DAVE Options History — February 2013 In February 2013, DAVE traded between $301.12 and $325.76. ATM implied volatility averaged 48.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 19.8% (HV 20d: 28.5%). Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2013-02-06 : Largest IV spike — 181.9% change2013-02-04 : Highest IV Rank — 52.0%2013-02-04 : Largest Expected Move — 32.9%Monthly Statistics Metric Avg Min Max Open Close Price $309.68 $301.12 $325.76 $304.64 $314.88 ATM IV 48.3% 13.6% 114.7% 110.6% 40.9% Expected Move 13.8% 3.9% 32.9% 31.7% 11.7% HV 20d 28.5% 21.3% 35.2% 22.3% 32.5% HV 60d 27.2% 24.9% 29.4% 26.4% 29.0% IV Rank 17.1% 0.0% 52.0% 49.7% 14.7% IV Percentile 27.9% 0.0% 59.9% 57.9% 31.3% Term Structure 36.0% -24.5% 129.1% 112.5% -23.1% Skew 25d 8.2% -93.0% 113.0% -64.3% 25.7% Skew 10d -23.8% -133.3% 120.2% -1.8% 120.2% Call IV 25d 107.1% 36.9% 199.8% 194.0% 133.6% Put IV 25d 115.3% 29.9% 168.9% 129.6% 159.2% Bid-Ask Spread % 159.13 100.84 165.22 161.03 165.22 Gamma HHI 0.35 0.25 0.55 0.25 0.27 Net GEX 339 -732 1.8K -732 1.1K Net DEX -70.6K -109.3K -3.0K -88.0K -109.3K Net VEX -923 -1.2K -459 -1.1K -1.2K 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 25 25 25 25 25
Daily Data (19 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 2013-02-01 $304.64 $0.00 110.6% 31.7% 22.3% 49.7% 0.0% -64.3% 112.5% -732 -88.0K -1.1K 0.00 161.03 N/A N/A 0 0 14 11 2013-02-04 $304.96 $0.00 114.7% 32.9% 21.3% 52.0% 0.0% 47.2% 125.7% -516 -91.7K -1.0K 0.00 162.01 N/A N/A 0 0 14 11 2013-02-05 $310.40 $0.00 38.3% 11.0% 22.0% 8.6% 0.0% 6.6% 117.4% -383 -93.5K -1.0K 0.00 160.10 N/A N/A 0 0 14 11 2013-02-06 $306.88 $0.00 107.8% 30.9% 22.2% 48.1% 0.0% -64.4% 126.6% -337 -87.9K -1.0K 0.00 162.58 N/A N/A 0 0 14 11 2013-02-07 $312.96 $0.00 28.0% 8.0% 23.2% 2.8% 0.0% 1.5% 128.6% -425 -96.1K -1.0K 0.00 161.41 N/A N/A 0 0 14 11 2013-02-08 $311.68 $0.00 29.2% 8.4% 22.8% 3.5% 0.0% 4.5% 129.1% -354 -95.1K -1.0K 0.00 163.16 N/A N/A 0 0 14 11 2013-02-11 $312.64 $0.00 44.5% 12.8% 22.5% 12.2% 0.0% 51.3% 6.3% 258 -24.0K -536 0.00 161.75 N/A N/A 0 0 14 11 2013-02-12 $312.32 $0.00 30.6% 8.8% 22.4% 4.3% 0.0% 8.0% 15.5% -405 -16.4K -839 0.00 163.63 N/A N/A 0 0 14 11 2013-02-13 $325.76 $0.00 13.6% 3.9% 26.8% 0.0% 0.0% -93.0% 7.3% 958 -93.7K -812 0.00 158.66 N/A N/A 0 0 14 11 2013-02-14 $309.44 $0.00 33.5% 9.6% 33.0% 10.7% 0.0% 25.5% 8.9% 1.4K -75.4K -897 0.00 159.71 N/A N/A 0 0 14 11 2013-02-15 $301.12 $0.00 39.6% 11.3% 34.1% 14.0% 0.0% -13.4% -14.5% 925 -96.5K -1.2K 0.00 160.94 N/A N/A 0 0 14 11 2013-02-19 $307.84 $0.00 36.0% 10.3% 35.0% 12.1% 0.0% 6.4% -2.3% 495 -51.4K -870 0.00 100.84 N/A N/A 0 0 14 11 2013-02-20 $308.16 $0.00 38.4% 11.0% 35.0% 13.4% 0.0% 13.1% -1.6% 352 -17.5K -535 0.00 164.18 N/A N/A 0 0 14 11 2013-02-21 $305.28 $0.00 41.4% 11.9% 35.2% 15.0% 0.0% 14.9% -7.6% 265 -14.0K -532 0.00 162.36 N/A N/A 0 0 14 11 2013-02-22 $304.64 $0.00 42.8% 12.3% 35.0% 15.7% 0.0% 113.0% 13.1% 149 -3.0K -459 0.00 163.31 N/A N/A 0 0 14 11 2013-02-25 $303.04 $0.00 47.3% 13.6% 31.9% 18.2% 0.0% 23.1% -24.5% 924 -87.5K -1.2K 0.00 163.92 N/A N/A 0 0 14 11 2013-02-26 $313.60 $0.00 39.6% 11.4% 32.6% 14.1% 0.0% 25.2% -18.2% 1.0K -107.7K -1.2K 0.00 164.11 N/A N/A 0 0 14 11 2013-02-27 $313.60 $0.00 40.8% 11.7% 32.6% 14.7% 0.0% 25.2% -14.7% 1.8K -93.0K -915 0.00 164.62 N/A N/A 0 0 14 11 2013-02-28 $314.88 $0.00 40.9% 11.7% 32.5% 14.7% 0.0% 25.7% -23.1% 1.1K -109.3K -1.2K 0.00 165.22 N/A N/A 0 0 14 11
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