DAVE Options History — October 2014 In October 2014, DAVE traded between $793.60 and $878.40. ATM implied volatility averaged 68.2%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 34.9% (HV 20d: 33.3%). Max pain ranged from $800.00 to $800.00. Net GEX was positive for 1 of 13 trading days. Put/call ratio averaged 1.68.
Notable Days 2014-10-08 : Highest Volume — 7 contracts2014-10-17 : Largest IV spike — 286.9% change2014-10-17 : Highest IV Rank — 96.6%2014-10-17 : Largest Expected Move — 54.3%Monthly Statistics Metric Avg Min Max Open Close Price $837.12 $793.60 $878.40 $857.28 $798.08 Max Pain $800.00 $800.00 $800.00 $800.00 $800.00 ATM IV 68.2% 30.7% 189.4% 35.4% 189.4% Expected Move 19.6% 8.8% 54.3% 10.1% 54.3% HV 20d 33.3% 31.0% 37.0% 32.8% 37.0% HV 60d 39.6% 38.4% 40.5% 39.3% 40.1% IV Rank 33.8% 14.4% 96.6% 16.8% 96.6% IV Percentile 42.9% 4.4% 99.6% 8.3% 99.6% VWIV 90.6% 37.0% 132.6% 77.4% 48.9% Skew 25d -3.2% -49.9% 19.3% 14.8% -49.9% Skew 10d 0.6% -23.4% 14.2% 12.4% -23.4% Call IV 25d 48.7% 26.3% 93.5% 26.3% 93.5% Put IV 25d 45.5% 37.3% 54.0% 41.0% 43.6% Bid-Ask Spread % 126.10 103.70 139.78 117.06 127.05 Gamma HHI 0.65 0.39 1.00 0.39 1.00 Net GEX -10.0K -45.4K 13.8K -821 -45.4K Net DEX -165.2K -346.5K 204.4K -222.4K 141.7K Net VEX -529 -918 -200 -818 -226 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 0.76 1.86 1.86 0.76 Total Volume 3.077 0 7 1 0 Total OI 64.769 64 65 65 64
Daily Data (13 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 2014-10-01 $857.28 $800.00 35.4% 10.1% 32.8% 16.8% 0.0% 14.8% 0.0% -821 -222.4K -818 0.00 117.06 N/A N/A 0 1 42 23 2014-10-02 $855.36 $800.00 35.5% 10.2% 31.5% 16.9% 0.0% 16.5% 0.0% -1.0K -229.6K -782 0.00 117.70 N/A N/A 0 0 42 23 2014-10-03 $878.40 $800.00 36.8% 10.5% 32.7% 17.5% 77.4% 8.9% 0.0% 13.8K -318.0K -918 0.00 103.70 N/A N/A 0 0 42 23 2014-10-06 $862.40 $800.00 37.5% 10.8% 33.3% 18.0% 0.0% 19.3% 0.0% -1.6K -289.6K -545 0.00 116.64 N/A N/A 0 0 42 23 2014-10-07 $832.00 $800.00 30.7% 8.8% 35.5% 14.4% 0.0% 7.8% 0.0% -11.4K -178.1K -620 0.00 109.43 N/A N/A 0 0 42 23 2014-10-08 $849.28 $800.00 82.3% 23.6% 31.1% 41.1% 111.5% -20.9% 0.0% -6.0K -258.5K -494 1.86 138.12 N/A N/A 2 5 42 23 2014-10-09 $842.24 $800.00 87.2% 25.0% 31.0% 43.7% 116.9% -22.3% 0.0% -3.5K -276.2K -474 1.86 136.15 N/A N/A 2 5 42 23 2014-10-10 $831.68 $800.00 96.2% 27.6% 31.3% 48.4% 132.6% -49.9% 0.0% -12.1K -143.5K -569 1.86 132.38 N/A N/A 2 5 42 23 2014-10-13 $837.76 $800.00 100.8% 28.9% 31.4% 50.7% 129.4% 0.0% 0.0% -10.9K -187.2K -416 1.86 128.52 N/A N/A 2 5 42 23 2014-10-14 $837.76 $800.00 37.0% 10.6% 31.4% 17.7% 37.0% 0.0% 0.0% -9.3K -346.5K -200 1.86 139.78 N/A N/A 2 5 42 23 2014-10-15 $793.60 $800.00 69.0% 19.8% 36.5% 34.3% 70.9% 0.0% 0.0% -23.4K 204.4K -504 0.76 136.25 N/A N/A 2 2 42 22 2014-10-16 $806.72 $800.00 48.9% 14.0% 37.0% 23.9% 48.9% 0.0% 0.0% -18.6K -43.6K -317 0.00 136.55 N/A N/A 0 0 42 22 2014-10-17 $798.08 $800.00 189.4% 54.3% 37.0% 96.6% 0.0% 0.0% 0.0% -45.4K 141.7K -226 0.00 127.05 N/A N/A 0 0 42 22
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