Davis kept Wolves at bay but a point hardly lifted the gloom over St. Mary's, where the stuttering Saints have now scored just once in three games.
Davis' individual battle with Wolves began in the first half with a smart save to deny Andy Keogh as Wolves looked the more likely side to break the stalemate.
In the second half, Davis excelled himself, first denying Stephen Ward after the defender had wriggled through the defence and the keeper then acrobatically tipped over a piledriver from midfielder Seyi Olofinjana.
Freddy Eastwood gave a brief glimpse of the form that prompted Wolves to make him a big-money summer signing, to which Davis was again alert, plunging low to his right to fingertip away the former Southend's striker's low shot.
Wolves substitute Jay Bothroyd thought he had snatched a late winner only to be denied by Davis.
Ironically the best chance of the game was gifted to Southampton in the first half when Wolves keeper Wayne Hennessey handled a back pass to give Saints an indirect free-kick eight yards out, but a mass of defenders closed ranks to block Rudi Skacel's shot.
In a low-key affair between two sides tipped to figure in the Championship promotion race, chances were at a premium and Saints striker Grzegorz Rasiak was denied a first home goal of the season by Hennessey's full-length save.
Then in injury time, Hennessey reacted to keep out Jason Euell's shot from a narrow angle.