DIA Options History — February 2007 In February 2007, DIA traded between $121.60 and $127.77. ATM implied volatility averaged 9.3%. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.6% (HV 20d: 7.7%). Max pain ranged from $123.00 to $125.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.67.
Notable Days 2007-02-27 : Highest Volume — 240,498 contracts2007-02-27 : Largest IV spike — 58.2% change2007-02-27 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $126.30 $121.60 $127.77 $126.74 $122.66 Max Pain $124.53 $123.00 $125.00 $125.00 $124.00 ATM IV 9.3% 7.8% 15.4% 8.4% 13.6% Expected Move 2.7% 2.3% 4.4% 2.4% 3.9% HV 20d 7.7% 6.1% 15.5% 7.2% 15.5% Term Structure 0.3% -0.9% 0.8% 0.8% -0.6% VWIV 9.8% 8.5% 14.3% 8.9% 13.7% Skew 25d 3.1% 2.3% 4.8% 2.7% 4.5% Skew 10d 6.2% 4.8% 9.1% 5.8% 8.9% Call IV 25d 8.2% 7.2% 13.4% 7.2% 11.7% Put IV 25d 11.3% 9.9% 18.2% 10.0% 16.3% Bid-Ask Spread % 10.33 4.21 30.10 4.21 23.66 Gamma HHI 0.16 0.08 0.25 0.20 0.13 Net GEX -142.1M -292.9M -45.5M -131.9M -159.1M Net DEX -2.19B -3.28B 153.9M -2.50B -115.5M Net VEX -19.4M -21.5M -17.6M -19.6M -21.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 0.22 3.21 1.03 1.59 Total Volume 66,120.737 18,615 240,498 61,064 107,090 Total OI 1,160,314.105 1,014,972 1,270,684 1,145,931 1,141,799
Daily Data (19 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 Vol Put Vol Call OI Put OI 2007-02-01 $126.74 $125.00 8.4% 2.4% 7.2% 0.0% 8.9% 2.7% 0.8% -131.9M -2.50B -19.6M 1.03 4.21 30,023 31,041 470,267 675,664 2007-02-02 $126.53 $125.00 7.8% 2.5% 7.2% 0.0% 9.1% 3.2% 0.4% -146.8M -2.41B -20.0M 2.35 8.39 11,760 27,686 483,558 690,648 2007-02-05 $126.68 $125.00 8.1% 2.6% 6.5% 0.0% 10.0% 3.2% 0.5% -151.4M -2.52B -19.7M 1.03 8.69 14,631 15,044 487,304 694,273 2007-02-06 $126.65 $125.00 8.0% 2.6% 6.5% 0.0% 10.1% 3.2% 0.4% -159.6M -2.50B -19.8M 0.93 7.57 9,631 8,984 490,905 698,231 2007-02-07 $126.79 $125.00 7.8% 2.6% 6.5% 0.0% 9.4% 2.9% 0.3% -154.7M -2.64B -19.5M 1.78 6.82 16,563 29,499 495,837 701,910 2007-02-08 $126.47 $125.00 9.4% 2.7% 6.6% 0.0% 9.8% 3.1% 0.5% -203.0M -2.38B -19.7M 2.37 8.53 16,022 37,963 497,413 709,933 2007-02-09 $125.88 $125.00 9.5% 2.7% 6.7% 0.0% 9.9% 3.2% 0.5% -253.0M -1.93B -20.3M 2.19 8.06 18,473 40,450 499,757 717,660 2007-02-12 $125.59 $125.00 9.9% 2.8% 6.5% 0.0% 10.5% 3.4% 0.3% -292.9M -1.62B -20.2M 2.29 8.76 22,272 50,906 504,708 723,889 2007-02-13 $126.63 $125.00 8.6% 2.5% 7.1% 0.0% 8.7% 3.1% 0.7% -187.0M -2.61B -19.1M 1.55 7.14 22,730 35,289 510,566 721,957 2007-02-14 $127.48 $125.00 8.9% 2.6% 7.5% 0.0% 8.9% 2.7% 0.3% -97.9M -3.24B -18.3M 1.44 7.48 30,719 44,178 518,124 734,256 2007-02-15 $127.77 $125.00 8.6% 2.5% 7.4% 0.0% 9.2% 2.7% 0.3% -89.9M -3.28B -18.7M 0.22 6.52 93,422 20,245 521,066 749,618 2007-02-16 $127.57 $125.00 8.2% 2.3% 7.5% 0.0% 9.1% 2.7% 0.3% -105.5M -2.45B -18.1M 3.21 5.85 7,257 23,295 445,213 759,980 2007-02-20 $127.66 $125.00 8.3% 2.4% 7.0% 0.0% 9.4% 2.3% 0.2% -45.5M -2.60B -17.6M 0.92 6.33 36,561 33,741 427,945 587,027 2007-02-21 $127.37 $125.00 9.0% 2.5% 6.9% 0.0% 8.9% 2.4% 0.2% -77.3M -2.47B -18.2M 1.86 4.89 14,151 26,339 441,734 605,519 2007-02-22 $126.79 $123.00 8.6% 2.5% 6.9% 0.0% 8.5% 2.7% 0.4% -96.8M -2.27B -18.4M 2.23 13.92 17,091 38,057 448,190 611,361 2007-02-23 $126.41 $123.00 9.2% 2.6% 6.2% 0.0% 8.9% 2.5% 0.5% -103.4M -2.09B -19.1M 1.67 14.74 16,440 27,384 458,385 623,763 2007-02-26 $126.34 $123.00 9.7% 2.8% 6.1% 0.0% 9.5% 2.8% 0.2% -97.4M -2.08B -18.9M 1.17 14.62 18,817 22,042 465,179 625,929 2007-02-27 $121.60 $123.00 15.4% 4.4% 15.1% 0.0% 14.3% 4.8% -0.9% -146.0M 153.9M -21.5M 1.96 30.10 81,338 159,160 475,065 631,335 2007-02-28 $122.66 $124.00 13.6% 3.9% 15.5% 0.0% 13.7% 4.5% -0.6% -159.1M -115.5M -21.1M 1.59 23.66 41,330 65,760 496,313 645,486
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