DAVE Options History — August 2012

In August 2012, DAVE traded between $320.00 and $336.32. ATM implied volatility averaged 35.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 8.4% (HV 20d: 26.9%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-08-03: Highest Volume — 2 contracts
  • 2012-08-03: Largest IV drop — 46.7% change
  • 2012-08-02: Highest IV Rank — 18.0%
  • 2012-08-02: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$329.63$320.00$336.32$336.32$320.00
Max Pain$320.00$320.00$320.00$320.00$320.00
ATM IV35.3%26.3%54.8%51.9%32.9%
Expected Move9.6%7.5%15.7%14.9%9.4%
HV 20d26.9%11.1%33.9%33.4%11.1%
HV 60d24.8%23.5%26.3%26.3%23.5%
IV Rank7.0%1.8%18.0%16.4%5.6%
IV Percentile6.6%1.2%19.8%14.7%7.1%
Term Structure1.3%-8.0%7.9%-7.3%3.5%
VWIV24.2%24.2%24.2%24.2%24.2%
Skew 25d7.2%-8.1%44.0%7.5%5.7%
Skew 10d20.5%-12.8%105.6%19.8%11.6%
Call IV 25d36.9%31.0%51.6%47.7%41.0%
Put IV 25d44.1%31.9%79.0%55.3%46.7%
Bid-Ask Spread %109.71104.11115.15106.78115.15
Gamma HHI0.930.910.950.930.94
Net GEX-14.2K-18.0K-10.8K-13.4K-12.0K
Net DEX199.0K172.7K246.9K228.3K229.6K
Net VEX-1.4K-1.5K-1.3K-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.130200
Total OI23.60922252323

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$336.32$320.0051.9%14.9%33.4%16.4%0.0%7.5%-7.3%-13.4K228.3K-1.4K0.00106.78N/AN/A00221
2012-08-02$332.16$320.0054.8%15.7%33.6%18.0%0.0%8.4%-8.0%-13.0K246.9K-1.4K0.00105.44N/AN/A00221
2012-08-03$336.00$320.0029.2%8.4%33.9%3.5%0.0%-8.1%6.2%-16.9K224.7K-1.4K0.00110.70N/AN/A20221
2012-08-06$334.40$0.0031.5%9.7%33.7%4.8%0.0%36.2%0.3%-16.1K193.6K-1.5K0.00104.25N/AN/A00421
2012-08-07$333.44$0.0033.2%9.9%33.6%5.8%0.0%37.9%-0.1%-16.1K196.0K-1.5K0.00104.25N/AN/A00421
2012-08-08$330.24$0.0034.1%10.1%33.7%6.3%0.0%6.0%-0.3%-16.7K204.5K-1.4K0.00104.11N/AN/A00421
2012-08-09$328.32$0.0034.5%9.8%33.7%6.5%0.0%5.2%0.6%-17.5K215.8K-1.4K0.00104.89N/AN/A00421
2012-08-10$331.84$0.0035.3%9.6%33.8%7.0%0.0%5.1%1.1%-16.9K198.1K-1.4K0.00105.55N/AN/A00421
2012-08-13$333.44$0.0046.5%9.4%33.8%13.3%0.0%4.1%1.9%-16.5K185.0K-1.4K0.00107.01N/AN/A00421
2012-08-14$332.16$0.0046.5%9.2%33.9%13.3%0.0%3.5%4.1%-17.1K192.9K-1.4K0.00107.20N/AN/A00421
2012-08-15$333.12$0.0045.1%9.3%33.9%12.5%0.0%3.6%2.7%-17.2K177.1K-1.4K0.00107.20N/AN/A00421
2012-08-16$332.48$0.0029.4%8.4%33.4%3.6%0.0%0.0%2.1%-18.0K191.5K-1.4K0.00112.36N/AN/A00421
2012-08-17$331.84$0.0028.6%8.2%33.3%3.2%24.2%-3.2%0.6%-18.0K191.3K-1.4K0.00112.42N/AN/A00421
2012-08-20$332.48$320.0031.3%9.0%33.2%4.7%0.0%44.0%7.5%-10.9K173.9K-1.3K0.00110.76N/AN/A00418
2012-08-21$328.96$320.0035.3%10.1%33.3%7.0%0.0%3.8%-1.2%-10.8K172.7K-1.3K0.00110.65N/AN/A00418
2012-08-22$328.00$320.0031.3%9.0%19.3%4.7%0.0%-0.4%-1.5%-11.1K174.0K-1.3K0.00113.21N/AN/A00418
2012-08-23$331.84$320.0028.3%8.1%15.4%3.0%0.0%-1.0%6.2%-11.2K176.4K-1.3K0.00112.83N/AN/A10418
2012-08-24$327.36$320.0027.0%7.7%16.3%2.2%0.0%-3.8%2.2%-11.1K173.4K-1.4K0.00113.83N/AN/A00418
2012-08-27$322.24$320.0032.2%9.2%14.6%5.2%0.0%3.4%1.7%-11.5K200.2K-1.4K0.00114.03N/AN/A00418
2012-08-28$322.88$320.0026.3%7.5%13.5%1.8%0.0%-0.1%7.9%-11.7K203.4K-1.4K0.00113.01N/AN/A00419
2012-08-29$321.60$320.0033.5%9.6%12.8%5.9%0.0%3.5%-0.5%-12.1K207.3K-1.4K0.00113.99N/AN/A00419
2012-08-30$320.32$320.0033.5%9.6%12.2%5.9%0.0%4.4%0.4%-12.0K221.1K-1.4K0.00113.72N/AN/A00419
2012-08-31$320.00$320.0032.9%9.4%11.1%5.6%0.0%5.7%3.5%-12.0K229.6K-1.4K0.00115.15N/AN/A00419