DAVE Options History — July 2013

In July 2013, DAVE traded between $493.12 and $545.28. ATM implied volatility averaged 39.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.9% (HV 20d: 36.9%). Max pain ranged from $400.00 to $560.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2013-07-25: Highest Volume — 27 contracts
  • 2013-07-08: Largest IV spike — 164.0% change
  • 2013-07-08: Highest IV Rank — 50.1%
  • 2013-07-25: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$522.62$493.12$545.28$493.76$516.80
Max Pain$472.00$400.00$560.00$400.00$480.00
ATM IV39.8%17.0%105.8%40.5%41.7%
Expected Move10.6%7.7%21.3%11.6%12.0%
HV 20d36.9%31.1%42.2%36.9%35.6%
HV 60d31.4%28.4%33.0%28.9%31.5%
IV Rank14.2%1.8%50.1%14.6%15.3%
IV Percentile38.5%0.4%82.5%49.2%57.5%
Term Structure-6.9%-25.1%4.8%-10.8%-25.1%
VWIV31.0%20.9%43.7%41.3%23.6%
Skew 25d4.4%-9.5%16.2%2.6%0.4%
Skew 10d6.2%-0.1%17.1%12.4%5.6%
Call IV 25d28.2%19.1%35.4%35.1%28.6%
Put IV 25d32.7%20.0%45.7%37.6%29.0%
Bid-Ask Spread %138.84124.39147.38139.19144.94
Gamma HHI0.600.300.790.470.43
Net GEX8.2K-95310.9K9.7K4.4K
Net DEX-161.5K-478.5K710.0K-313.8K663.3K
Net VEX-1.0K-2.3K-598-721-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.008.030.000.36
Total Volume1.45502700
Total OI20.8649391839

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$493.76$400.0040.5%11.6%36.9%14.6%0.0%2.6%-10.8%9.7K-313.8K-7210.00139.19N/AN/A00126
2013-07-02$494.40$400.0035.5%10.2%32.8%11.9%0.0%1.9%-0.7%9.4K-302.9K-7440.00124.39N/AN/A00126
2013-07-03$493.12$400.0040.5%11.6%31.3%14.6%41.3%7.8%-5.0%9.1K-305.9K-6820.00137.91N/AN/A00126
2013-07-05$493.12$0.0040.1%9.1%31.1%14.4%0.0%4.5%-14.5%9.7K-279.4K-5980.00147.38N/AN/A00126
2013-07-08$534.40$0.00105.8%9.1%39.5%50.1%20.9%7.3%-0.7%10.2K-396.9K-7750.00134.03N/AN/A00126
2013-07-09$544.00$560.0019.1%7.7%39.5%3.0%24.0%4.4%4.7%10.9K-436.1K-7951.50140.81N/AN/A00126
2013-07-10$545.28$480.0017.0%8.6%39.5%1.8%0.0%2.4%0.0%10.6K-443.1K-8330.90141.40N/AN/A00127
2013-07-11$535.04$480.0029.0%8.3%40.6%8.4%0.0%3.9%-0.8%10.0K-448.9K-7190.00141.78N/AN/A10137
2013-07-12$544.00$480.0028.5%8.2%40.5%8.1%0.0%5.9%-0.3%10.6K-478.5K-7600.00140.79N/AN/A00137
2013-07-15$531.52$480.0037.9%10.9%42.0%13.2%0.0%-0.8%-13.0%9.1K-454.4K-7995.00138.71N/AN/A00137
2013-07-16$529.60$480.0037.5%10.8%42.2%13.0%0.0%-8.5%-16.3%9.1K-437.5K-7890.00133.80N/AN/A00137
2013-07-17$536.96$480.0038.9%11.1%41.9%13.7%0.0%-0.3%-13.1%9.9K-457.0K-8190.10139.50N/AN/A00137
2013-07-18$534.08$480.0039.1%11.2%38.6%13.8%32.7%9.6%-0.4%8.5K-465.4K-8820.00136.77N/AN/A00147
2013-07-19$529.92$480.0034.2%9.8%38.1%11.2%0.0%16.2%4.8%9.1K-408.6K-9040.00134.30N/AN/A00137
2013-07-22$529.28$480.0036.2%10.4%34.7%12.3%0.0%8.0%1.2%10.0K-149.6K-7550.00144.07N/AN/A0081
2013-07-23$532.80$480.0044.0%12.6%34.0%16.5%0.0%12.4%-11.1%8.8K-185.5K-8750.00138.19N/AN/A0081
2013-07-24$525.12$480.0038.8%11.1%34.2%13.7%43.7%9.1%-8.3%8.8K-168.7K-8431.91130.03N/AN/A0181
2013-07-25$523.52$480.0074.1%21.3%34.2%32.9%23.6%13.6%-1.2%10.9K-129.4K-7378.03142.17N/AN/A32492
2013-07-26$517.76$480.0031.2%8.9%34.5%9.6%0.0%11.7%-12.1%-953653.4K-2.3K0.00137.65N/AN/A101225
2013-07-29$509.12$480.0032.8%9.4%34.6%10.4%0.0%-5.3%-12.1%23681.6K-2.1K0.36141.69N/AN/A101325
2013-07-30$504.00$480.0032.8%9.4%34.6%10.4%0.0%-9.5%-17.4%1.6K710.0K-1.8K0.36145.00N/AN/A101425
2013-07-31$516.80$480.0041.7%12.0%35.6%15.3%0.0%0.4%-25.1%4.4K663.3K-2.0K0.00144.94N/AN/A001425