DAVE Options History — August 2013

In August 2013, DAVE traded between $504.00 and $533.44. ATM implied volatility averaged 54.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 28.2% (HV 20d: 26.7%). Max pain ranged from $480.00 to $560.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2013-08-28: Highest Volume — 3 contracts
  • 2013-08-09: Largest IV spike — 137.6% change
  • 2013-08-07: Highest IV Rank — 60.3%
  • 2013-08-07: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$514.25$504.00$533.44$514.88$514.88
Max Pain$541.82$480.00$560.00$480.00$560.00
ATM IV54.9%22.8%124.6%40.4%36.6%
Expected Move12.2%6.6%35.7%11.6%10.5%
HV 20d26.7%22.7%37.2%35.6%22.7%
HV 60d33.0%31.6%33.9%31.6%31.6%
IV Rank22.4%5.0%60.3%14.6%12.5%
IV Percentile55.0%2.8%90.5%55.2%40.1%
Term Structure-9.8%-25.6%6.3%-25.6%-3.4%
VWIV63.5%34.8%92.2%92.2%34.8%
Skew 25d4.5%-8.0%19.1%1.3%7.0%
Skew 10d9.1%0.2%71.9%5.6%6.7%
Call IV 25d31.2%17.5%164.8%29.4%23.5%
Put IV 25d35.7%18.5%171.3%30.7%30.6%
Bid-Ask Spread %140.17129.03148.54141.90147.98
Gamma HHI0.400.240.510.440.44
Net GEX3.1K-3.2K7.4K4.5K4.7K
Net DEX594.5K279.6K675.7K675.7K518.5K
Net VEX-2.6K-4.2K-1.9K-1.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.001.200.000.00
Total Volume0.2730310
Total OI39.95539433943

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$514.88$480.0040.4%11.6%35.6%14.6%0.0%1.3%-25.6%4.5K675.7K-1.9K0.00141.90N/AN/A011425
2013-08-02$531.84$480.0094.6%27.1%37.2%44.0%0.0%-4.9%-8.5%7.4K630.1K-2.1K0.00148.54N/AN/A001425
2013-08-05$525.12$480.00101.1%6.6%24.2%47.5%0.0%1.0%-0.2%4.9K609.7K-2.2K0.00137.52N/AN/A101425
2013-08-06$533.44$480.00106.4%7.6%24.0%50.4%0.0%0.9%6.3%3.0K562.1K-2.7K1.20136.85N/AN/A001425
2013-08-07$515.20$480.00124.6%35.7%26.7%60.3%92.2%6.5%-23.6%-3.2K279.6K-4.2K1.00141.59N/AN/A001425
2013-08-08$521.28$560.0022.8%8.5%26.5%5.0%0.0%8.4%1.0%3.2K638.2K-2.3K0.00136.59N/AN/A001525
2013-08-09$514.56$560.0054.1%10.2%25.9%22.0%0.0%16.6%-4.3%1.0K619.1K-2.6K0.00139.18N/AN/A001525
2013-08-12$512.96$560.0070.9%9.5%24.8%31.1%0.0%3.5%-3.5%1.0K601.9K-2.5K0.39137.63N/AN/A101525
2013-08-13$518.72$560.0084.9%13.5%25.2%38.7%0.0%15.9%-19.8%3.4K579.3K-2.7K0.00131.97N/AN/A001525
2013-08-14$505.60$560.0059.1%8.4%26.0%24.7%0.0%7.2%-2.2%630661.1K-2.2K0.00135.12N/AN/A001525
2013-08-15$514.56$560.0044.3%12.7%27.0%16.7%0.0%19.1%-14.2%2.2K601.9K-2.6K0.00129.03N/AN/A001525
2013-08-16$516.48$560.0031.8%9.1%26.9%9.9%0.0%-8.0%-6.1%3.9K593.3K-2.5K0.00129.39N/AN/A001525
2013-08-19$511.36$560.0034.0%9.7%27.1%11.1%0.0%2.5%-13.2%4.3K604.6K-2.4K0.00142.56N/AN/A001524
2013-08-20$510.40$560.0034.6%9.9%26.9%11.4%0.0%1.4%-11.6%4.0K592.6K-2.5K0.00141.54N/AN/A001524
2013-08-21$505.92$560.0035.1%10.1%26.7%11.7%0.0%1.6%-9.6%3.1K608.4K-2.6K0.00141.43N/AN/A001525
2013-08-22$506.56$560.0042.9%12.3%26.7%15.9%0.0%5.0%-16.6%3.2K595.0K-2.7K0.00139.05N/AN/A001525
2013-08-23$512.00$560.0043.9%12.6%26.8%16.5%34.8%8.4%-14.2%2.9K619.3K-2.6K0.00147.37N/AN/A001525
2013-08-26$512.32$560.0037.3%10.7%26.1%12.9%0.0%2.1%-12.3%4.1K628.8K-2.4K0.00141.72N/AN/A001525
2013-08-27$507.52$560.0034.8%10.0%26.0%11.5%0.0%0.8%-9.7%2.7K646.3K-2.4K0.00146.69N/AN/A001525
2013-08-28$504.00$560.0036.1%10.3%24.4%12.2%0.0%2.1%-9.8%2.2K656.9K-2.4K0.00143.94N/AN/A301525
2013-08-29$504.00$560.0037.7%10.8%24.4%13.1%0.0%0.4%-13.9%5.0K557.7K-2.9K0.00146.06N/AN/A001825
2013-08-30$514.88$560.0036.6%10.5%22.7%12.5%0.0%7.0%-3.4%4.7K518.5K-3.1K0.00147.98N/AN/A001825