DAVE Options History — October 2013

In October 2013, DAVE traded between $507.20 and $608.32. ATM implied volatility averaged 39.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 16.7% (HV 20d: 22.3%). Max pain ranged from $400.00 to $560.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.57.

Notable Days

  • 2013-10-23: Highest Volume — 34 contracts
  • 2013-10-04: Largest IV spike — 99.0% change
  • 2013-10-04: Highest IV Rank — 43.8%
  • 2013-10-03: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$546.85$507.20$608.32$518.40$577.60
Max Pain$539.13$400.00$560.00$400.00$560.00
ATM IV39.0%27.2%94.3%37.3%34.6%
Expected Move10.0%7.8%13.6%10.7%9.9%
HV 20d22.3%16.0%32.3%16.0%30.9%
HV 60d21.8%20.7%24.5%20.8%23.2%
IV Rank13.8%7.4%43.8%12.9%11.5%
IV Percentile34.8%3.6%82.9%38.9%28.2%
Term Structure-2.3%-22.9%10.9%-14.4%-2.0%
VWIV46.7%46.7%46.7%46.7%46.7%
Skew 25d10.1%-1.6%18.9%13.7%2.1%
Skew 10d7.6%-1.4%13.5%9.2%11.2%
Call IV 25d26.2%19.7%42.4%24.0%31.5%
Put IV 25d36.3%26.2%47.6%37.7%33.5%
Bid-Ask Spread %134.14113.08151.06146.40140.91
Gamma HHI0.510.310.660.580.58
Net GEX-3.5K-40.9K18.9K15.2K-37.1K
Net DEX532.7K414.4K780.1K518.1K780.1K
Net VEX-3.7K-9.4K-1.6K-1.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.008.290.000.18
Total Volume3.56503400
Total OI61.1743511045110

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$518.40$400.0037.3%10.7%16.0%12.9%0.0%13.7%-14.4%15.2K518.1K-1.8K0.00146.40N/AN/A002124
2013-10-02$507.20$400.0044.1%12.7%17.8%16.6%0.0%16.9%-19.2%11.7K517.8K-1.9K0.00150.26N/AN/A002124
2013-10-03$515.84$400.0047.4%13.6%18.3%18.4%0.0%15.8%-22.9%13.2K494.0K-1.9K0.00151.06N/AN/A002124
2013-10-04$524.80$560.0094.3%8.4%18.4%43.8%0.0%13.3%8.2%12.9K444.4K-2.1K0.00134.25N/AN/A002124
2013-10-07$513.92$560.0052.7%12.4%19.9%21.2%0.0%16.6%-12.2%13.1K492.0K-1.9K0.00133.70N/AN/A002124
2013-10-08$516.48$560.0043.3%10.4%19.5%16.1%0.0%11.0%-1.8%14.8K527.3K-1.7K0.00130.76N/AN/A102124
2013-10-09$519.68$560.0049.5%10.5%19.6%19.5%0.0%11.3%-6.4%14.5K459.6K-1.9K0.00132.91N/AN/A002224
2013-10-10$515.20$560.0036.7%10.5%19.2%12.5%0.0%15.2%1.1%14.2K501.1K-1.8K0.00131.44N/AN/A002224
2013-10-11$521.92$560.0027.7%7.9%19.7%7.7%0.0%12.0%6.2%16.6K467.1K-1.8K0.00129.87N/AN/A002224
2013-10-14$527.68$560.0029.5%8.5%19.7%8.7%0.0%18.9%10.9%5.3K524.0K-1.6K0.00130.66N/AN/A002224
2013-10-15$527.68$560.0028.5%8.2%19.5%8.1%0.0%10.7%7.1%18.9K459.7K-1.8K0.15130.47N/AN/A102224
2013-10-16$527.36$560.0031.1%8.9%19.5%9.5%0.0%16.1%8.0%1.8K522.6K-1.6K0.00135.16N/AN/A002224
2013-10-17$538.88$560.0027.2%7.8%20.7%7.4%0.0%4.6%7.2%8.8K516.8K-1.6K0.00132.99N/AN/A002224
2013-10-18$543.68$560.0030.9%8.8%20.7%9.4%0.0%-1.6%-1.9%7.4K488.4K-1.7K0.00134.93N/AN/A002224
2013-10-21$553.92$560.0034.8%10.0%20.7%11.6%0.0%1.0%-1.7%1.1K551.9K-1.8K0.30132.77N/AN/A001322
2013-10-22$568.64$560.0038.3%11.0%22.4%13.5%0.0%8.5%-1.9%-2.0K452.3K-2.2K8.29129.44N/AN/A4291322
2013-10-23$596.80$560.0041.2%11.8%27.2%15.1%46.7%5.1%-3.3%-22.9K414.4K-5.0K6.05113.08N/AN/A5291651
2013-10-24$591.36$560.0028.5%8.2%27.4%8.1%0.0%4.1%-5.8%-40.9K648.9K-7.5K0.00134.54N/AN/A002180
2013-10-25$599.68$560.0032.2%9.2%27.2%10.2%0.0%8.0%-7.8%-36.9K564.2K-7.8K0.00130.62N/AN/A052180
2013-10-28$608.32$560.0029.4%8.4%25.7%8.6%0.0%11.8%9.6%-37.5K484.9K-7.9K0.70128.92N/AN/A212183
2013-10-29$580.48$560.0037.9%10.9%32.3%13.3%0.0%9.0%-4.5%-36.8K761.4K-9.0K0.18132.22N/AN/A412383
2013-10-30$582.08$560.0040.6%11.6%30.7%14.8%0.0%8.0%-6.4%-35.2K661.6K-9.4K0.00137.77N/AN/A002684
2013-10-31$577.60$560.0034.6%9.9%30.9%11.5%0.0%2.1%-2.0%-37.1K780.1K-9.4K0.00140.91N/AN/A002684