DAVE Options History — August 2014

In August 2014, DAVE traded between $775.36 and $870.40. ATM implied volatility averaged 47.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 4.6% (HV 20d: 52.3%). Max pain ranged from $800.00 to $800.00. Net GEX was positive for 21 of 21 trading days. Put/call ratio averaged 0.07.

Notable Days

  • 2014-08-05: Highest Volume — 2 contracts
  • 2014-08-26: Largest IV spike — 48.3% change
  • 2014-08-26: Highest IV Rank — 33.7%
  • 2014-08-26: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$837.49$775.36$870.40$775.36$867.52
Max Pain$800.00$800.00$800.00$800.00$800.00
ATM IV47.7%42.9%67.9%57.1%43.1%
Expected Move13.7%12.3%19.5%16.4%12.4%
HV 20d52.3%31.8%55.6%31.8%49.6%
HV 60d43.9%39.8%45.3%39.8%43.0%
IV Rank23.2%20.7%33.7%28.1%20.9%
IV Percentile39.4%26.2%63.1%56.7%26.2%
VWIV42.9%29.3%51.9%48.3%29.3%
Skew 25d4.7%-11.5%19.3%-2.2%4.9%
Skew 10d21.3%-5.3%98.2%98.2%10.1%
Call IV 25d41.8%33.8%50.0%48.1%38.5%
Put IV 25d46.5%38.5%53.1%45.9%43.5%
Bid-Ask Spread %103.7579.41136.25114.82105.75
Gamma HHI0.330.280.430.280.41
Net GEX18.6K6.1K29.2K14.7K29.2K
Net DEX-309.2K-611.4K-2.9K-226.6K-454.0K
Net VEX-5.0K-6.7K-2.6K-6.4K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.200.000.00
Total Volume0.1430200
Total OI63.85763646364

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$775.36$800.0057.1%16.4%31.8%28.1%48.3%-2.2%0.0%14.7K-226.6K-6.4K0.00114.82N/AN/A004221
2014-08-04$862.40$800.0045.7%13.1%51.6%22.2%46.7%1.2%0.0%28.4K-577.5K-6.5K0.0081.62N/AN/A004221
2014-08-05$855.36$800.0048.9%14.0%50.7%23.9%51.9%2.8%0.0%25.5K-611.4K-6.7K0.0084.76N/AN/A024221
2014-08-06$804.80$800.0044.7%12.8%54.8%21.7%29.4%2.7%0.0%11.6K-112.3K-5.5K0.0084.65N/AN/A004222
2014-08-07$805.44$800.0045.3%13.0%54.8%22.0%48.4%5.8%0.0%11.9K-122.8K-5.5K0.0089.05N/AN/A004222
2014-08-08$810.88$800.0044.9%12.9%54.8%21.7%0.0%4.7%0.0%12.0K-113.2K-5.3K0.0097.76N/AN/A004222
2014-08-11$827.84$800.0047.2%13.5%55.3%22.9%0.0%5.9%0.0%17.0K-248.6K-5.6K0.0094.29N/AN/A004222
2014-08-12$818.56$800.0044.9%12.9%55.3%21.7%0.0%4.6%0.0%14.5K-191.9K-4.6K0.00131.88N/AN/A004222
2014-08-13$839.68$800.0046.7%13.4%55.6%22.7%0.0%6.2%0.0%18.5K-291.5K-5.4K0.0095.20N/AN/A004222
2014-08-14$845.44$800.0047.0%13.5%52.8%22.9%40.1%7.8%0.0%22.5K-365.0K-5.6K0.0093.11N/AN/A004222
2014-08-15$817.60$800.0044.1%12.7%53.4%21.4%0.0%7.1%0.0%6.1K-2.9K-3.9K0.0079.41N/AN/A004222
2014-08-18$831.68$800.0043.5%12.5%53.0%21.1%0.0%3.1%0.0%15.3K-203.2K-5.1K0.0092.61N/AN/A004222
2014-08-19$839.36$800.0043.0%12.3%53.1%20.8%0.0%5.0%0.0%16.6K-256.9K-4.6K0.0091.72N/AN/A004222
2014-08-20$824.64$800.0051.2%14.7%53.5%25.1%0.0%19.3%0.0%17.7K-294.2K-5.1K0.00112.67N/AN/A004222
2014-08-21$836.48$800.0051.3%14.7%53.6%25.1%0.0%9.0%0.0%15.2K-267.0K-4.6K0.00136.25N/AN/A004222
2014-08-22$851.20$800.0046.7%13.4%53.9%22.7%48.9%10.5%0.0%21.7K-424.2K-4.7K0.20116.38N/AN/A004222
2014-08-25$869.12$800.0045.8%13.1%53.5%22.2%29.3%-11.5%0.0%21.2K-363.7K-3.2K0.00116.89N/AN/A104222
2014-08-26$865.92$800.0067.9%19.5%53.5%33.7%0.0%0.0%0.0%27.6K-509.6K-5.0K0.00128.03N/AN/A004222
2014-08-27$867.52$800.0042.9%12.3%53.1%20.7%0.0%4.6%0.0%27.8K-455.1K-4.2K0.00107.16N/AN/A004222
2014-08-28$870.40$800.0050.3%14.4%51.0%24.6%0.0%2.5%0.0%16.5K-401.3K-2.6K0.00124.65N/AN/A004222
2014-08-29$867.52$800.0043.1%12.4%49.6%20.9%0.0%4.9%0.0%29.2K-454.0K-4.0K0.00105.75N/AN/A004222