DAVE Options History — April 2014

In April 2014, DAVE traded between $771.20 and $881.28. ATM implied volatility averaged 60.1%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 1.4% (HV 20d: 58.7%). Max pain ranged from $560.00 to $720.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2014-04-15: Highest Volume — 8 contracts
  • 2014-04-08: Largest IV spike — 65.4% change
  • 2014-04-08: Highest IV Rank — 47.0%
  • 2014-04-03: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$821.73$771.20$881.28$870.72$847.68
Max Pain$697.14$560.00$720.00$560.00$720.00
ATM IV60.1%48.2%93.6%68.5%52.2%
Expected Move16.6%13.7%22.8%19.6%15.0%
HV 20d58.7%43.0%63.4%63.4%43.0%
HV 60d61.4%60.3%62.3%60.9%60.3%
IV Rank29.6%23.5%47.0%34.0%25.6%
IV Percentile55.0%46.8%70.2%57.9%52.0%
Term Structure-4.4%-49.4%19.1%-37.5%2.2%
VWIV61.0%46.7%142.0%57.2%52.1%
Skew 25d7.6%-5.9%52.8%-5.9%2.7%
Skew 10d46.3%-14.3%109.8%5.7%6.5%
Call IV 25d56.2%41.0%75.3%61.3%51.8%
Put IV 25d63.8%52.3%128.2%55.3%54.5%
Bid-Ask Spread %97.5873.79110.47101.17109.19
Gamma HHI0.450.400.490.460.47
Net GEX67.1K51.7K86.5K81.3K73.3K
Net DEX-2.9M-4.0M-1.8M-4.0M-2.4M
Net VEX-10.6K-12.2K-9.5K-11.6K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.007.450.577.45
Total Volume2.810833
Total OI124.95294154131104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$870.72$560.0068.5%19.6%63.4%34.0%57.2%-5.9%-37.5%81.3K-4.0M-11.6K0.57101.17N/AN/A219536
2014-04-02$881.28$560.0063.0%18.1%63.3%31.1%46.7%16.6%13.1%85.4K-4.0M-11.7K0.5998.38N/AN/A219637
2014-04-03$860.48$560.0079.5%22.8%63.3%39.7%0.0%30.1%-49.4%86.5K-3.8M-12.2K0.95102.80N/AN/A119738
2014-04-04$853.44$720.0074.3%13.7%59.1%37.0%51.9%0.2%19.1%82.9K-3.8M-11.4K0.3393.99N/AN/A109739
2014-04-07$823.04$720.0056.6%18.1%60.3%27.8%61.7%1.8%-7.8%71.4K-3.3M-10.6K0.4179.60N/AN/A319839
2014-04-08$832.64$720.0093.6%18.6%60.5%47.0%62.1%4.4%-12.1%78.9K-3.5M-11.2K0.6784.39N/AN/A219940
2014-04-09$839.68$720.0055.5%17.2%60.5%27.3%142.0%-5.3%-3.7%72.1K-3.6M-11.3K0.2390.93N/AN/A1010040
2014-04-10$808.96$720.0063.3%18.2%61.6%31.3%63.0%-3.0%-12.4%62.5K-3.1M-10.3K0.2473.79N/AN/A3110140
2014-04-11$787.52$720.0058.9%16.9%62.0%29.0%59.8%17.9%-6.7%63.9K-2.9M-10.9K0.63102.28N/AN/A2110341
2014-04-14$808.64$720.0048.2%13.8%60.8%23.5%53.1%-2.3%9.4%59.0K-3.0M-9.8K1.3398.49N/AN/A1210442
2014-04-15$801.60$720.0058.0%16.6%57.7%28.5%60.1%0.1%0.1%55.7K-2.9M-9.6K0.3496.15N/AN/A6210543
2014-04-16$812.16$720.0056.1%16.1%58.1%27.6%56.3%-0.2%-0.9%59.2K-3.1M-10.5K0.00102.16N/AN/A3010944
2014-04-17$807.04$720.0055.7%16.0%57.5%27.3%57.5%0.9%-2.6%59.5K-3.1M-10.7K0.1697.49N/AN/A4111044
2014-04-21$801.60$720.0058.5%16.8%57.4%28.8%0.0%-1.3%1.4%58.4K-1.9M-10.3K0.00102.23N/AN/A008113
2014-04-22$806.40$720.0056.7%16.3%57.2%27.9%58.4%52.8%-5.6%60.3K-2.0M-10.0K0.00110.47N/AN/A008113
2014-04-23$771.20$720.0055.7%16.0%57.0%27.4%55.5%15.4%-2.5%51.7K-1.8M-9.9K0.00104.75N/AN/A018213
2014-04-24$817.28$720.0051.4%14.7%59.0%25.1%49.7%12.9%-0.7%62.7K-1.9M-9.5K0.48107.78N/AN/A428214
2014-04-25$797.12$720.0050.5%14.5%57.6%24.7%50.4%10.6%2.8%59.2K-1.9M-10.2K0.3196.58N/AN/A008516
2014-04-28$794.88$720.0052.8%15.1%55.4%25.9%0.0%12.2%-1.4%57.2K-1.8M-9.9K4.88101.20N/AN/A138516
2014-04-29$832.96$720.0052.1%14.9%57.2%25.5%52.1%-1.3%2.5%68.2K-2.2M-10.6K1.8895.36N/AN/A118517
2014-04-30$847.68$720.0052.2%15.0%43.0%25.6%0.0%2.7%2.2%73.3K-2.4M-10.9K7.45109.19N/AN/A038618