DAVE Options History — May 2014

In May 2014, DAVE traded between $848.00 and $1054.08. ATM implied volatility averaged 59.0%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 19.4% (HV 20d: 39.6%). Max pain ranged from $640.00 to $720.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.68.

Notable Days

  • 2014-05-27: Highest Volume — 6 contracts
  • 2014-05-14: Largest IV drop — 76.2% change
  • 2014-05-13: Highest IV Rank — 64.5%
  • 2014-05-09: Largest Expected Move — 27.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$947.22$848.00$1054.08$848.00$1026.24
Max Pain$666.67$640.00$720.00$720.00$640.00
ATM IV59.0%30.3%127.5%52.7%63.5%
Expected Move15.3%11.2%27.3%15.1%18.2%
HV 20d39.6%33.3%43.2%42.7%36.0%
HV 60d51.0%47.9%60.0%60.0%48.5%
IV Rank29.1%14.2%64.5%25.8%31.4%
IV Percentile50.7%9.1%89.7%53.2%60.3%
Term Structure0.6%-22.2%17.4%0.1%-16.9%
VWIV49.2%38.0%66.5%49.2%42.2%
Skew 25d12.1%-7.7%51.4%11.5%9.0%
Skew 10d9.1%-21.2%58.7%2.1%-10.3%
Call IV 25d44.4%36.1%66.6%39.4%39.9%
Put IV 25d56.5%47.8%118.0%50.9%49.0%
Bid-Ask Spread %104.1989.91124.26119.68113.68
Gamma HHI0.490.420.690.480.43
Net GEX95.1K72.8K194.9K72.8K80.1K
Net DEX-3.5M-4.7M-2.4M-2.4M-4.0M
Net VEX-11.4K-12.8K-10.2K-11.2K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.0045.000.001.29
Total Volume1.9050611
Total OI105.5249412010796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$848.00$720.0052.7%15.1%42.7%25.8%0.0%11.5%0.1%72.8K-2.4M-11.2K0.00119.68N/AN/A108621
2014-05-02$859.52$720.0049.8%14.3%42.2%24.3%0.0%-1.1%2.1%77.7K-2.6M-11.2K0.56117.12N/AN/A108621
2014-05-05$857.28$720.0055.2%15.8%42.1%27.1%0.0%19.3%-1.9%75.7K-2.5M-11.0K0.87121.52N/AN/A008621
2014-05-06$861.44$720.0053.0%15.2%39.9%26.0%49.2%20.6%3.1%79.1K-2.6M-11.0K0.38124.26N/AN/A218721
2014-05-07$868.16$720.0053.2%15.3%39.8%26.1%0.0%5.4%2.1%77.5K-2.6M-11.3K1.18115.18N/AN/A118622
2014-05-08$888.96$720.0076.6%22.0%40.5%38.2%49.0%-7.7%-7.9%86.3K-2.9M-11.6K0.49120.50N/AN/A118723
2014-05-09$948.48$720.0095.2%27.3%43.2%47.8%55.8%51.4%-22.2%115.7K-3.8M-12.4K0.03107.04N/AN/A408724
2014-05-12$960.00$640.00119.2%14.3%41.2%60.2%51.3%15.6%-0.5%129.9K-4.2M-12.7K0.0090.46N/AN/A009024
2014-05-13$953.92$640.00127.5%13.4%41.1%64.5%49.6%9.3%5.0%135.6K-4.1M-12.1K15.6097.19N/AN/A059024
2014-05-14$945.28$640.0030.3%12.9%41.1%14.2%53.7%10.3%4.0%194.9K-3.7M-12.8K45.0093.50N/AN/A019028
2014-05-15$930.24$640.0031.1%12.5%41.9%14.6%0.0%6.7%4.1%104.2K-3.3M-12.2K0.6395.76N/AN/A109030
2014-05-16$918.40$640.0041.0%12.3%42.2%19.8%66.5%13.0%4.5%73.3K-3.1M-11.8K0.5694.04N/AN/A218930
2014-05-19$947.84$640.0039.1%11.2%42.8%18.7%0.0%7.5%17.4%77.0K-3.2M-11.7K2.7594.20N/AN/A007029
2014-05-20$961.28$640.0046.8%13.4%42.9%22.8%42.6%13.0%5.8%79.0K-3.4M-12.0K0.0091.91N/AN/A007029
2014-05-21$1002.24$640.0059.7%17.1%39.4%29.5%52.1%-0.7%-7.0%81.3K-3.9M-11.8K0.01101.33N/AN/A307029
2014-05-22$1013.12$640.0049.6%14.2%35.7%24.2%44.9%7.9%4.0%100.7K-3.9M-10.9K0.1798.98N/AN/A006829
2014-05-23$1016.32$640.0051.8%14.9%33.3%25.4%44.7%10.3%0.3%92.6K-4.0M-10.8K0.4292.39N/AN/A216829
2014-05-27$1054.08$640.0039.2%11.2%33.8%18.8%38.0%28.3%11.7%97.3K-4.7M-10.2K0.0095.74N/AN/A606729
2014-05-28$1023.36$640.0053.7%15.4%34.9%26.3%42.2%20.0%5.6%82.6K-4.2M-10.7K1.2989.91N/AN/A226529
2014-05-29$1007.36$640.0051.2%14.7%36.0%25.0%0.0%4.1%-0.0%83.3K-3.8M-10.3K0.00113.59N/AN/A006630
2014-05-30$1026.24$640.0063.5%18.2%36.0%31.4%0.0%9.0%-16.9%80.1K-4.0M-10.6K0.00113.68N/AN/A016630