DAVE Options History — March 2014

In March 2014, DAVE traded between $783.36 and $1002.88. ATM implied volatility averaged 69.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 18.9% (HV 20d: 50.4%). Max pain ranged from $480.00 to $720.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2014-03-13: Highest Volume — 15 contracts
  • 2014-03-31: Largest IV spike — 77.8% change
  • 2014-03-04: Highest IV Rank — 70.1%
  • 2014-03-04: Largest Expected Move — 39.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$895.18$783.36$1002.88$792.00$783.36
Max Pain$537.14$480.00$720.00$720.00$560.00
ATM IV69.3%42.5%138.2%114.4%88.6%
Expected Move18.7%12.2%39.6%32.8%25.4%
HV 20d50.4%38.4%72.7%72.7%51.1%
HV 60d53.8%52.1%57.4%52.2%57.3%
IV Rank34.4%20.5%70.1%57.8%44.4%
IV Percentile58.6%44.0%87.3%81.3%65.5%
Term Structure-7.8%-90.3%18.8%-38.7%-90.3%
VWIV62.2%34.3%172.0%172.0%104.2%
Skew 25d19.8%-38.3%94.3%-20.8%94.3%
Skew 10d26.4%-36.8%114.7%1.8%59.7%
Call IV 25d64.4%32.6%172.4%154.9%65.1%
Put IV 25d84.2%41.7%159.4%134.2%159.4%
Bid-Ask Spread %110.1196.32132.50132.50101.40
Gamma HHI0.440.180.650.180.35
Net GEX60.1K19.5K93.6K19.5K67.0K
Net DEX-3.5M-5.1M-1.7M-1.7M-2.8M
Net VEX-7.8K-10.7K-4.6K-6.2K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.050.050.09
Total Volume401521
Total OI104.4298313083130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$792.00$720.00114.4%32.8%72.7%57.8%0.0%-20.8%-38.7%19.5K-1.7M-6.2K0.05132.50N/AN/A204637
2014-03-04$803.84$720.00138.2%39.6%67.7%70.1%172.0%-38.3%-39.0%26.7K-2.2M-5.5K0.04121.16N/AN/A304837
2014-03-05$818.56$720.0093.2%26.7%65.4%46.8%55.6%45.3%1.3%31.2K-2.3M-5.2K0.00127.13N/AN/A305037
2014-03-06$842.56$720.0097.6%28.0%65.0%49.1%0.0%-15.5%8.5%38.6K-2.6M-6.0K1.05125.57N/AN/A115337
2014-03-07$896.00$480.0068.1%16.7%66.2%33.8%61.7%23.6%-6.8%46.1K-3.0M-4.9K0.01105.22N/AN/A305438
2014-03-10$899.84$480.0077.7%16.2%64.7%38.8%0.0%35.4%8.3%43.3K-3.0M-5.1K0.00112.28N/AN/A205438
2014-03-11$904.00$480.0081.9%15.5%47.2%40.9%0.0%38.6%-4.4%48.2K-3.1M-5.1K0.00111.75N/AN/A005438
2014-03-12$911.04$480.0080.7%14.9%44.4%40.3%0.0%40.6%10.9%49.1K-3.1M-4.6K0.00112.51N/AN/A005438
2014-03-13$909.76$480.0056.2%16.1%41.7%27.6%61.5%34.9%6.7%43.7K-3.0M-5.0K0.03107.83N/AN/A1505438
2014-03-14$906.24$480.0051.3%14.7%39.4%25.1%51.5%45.4%18.8%63.0K-3.7M-8.0K0.00113.60N/AN/A1206838
2014-03-17$943.68$480.0051.3%14.7%38.4%25.1%46.2%10.2%6.5%93.6K-4.4M-9.2K0.00112.31N/AN/A107738
2014-03-18$985.92$480.0049.6%14.2%39.9%24.2%34.3%11.8%1.8%89.0K-5.0M-10.1K0.03106.11N/AN/A607738
2014-03-19$990.08$480.0046.0%13.2%40.0%22.4%45.9%1.1%1.4%91.9K-5.0M-9.9K0.49103.34N/AN/A117939
2014-03-20$1002.88$480.0042.5%12.2%38.5%20.5%42.7%-5.9%6.7%87.5K-5.1M-9.8K0.20103.54N/AN/A207839
2014-03-21$1000.00$480.0044.4%12.7%38.6%21.5%46.5%24.7%2.8%88.5K-5.1M-9.7K0.49100.51N/AN/A217840
2014-03-24$969.92$480.0045.8%13.1%41.1%22.2%45.9%-4.3%-2.8%72.6K-4.4M-9.4K0.13103.38N/AN/A107036
2014-03-25$925.12$480.0048.5%13.9%45.0%23.7%47.5%4.2%6.5%65.2K-4.0M-9.3K0.07109.44N/AN/A507036
2014-03-26$875.84$480.0061.2%17.5%49.4%30.2%54.6%1.8%-21.4%62.2K-3.5M-10.1K0.04102.93N/AN/A1007436
2014-03-27$837.44$560.0068.2%19.6%51.8%33.8%61.1%17.6%-32.4%71.0K-3.4M-10.7K0.09103.57N/AN/A718436
2014-03-28$800.64$560.0049.8%14.3%50.6%24.3%63.3%69.9%-7.5%63.3K-2.9M-9.6K0.0096.32N/AN/A309136
2014-03-31$783.36$560.0088.6%25.4%51.1%44.4%104.2%94.3%-90.3%67.0K-2.8M-10.4K0.09101.40N/AN/A109436