DAVE Options History — January 2013

In January 2013, DAVE traded between $289.28 and $312.32. ATM implied volatility averaged 97.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 27.7%. IV traded above realized volatility by 67.0% (HV 20d: 30.9%). Max pain ranged from $240.00 to $320.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2013-01-14: Highest Volume — 4 contracts
  • 2013-01-24: Largest IV spike — 225.8% change
  • 2013-01-18: Highest IV Rank — 98.6%
  • 2013-01-22: Largest Expected Move — 53.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$302.70$289.28$312.32$312.32$302.08
Max Pain$301.54$240.00$320.00$320.00$240.00
ATM IV97.8%31.4%196.7%148.0%109.5%
Expected Move27.7%9.0%53.8%42.4%31.4%
HV 20d30.9%24.0%34.2%28.7%24.0%
HV 60d29.4%26.3%32.6%31.9%26.4%
IV Rank42.5%4.8%98.6%70.9%49.1%
IV Percentile55.0%7.5%97.6%71.8%57.9%
Term Structure33.0%-49.8%123.2%47.3%123.2%
VWIV70.8%70.8%70.8%70.8%70.8%
Skew 25d-0.9%-79.0%107.0%14.0%49.1%
Skew 10d21.2%-68.2%119.7%16.3%2.4%
Call IV 25d151.2%34.3%192.0%169.6%79.2%
Put IV 25d150.4%59.9%196.1%183.6%128.3%
Bid-Ask Spread %156.89136.56162.38156.69161.53
Gamma HHI0.510.210.890.840.26
Net GEX-4.0K-13.9K793-10.8K-798
Net DEX34.8K-148.4K166.9K27.0K-89.2K
Net VEX-1.3K-1.6K-903-1.4K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.008.000.000.00
Total Volume0.6670410
Total OI30.04824383225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$312.32$320.00148.0%42.4%28.7%70.9%0.0%14.0%0.0%-10.8K27.0K-1.4K0.00156.69N/AN/A101418
2013-01-03$304.00$320.0031.4%9.0%30.5%4.8%0.0%11.5%0.0%-9.6K132.6K-1.2K0.00158.11N/AN/A001218
2013-01-04$309.44$320.0042.3%12.1%30.6%10.9%0.0%13.6%0.0%-13.9K94.3K-1.2K0.50158.11N/AN/A101218
2013-01-07$306.24$320.0057.8%16.6%31.0%19.7%0.0%13.0%0.0%-11.4K127.8K-1.2K1.50157.91N/AN/A121218
2013-01-08$303.68$320.0072.6%20.8%31.1%28.1%0.0%25.4%47.3%-6.2K85.3K-1.4K0.00157.45N/AN/A001319
2013-01-09$304.00$320.0060.2%17.3%31.0%21.1%0.0%12.8%86.3%-8.4K150.8K-1.3K0.00156.39N/AN/A001319
2013-01-10$300.48$320.0071.0%20.3%31.4%27.2%0.0%12.2%0.0%-3.8K166.9K-1.3K0.00158.54N/AN/A101319
2013-01-11$304.00$320.0055.9%16.0%31.3%18.6%0.0%-57.7%96.8%-8.4K70.0K-1.5K8.00158.59N/AN/A031419
2013-01-14$305.60$240.0065.6%18.0%31.0%24.1%70.8%-61.3%-2.7%-9.4K139.4K-1.5K1.00157.19N/AN/A221521
2013-01-15$305.92$320.0099.4%39.7%30.9%43.3%0.0%-45.1%-39.6%-4.3K138.5K-1.6K1.00149.81N/AN/A001622
2013-01-16$305.92$320.00107.4%36.8%30.9%47.9%0.0%-79.0%-49.8%-2.0K146.8K-1.6K0.00150.18N/AN/A001622
2013-01-17$301.44$240.00172.2%40.8%31.5%84.7%0.0%-45.7%-41.8%620123.3K-1.5K0.00156.93N/AN/A001621
2013-01-18$302.72$240.00196.7%40.9%31.4%98.6%0.0%-45.9%-43.8%618121.1K-1.5K0.00157.51N/AN/A011621
2013-01-22$302.72$0.00187.8%53.8%30.9%93.5%0.0%-47.0%-42.2%-236-87.8K-1.3K0.00162.38N/AN/A001311
2013-01-23$303.04$0.0033.4%9.6%29.3%5.9%0.0%25.6%28.5%322-57.9K-9630.00136.56N/AN/A001311
2013-01-24$300.80$0.00108.8%31.2%29.6%48.7%0.0%107.0%23.2%626-57.2K-1.3K0.00159.18N/AN/A001311
2013-01-25$289.28$0.00112.5%32.3%33.2%50.8%0.0%12.6%83.0%569-139.9K-1.4K0.00157.71N/AN/A001311
2013-01-28$297.60$0.00106.3%30.5%34.2%47.3%0.0%22.2%121.7%606-148.4K-1.4K0.00160.31N/AN/A001311
2013-01-29$298.24$0.00107.4%30.8%33.7%47.9%0.0%22.2%22.8%793-68.5K-9030.00161.52N/AN/A001311
2013-01-30$297.28$0.00108.6%31.1%32.1%48.6%0.0%22.3%114.9%651-144.1K-1.4K0.00162.19N/AN/A001411
2013-01-31$302.08$0.00109.5%31.4%24.0%49.1%0.0%49.1%123.2%-798-89.2K-1.1K0.00161.53N/AN/A001411