DIA Options History — March 2007

In March 2007, DIA traded between $120.30 and $124.69. ATM implied volatility averaged 12.9%. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 3.3% (HV 20d: 16.2%). Max pain ranged from $123.00 to $124.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2007-03-14: Highest Volume — 170,893 contracts
  • 2007-03-13: Largest IV spike — 27.6% change
  • 2007-03-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.68$120.30$124.69$122.44$123.59
Max Pain$123.23$123.00$124.00$124.00$123.00
ATM IV12.9%10.1%18.4%14.5%11.3%
Expected Move3.6%2.9%5.3%4.2%3.2%
HV 20d16.2%11.5%18.6%15.0%11.5%
HV 60d12.2%11.9%12.5%12.1%11.9%
Term Structure-0.1%-2.0%0.8%-1.2%0.7%
VWIV12.9%10.4%18.1%14.1%12.2%
Skew 25d4.8%3.8%6.7%5.2%4.0%
Skew 10d9.8%7.5%12.8%11.0%8.1%
Call IV 25d10.4%7.9%14.9%11.8%9.8%
Put IV 25d15.2%11.8%21.5%17.0%13.8%
Bid-Ask Spread %11.175.1220.7820.787.38
Gamma HHI0.130.070.260.130.07
Net GEX-104.1M-208.8M37.2M-174.2M-25.7M
Net DEX-531.0M-2.11B1.21B60.2M-1.30B
Net VEX-21.6M-22.7M-20.7M-21.5M-21.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.862.752.752.45
Total Volume78,325.40937,368170,893150,70843,689
Total OI1,210,730.3641,010,9221,400,3841,172,1801,069,465

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$122.44$124.0014.5%4.2%15.0%0.0%14.1%5.2%-1.2%-174.2M60.2M-21.5M2.7520.7840,227110,481509,539662,641
2007-03-02$120.96$124.0016.6%4.8%15.3%0.0%15.3%6.0%-1.6%-172.5M645.0M-22.4M2.4920.4231,55478,533521,217691,784
2007-03-05$120.30$123.0018.4%5.3%15.4%0.0%18.1%6.7%-2.0%-177.5M1.11B-22.7M2.1117.2942,19889,007535,993720,234
2007-03-06$122.06$123.0013.9%4.0%16.5%0.0%13.3%5.1%-0.6%-185.9M183.5M-22.4M1.8317.9034,88963,770552,030744,353
2007-03-07$122.00$123.0013.4%3.9%16.5%0.0%13.6%4.8%-0.6%-185.9M213.4M-22.2M2.4415.7914,46935,254562,143750,841
2007-03-08$122.80$123.0012.7%3.6%16.7%0.0%13.2%3.9%-0.6%-180.7M-289.6M-22.3M1.1917.1627,56232,866565,758759,072
2007-03-09$122.99$123.0011.9%3.5%16.8%0.0%12.8%4.1%-0.8%-184.2M-372.4M-21.6M0.9217.3028,25925,934576,109771,644
2007-03-12$123.15$124.0013.0%3.3%16.7%0.0%11.9%4.9%0.2%-160.4M-561.7M-21.0M0.906.7526,32423,764577,096766,314
2007-03-13$121.02$124.0016.6%4.2%17.7%0.0%14.0%6.0%-0.5%-207.7M860.1M-22.1M1.4411.1739,35356,684589,633767,250
2007-03-14$121.66$124.0013.8%3.8%17.5%0.0%14.3%5.7%0.2%-182.5M444.3M-22.1M2.6111.3047,366123,527599,084771,756
2007-03-15$121.79$123.0012.6%3.6%17.3%0.0%12.8%5.2%0.5%-165.7M282.0M-21.9M1.028.7255,61256,451610,373790,011
2007-03-16$121.05$123.0013.9%4.0%17.2%0.0%14.0%5.8%-0.0%-208.8M1.21B-22.0M2.528.8523,25858,594560,140790,943
2007-03-19$122.28$123.0012.6%3.6%17.8%0.0%12.4%5.2%0.6%-55.4M-701.2M-20.9M0.868.1644,47938,438453,252557,670
2007-03-20$122.82$123.0011.1%3.2%18.0%0.0%11.5%4.8%0.4%-32.1M-1.20B-21.2M1.556.0019,74730,693473,205559,134
2007-03-21$124.29$123.0010.1%2.9%18.6%0.0%10.9%3.9%0.8%20.9M-1.93B-20.7M1.286.3236,00246,262482,823573,061
2007-03-22$124.45$123.0010.5%3.0%18.6%0.0%10.4%3.9%0.4%20.8M-1.99B-20.9M1.478.4023,32834,231494,741593,181
2007-03-23$124.69$123.0010.1%2.9%18.6%0.0%11.1%4.0%0.5%37.2M-2.11B-20.9M1.419.5316,34022,972500,249602,221
2007-03-26$124.36$123.0010.7%3.1%18.6%0.0%10.9%3.8%0.6%15.7M-1.96B-20.8M1.676.3020,49234,272506,459609,416
2007-03-27$123.89$123.0011.0%3.1%12.4%0.0%11.0%3.9%0.4%-13.4M-1.71B-21.1M1.276.9916,46320,905512,787620,865
2007-03-28$123.00$123.0012.3%3.5%12.4%0.0%12.2%4.5%0.3%-48.2M-1.18B-21.9M1.785.1220,01135,561516,268623,120
2007-03-29$123.30$123.0012.8%3.7%12.4%0.0%12.8%4.5%-0.0%-24.3M-1.39B-21.7M1.138.1425,00528,333520,564621,629
2007-03-30$123.59$123.0011.3%3.2%11.5%0.0%12.2%4.0%0.7%-25.7M-1.30B-21.5M2.457.3812,65831,031482,941586,524