32.4%13.3%51.0%0.0%-98.7%-76.2%-5.7K155.1K-1.2K0.00158.61N/AN/A00618
2012-07-13$332.48$320.0024.5%7.0%13.5%0.8%0.0%-85.1%-14.5%-5.3K157.0K-1.2K0.00158.44N/AN/A00618
2012-07-16$331.20$320.0078.2%0.0%12.3%31.3%0.0%-27.6%54.2%-6.1K166.9K-1.2K0.00159.37N/AN/A00618
2012-07-17$331.52$320.0055.6%15.9%12.1%18.5%0.0%15.2%-17.0%-7.2K171.0K-1.2K0.00101.74N/AN/A00618
2012-07-18$331.84$320.0053.0%15.2%12.1%17.0%53.0%10.8%-15.0%-7.3K176.2K-1.2K11.00102.01N/AN/A03618
2012-07-19$337.28$320.0052.2%15.0%13.2%16.5%0.0%46.8%-12.2%-10.1K202.5K-1.4K0.00102.65N/AN/A00622
2012-07-20$335.68$320.0053.3%15.3%13.0%17.2%0.0%12.1%-14.6%-9.9K196.8K-1.3K0.00102.58N/AN/A00621
2012-07-23$333.12$320.0054.8%15.7%13.2%18.0%0.0%13.3%-8.3%-10.0K204.6K-1.3K0.00102.72N/AN/A00218
2012-07-24$330.56$320.0054.2%15.5%12.3%17.7%0.0%11.4%-6.9%-10.1K210.0K-1.3K0.00102.91N/AN/A00218
2012-07-25$307.20$320.0044.3%12.7%27.8%12.0%0.0%-52.6%75.3%-5.1K230.2K-1.3K0.00155.64N/AN/A00218
2012-07-26$318.40$320.0055.0%15.8%31.6%18.2%0.0%4.4%-10.1%-10.5K244.9K-1.3K0.00102.92N/AN/A00218
2012-07-27$319.68$320.00166.9%0.0%31.3%81.6%0.0%-105.3%74.6%-6.7K229.0K-1.3K0.00158.38N/AN/A03218
2012-07-30$328.00$320.0052.3%15.0%32.9%16.6%0.0%10.0%-6.5%-13.0K264.2K-1.5K0.00104.89N/AN/A00221
2012-07-31$332.80$320.0051.6%14.8%33.3%16.2%0.0%10.4%-4.4%-12.9K249.4K-1.4K0.00105.44N/AN/A00221