DAVE Options History — December 2013

In December 2013, DAVE traded between $585.60 and $641.28. ATM implied volatility averaged 140.4%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 36.4%. IV traded above realized volatility by 111.8% (HV 20d: 28.6%). Max pain ranged from $720.00 to $800.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2013-12-30: Highest Volume — 5 contracts
  • 2013-12-12: Largest IV drop — 39.9% change
  • 2013-12-09: Highest IV Rank — 92.0%
  • 2013-12-30: Largest Expected Move — 48.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$617.62$585.60$641.28$641.28$585.60
Max Pain$728.42$720.00$800.00$800.00$720.00
ATM IV140.4%107.8%181.2%140.9%168.9%
Expected Move36.4%27.7%48.5%40.4%48.4%
HV 20d28.6%24.5%32.7%32.6%24.7%
HV 60d29.0%27.8%30.2%27.8%30.0%
IV Rank70.9%54.1%92.0%71.2%85.7%
IV Percentile91.9%84.1%98.0%93.3%96.0%
Term Structure-59.2%-105.9%-37.3%-52.7%-60.0%
VWIV112.2%48.8%188.0%188.0%106.6%
Skew 25d13.6%-51.9%85.1%4.2%51.7%
Skew 10d-28.0%-83.2%64.8%-74.0%39.7%
Call IV 25d133.7%36.0%188.0%182.1%36.0%
Put IV 25d147.2%87.7%192.3%186.2%87.7%
Bid-Ask Spread %141.44135.00145.09141.60143.49
Gamma HHI0.560.460.680.580.46
Net GEX-33.4K-55.3K-20.5K-33.9K-21.9K
Net DEX405.2K20.3K694.8K20.3K577.8K
Net VEX-8.9K-9.6K-7.4K-7.5K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.005.540.000.07
Total Volume0.9520512
Total OI120115131116131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$641.28$0.00140.9%40.4%32.6%71.2%0.0%4.2%-52.7%-33.9K20.3K-7.5K0.00141.60N/AN/A012789
2013-12-03$635.84$0.00144.9%41.5%32.7%73.3%188.0%4.4%-55.9%-36.7K65.8K-7.5K0.00143.43N/AN/A002789
2013-12-04$631.36$800.00149.8%42.9%31.6%75.8%0.0%33.1%-56.8%-37.1K290.7K-9.3K0.00142.59N/AN/A002789
2013-12-05$630.08$800.00154.6%44.3%31.5%78.3%0.0%23.5%-62.5%-34.5K314.7K-9.4K0.00143.71N/AN/A002788
2013-12-06$613.76$720.00163.0%27.7%30.2%82.6%82.9%-7.7%-43.8%-35.2K306.0K-8.8K0.00139.20N/AN/A032788
2013-12-09$621.12$720.00181.2%29.7%30.4%92.0%0.0%-3.0%-45.7%-24.8K332.8K-9.6K0.00135.00N/AN/A002790
2013-12-10$608.96$720.00168.7%29.3%30.4%85.6%118.6%22.1%-37.3%-36.2K147.1K-8.4K0.00142.01N/AN/A002790
2013-12-11$614.08$720.00179.5%30.2%30.7%91.1%0.0%59.5%-60.5%-29.7K694.8K-9.6K0.00140.67N/AN/A002790
2013-12-12$605.76$720.00107.8%30.9%30.3%54.1%48.8%85.1%-65.6%-31.2K692.2K-9.5K0.00145.09N/AN/A102790
2013-12-13$624.32$720.00110.1%31.6%32.5%55.3%0.0%40.9%-63.5%-29.7K571.4K-9.4K0.29138.69N/AN/A102890
2013-12-16$632.00$720.00115.8%33.2%27.9%58.3%0.0%-16.2%-105.9%-54.0K379.0K-7.4K0.00141.32N/AN/A002990
2013-12-17$624.32$720.00124.9%35.8%27.8%62.9%0.0%45.6%-85.9%-27.9K553.3K-9.5K0.00139.51N/AN/A002990
2013-12-18$620.80$720.00115.3%33.0%27.8%58.0%104.7%30.1%-75.3%-39.1K477.5K-8.7K0.00136.70N/AN/A012990
2013-12-19$622.40$720.00117.6%33.7%25.9%59.2%79.0%-49.2%-80.2%-37.3K572.2K-8.9K0.00140.86N/AN/A012991
2013-12-20$608.00$720.00116.4%33.4%25.3%58.6%0.0%15.1%-64.5%-55.3K613.0K-8.2K0.16139.39N/AN/A202992
2013-12-23$617.60$720.00121.3%34.8%26.0%61.1%120.4%5.4%-39.4%-39.3K383.3K-8.6K4.80142.27N/AN/A023192
2013-12-24$617.92$720.00123.7%35.5%26.0%62.3%152.4%23.1%-49.3%-26.3K404.0K-9.5K0.70144.65N/AN/A103194
2013-12-26$619.52$720.00128.8%36.9%25.9%65.0%120.2%5.8%-42.9%-27.9K380.9K-9.4K0.00143.35N/AN/A003195
2013-12-27$606.40$720.00145.9%41.8%24.5%73.8%0.0%-36.6%-41.3%-22.8K308.5K-9.1K1.00144.01N/AN/A003195
2013-12-30$588.80$720.00169.2%48.5%24.7%85.8%106.6%-51.9%-54.1%-20.5K423.8K-8.9K5.54142.74N/AN/A143295
2013-12-31$585.60$720.00168.9%48.4%24.7%85.7%0.0%51.7%-60.0%-21.9K577.8K-9.2K0.07143.49N/AN/A203299