DIA Options History — January 2007

In January 2007, DIA traded between $123.74 and $126.24. ATM implied volatility averaged 9.3%. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.1% (HV 20d: 7.1%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2007-01-16: Highest Volume — 162,023 contracts
  • 2007-01-04: Largest IV drop — 13.1% change
  • 2007-01-05: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.04$123.74$126.24$124.47$126.24
Max Pain$123.80$120.00$125.00$120.00$125.00
ATM IV9.3%8.3%10.4%10.4%8.8%
Expected Move2.7%2.4%3.1%3.0%2.5%
HV 20d7.1%6.8%7.4%7.4%7.3%
Term Structure0.7%0.2%1.3%0.7%0.8%
VWIV9.7%8.7%11.4%9.9%9.1%
Skew 25d3.2%2.4%3.9%2.4%2.8%
Skew 10d6.1%4.4%7.1%4.4%5.9%
Call IV 25d8.0%6.9%9.2%8.9%7.4%
Put IV 25d11.2%9.7%13.1%11.4%10.2%
Bid-Ask Spread %6.724.339.804.904.51
Gamma HHI0.160.080.240.100.22
Net GEX-99.8M-203.0M11.0M-22.4M-147.2M
Net DEX-2.74B-4.41B-1.22B-3.38B-2.22B
Net VEX-19.7M-20.9M-18.4M-19.0M-20.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.736.971.771.47
Total Volume60,346.8538,424162,02389,32363,803
Total OI1,382,149.051,032,3951,734,8561,455,6811,140,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$124.47$120.0010.4%3.0%0.0%0.0%9.9%2.4%0.7%-22.4M-3.38B-19.0M1.774.9032,25157,072558,790896,891
2007-01-04$124.68$120.009.1%2.6%0.0%0.0%9.5%2.5%1.3%-29.7M-3.50B-19.6M1.144.8923,23226,501575,706929,707
2007-01-05$123.74$123.009.9%3.1%0.0%0.0%11.4%3.9%0.5%-65.8M-2.88B-20.3M2.029.1219,95840,333583,064936,701
2007-01-08$124.14$123.0010.2%3.1%0.0%0.0%10.8%3.8%0.6%-30.7M-3.30B-19.8M1.049.7931,53632,893589,226937,674
2007-01-09$124.07$123.0010.0%3.1%0.0%0.0%11.2%3.7%0.4%-24.2M-3.32B-19.7M1.869.8014,96227,860598,625949,241
2007-01-10$124.43$123.009.7%3.0%0.0%0.0%10.8%3.7%0.8%-27.8M-3.54B-18.7M1.187.4619,94223,451601,703959,128
2007-01-11$124.99$123.009.4%2.7%0.0%0.0%10.0%3.3%0.9%11.0M-4.04B-18.8M1.848.8118,94434,861609,483964,997
2007-01-12$125.66$123.009.0%2.6%0.0%0.0%9.5%3.3%0.7%10.2M-4.38B-18.7M1.837.4214,26226,123615,514982,287
2007-01-16$125.70$123.009.2%2.6%0.0%0.0%10.0%3.1%0.7%10.0M-4.41B-18.4M6.977.4620,331141,692621,126996,290
2007-01-17$125.75$125.009.0%2.6%0.0%0.0%9.5%3.3%0.2%-95.0M-4.16B-19.5M1.375.5419,45226,596628,5821,106,274
2007-01-18$125.51$125.008.9%2.6%0.0%0.0%9.8%3.3%0.5%-118.9M-3.85B-19.7M0.737.6363,14845,809624,6311,107,529
2007-01-19$125.55$125.008.5%2.4%0.0%0.0%9.0%2.9%1.1%-192.2M-1.54B-19.6M1.205.7422,30426,712446,1841,126,593
2007-01-22$124.75$125.009.1%2.6%0.0%0.0%9.3%3.2%0.8%-186.4M-1.22B-19.7M2.926.9216,35247,697409,049623,346
2007-01-23$125.33$125.008.9%2.6%0.0%0.0%8.8%3.3%1.2%-157.0M-1.60B-19.6M1.906.6815,23928,912415,551626,476
2007-01-24$126.07$125.008.3%2.4%0.0%0.0%8.7%2.7%0.8%-144.6M-1.98B-19.3M0.804.3330,38424,164424,215641,367
2007-01-25$124.97$125.009.3%2.7%7.4%0.0%8.8%3.0%0.9%-194.1M-1.32B-20.7M1.566.1415,52824,242434,622649,048
2007-01-26$124.77$125.009.0%2.6%7.2%0.0%8.9%2.7%0.8%-203.0M-1.24B-20.9M1.356.0922,60330,614443,138653,885
2007-01-29$124.82$125.009.5%2.7%7.0%0.0%9.8%3.0%0.7%-192.6M-1.31B-20.8M1.305.8216,81921,931452,147657,656
2007-01-30$125.16$125.009.4%2.7%6.8%0.0%9.5%3.2%0.4%-196.1M-1.56B-20.6M1.105.3818,30620,118458,752667,543
2007-01-31$126.24$125.008.8%2.5%7.3%0.0%9.1%2.8%0.8%-147.2M-2.22B-20.0M1.474.5125,79138,012465,834674,406