DAVE Options History — September 2014 In September 2014, DAVE traded between $814.72 and $883.52. ATM implied volatility averaged 43.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 14.5% (HV 20d: 29.4%). Max pain ranged from $800.00 to $800.00. Net GEX was positive for 12 of 21 trading days. Put/call ratio averaged 0.33.
Notable Days 2014-09-12 : Highest Volume — 3 contracts2014-09-04 : Largest IV spike — 29.9% change2014-09-04 : Highest IV Rank — 30.8%2014-09-04 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $848.82 $814.72 $883.52 $874.88 $861.44 Max Pain $800.00 $800.00 $800.00 $800.00 $800.00 ATM IV 43.9% 38.0% 62.3% 43.3% 42.4% Expected Move 12.6% 10.9% 17.9% 12.4% 12.1% HV 20d 29.4% 25.6% 34.2% 32.4% 34.2% HV 60d 40.2% 38.2% 43.1% 42.6% 39.7% IV Rank 21.2% 18.2% 30.8% 20.9% 20.5% IV Percentile 27.4% 11.9% 61.5% 26.6% 22.6% VWIV 43.8% 33.4% 61.5% 36.2% 44.0% Skew 25d 8.2% -4.8% 14.8% 2.4% 14.8% Skew 10d 13.0% -4.3% 30.9% 4.7% 10.2% Call IV 25d 35.8% 29.3% 52.6% 40.5% 30.6% Put IV 25d 44.0% 38.1% 61.5% 42.9% 45.3% Bid-Ask Spread % 114.09 95.55 136.98 106.88 119.72 Gamma HHI 0.38 0.26 0.58 0.35 0.43 Net GEX 4.9K -15.9K 29.2K 29.1K 2.9K Net DEX -154.9K -489.5K 112.6K -489.5K -221.8K Net VEX -2.1K -4.5K -940 -4.5K -940 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.33 0.00 1.00 0.00 0.00 Total Volume 0.429 0 3 0 0 Total OI 64.905 64 65 64 65
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-09-02 $874.88 $800.00 43.3% 12.4% 32.4% 20.9% 0.0% 2.4% 0.0% 29.1K -489.5K -4.5K 0.00 106.88 N/A N/A 0 0 42 22 2014-09-03 $851.52 $800.00 48.0% 13.8% 33.8% 23.4% 36.2% -4.8% 0.0% 15.0K -253.7K -2.6K 0.00 123.34 N/A N/A 0 1 42 22 2014-09-04 $872.96 $800.00 62.3% 17.9% 26.2% 30.8% 0.0% 8.9% 0.0% 17.1K -370.8K -3.0K 0.00 131.63 N/A N/A 0 0 42 23 2014-09-05 $882.56 $800.00 47.8% 13.7% 26.3% 23.3% 0.0% 1.5% 0.0% 27.1K -452.4K -3.0K 0.00 102.02 N/A N/A 0 0 42 23 2014-09-08 $883.52 $800.00 45.4% 13.0% 26.3% 22.0% 49.2% 7.1% 0.0% 29.2K -426.0K -2.8K 0.00 114.60 N/A N/A 0 0 42 23 2014-09-09 $882.24 $800.00 42.9% 12.3% 25.6% 20.7% 36.3% 4.7% 0.0% 26.2K -380.1K -2.7K 0.00 115.53 N/A N/A 0 0 42 23 2014-09-10 $836.48 $800.00 43.3% 12.4% 32.3% 20.9% 45.5% 10.2% 0.0% 1.2K -32.1K -2.3K 0.00 114.64 N/A N/A 0 0 42 23 2014-09-11 $828.16 $800.00 41.1% 11.8% 31.1% 19.8% 42.1% 1.3% 0.0% -11.3K 66.6K -2.0K 0.00 100.44 N/A N/A 0 1 42 23 2014-09-12 $832.00 $800.00 40.6% 11.6% 31.1% 19.5% 47.7% 14.3% 0.0% -3.5K 15.2K -2.3K 0.00 106.78 N/A N/A 0 3 42 23 2014-09-15 $834.88 $800.00 40.3% 11.5% 28.6% 19.4% 33.4% 13.9% 0.0% -2.7K -25.1K -2.1K 0.00 119.23 N/A N/A 0 3 42 23 2014-09-16 $837.76 $800.00 52.1% 14.9% 28.0% 25.5% 61.5% 4.0% 0.0% 13.2K -241.0K -1.7K 0.00 136.98 N/A N/A 0 1 42 23 2014-09-17 $846.08 $800.00 42.9% 12.3% 28.0% 20.7% 41.8% 5.8% 0.0% 1.3K -71.7K -1.9K 1.00 107.49 N/A N/A 0 0 42 23 2014-09-18 $853.12 $800.00 41.8% 12.0% 27.3% 20.1% 0.0% 5.6% 0.0% 8.2K -155.5K -1.9K 0.00 114.12 N/A N/A 0 0 42 23 2014-09-19 $844.80 $800.00 40.9% 11.7% 27.2% 19.7% 0.0% 12.8% 0.0% 904 -95.7K -1.8K 0.00 119.88 N/A N/A 0 0 42 23 2014-09-22 $830.08 $800.00 44.0% 12.6% 27.1% 21.3% 44.0% 12.4% 0.0% -7.8K 28.2K -1.7K 0.00 117.38 N/A N/A 0 0 42 23 2014-09-23 $824.64 $800.00 41.1% 11.8% 25.9% 19.8% 0.0% 11.0% 0.0% -12.1K 55.8K -1.5K 0.00 102.78 N/A N/A 0 0 42 23 2014-09-24 $846.40 $800.00 41.3% 11.9% 27.8% 19.9% 0.0% 12.6% 0.0% -7.2K -92.6K -1.3K 0.00 95.55 N/A N/A 0 0 42 23 2014-09-25 $814.72 $800.00 38.0% 10.9% 30.7% 18.2% 0.0% 9.9% 0.0% -15.9K 112.6K -1.4K 0.00 118.51 N/A N/A 0 0 42 23 2014-09-26 $843.20 $800.00 40.4% 11.6% 33.4% 19.4% 0.0% 11.8% 0.0% -4.8K -93.1K -1.3K 0.00 109.20 N/A N/A 0 0 42 23 2014-09-29 $843.84 $800.00 42.0% 12.0% 33.4% 20.3% 0.0% 11.5% 0.0% -3.5K -129.6K -1.1K 0.00 119.23 N/A N/A 0 0 42 23 2014-09-30 $861.44 $800.00 42.4% 12.1% 34.2% 20.5% 0.0% 14.8% 0.0% 2.9K -221.8K -940 0.00 119.72 N/A N/A 0 0 42 23
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