DAVE Options History — May 2013 In May 2013, DAVE traded between $364.80 and $385.28. ATM implied volatility averaged 40.0%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 15.3% (HV 20d: 24.7%). Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days.
Notable Days 2013-05-03 : Largest IV spike — 202.3% change2013-05-03 : Highest IV Rank — 40.6%2013-05-03 : Largest Expected Move — 25.5%Monthly Statistics Metric Avg Min Max Open Close Price $376.86 $364.80 $385.28 $364.80 $384.32 ATM IV 40.0% 28.1% 88.9% 32.0% 33.2% Expected Move 9.9% 7.9% 25.5% 9.2% 9.5% HV 20d 24.7% 13.8% 28.8% 28.8% 13.8% HV 60d 24.3% 22.0% 27.7% 27.7% 22.0% IV Rank 14.2% 7.8% 40.6% 10.0% 10.6% IV Percentile 29.9% 4.8% 64.3% 14.3% 21.0% Term Structure -1.2% -13.7% 10.3% -13.7% -0.5% Skew 25d 10.8% 3.6% 20.8% 12.3% 19.3% Skew 10d 1.3% -3.4% 10.2% 5.7% 6.1% Call IV 25d 25.9% 18.7% 43.3% 18.7% 25.5% Put IV 25d 36.6% 28.3% 64.1% 30.9% 44.8% Bid-Ask Spread % 152.84 131.22 200.00 154.22 152.05 Gamma HHI 0.50 0.41 0.88 0.45 0.54 Net GEX 1.1K -855 2.0K 501 1.7K Net DEX -59.9K -74.6K -34.9K -44.5K -71.7K Net VEX -227 -306 -118 -274 -182 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 8.955 8 9 9 9
Daily Data (22 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 2013-05-01 $364.80 $0.00 32.0% 9.2% 28.8% 10.0% 0.0% 12.3% -13.7% 501 -44.5K -274 0.00 154.22 N/A N/A 0 0 4 5 2013-05-02 $371.52 $0.00 29.4% 8.4% 28.8% 8.5% 0.0% 5.5% -8.2% 831 -53.5K -277 0.00 155.57 N/A N/A 0 0 4 5 2013-05-03 $372.16 $0.00 88.9% 25.5% 27.9% 40.6% 0.0% 20.8% -13.6% 788 -51.4K -306 0.00 152.18 N/A N/A 0 0 4 5 2013-05-06 $371.84 $0.00 33.7% 8.8% 27.6% 10.9% 0.0% 5.3% 0.4% 856 -53.4K -272 0.00 151.89 N/A N/A 0 0 4 5 2013-05-07 $374.40 $0.00 33.5% 8.1% 26.7% 10.7% 0.0% 3.6% -1.2% 1.0K -57.0K -256 0.00 156.52 N/A N/A 0 0 4 5 2013-05-08 $369.92 $0.00 38.3% 8.7% 27.0% 13.3% 0.0% 9.0% -0.3% 781 -51.3K -260 0.00 145.92 N/A N/A 0 0 4 5 2013-05-09 $368.00 $0.00 41.7% 9.4% 27.1% 15.2% 0.0% 10.4% 1.3% 634 -49.2K -277 0.00 152.58 N/A N/A 0 0 4 5 2013-05-10 $374.40 $0.00 58.3% 7.9% 27.4% 24.1% 0.0% 8.3% 7.0% 1.1K -58.1K -249 0.00 141.60 N/A N/A 0 0 4 5 2013-05-13 $373.44 $0.00 50.6% 9.3% 27.1% 20.0% 0.0% 13.5% 9.1% 894 -56.4K -221 0.00 150.10 N/A N/A 0 0 4 5 2013-05-14 $378.56 $0.00 50.9% 8.0% 27.3% 20.1% 0.0% 7.2% 0.0% 1.3K -64.1K -221 0.00 155.34 N/A N/A 0 0 4 5 2013-05-15 $381.44 $0.00 54.9% 8.2% 26.8% 22.3% 0.0% 8.8% 0.1% 1.1K -63.4K -284 0.00 148.25 N/A N/A 0 0 4 5 2013-05-16 $377.60 $0.00 34.4% 9.9% 27.3% 11.2% 0.0% 8.9% -0.3% 1.1K -61.2K -252 0.00 156.69 N/A N/A 0 0 4 5 2013-05-17 $377.28 $0.00 31.9% 9.1% 27.1% 9.9% 0.0% 0.0% -9.4% -855 -34.9K -118 0.00 200.00 N/A N/A 0 0 3 5 2013-05-20 $381.76 $0.00 34.9% 10.0% 26.3% 11.5% 0.0% 11.7% -0.6% 1.4K -66.0K -224 0.00 156.46 N/A N/A 0 0 4 5 2013-05-21 $383.36 $0.00 32.8% 9.4% 26.3% 10.4% 0.0% 13.5% 2.6% 1.5K -68.5K -208 0.00 156.00 N/A N/A 0 0 4 5 2013-05-22 $379.52 $0.00 34.9% 10.0% 25.2% 11.5% 0.0% 12.3% 0.8% 1.3K -64.8K -216 0.00 156.74 N/A N/A 0 0 4 5 2013-05-23 $379.52 $0.00 28.1% 8.1% 25.1% 7.8% 0.0% 8.5% -1.3% 1.3K -65.1K -209 0.00 132.13 N/A N/A 0 0 4 5 2013-05-24 $380.48 $0.00 34.6% 9.9% 18.4% 11.4% 0.0% 7.4% -4.9% 2.0K -74.6K -161 0.00 131.22 N/A N/A 0 0 4 5 2013-05-28 $379.52 $0.00 31.8% 9.1% 18.4% 9.8% 0.0% 11.7% -0.4% 1.4K -65.4K -190 0.00 151.06 N/A N/A 0 0 4 5 2013-05-29 $385.28 $0.00 36.1% 10.3% 17.5% 12.1% 0.0% 11.8% -4.2% 1.8K -71.7K -184 0.00 151.37 N/A N/A 0 0 4 5 2013-05-30 $381.76 $0.00 34.4% 9.9% 14.9% 11.2% 0.0% 16.2% 10.3% 933 -71.0K -161 0.00 154.67 N/A N/A 0 0 4 5 2013-05-31 $384.32 $0.00 33.2% 9.5% 13.8% 10.6% 0.0% 19.3% -0.5% 1.7K -71.7K -182 0.00 152.05 N/A N/A 0 0 4 5
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