DIA Options History — May 2007

In May 2007, DIA traded between $131.29 and $136.29. ATM implied volatility averaged 11.2%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.5% (HV 20d: 6.7%). Max pain ranged from $121.00 to $131.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.10.

Notable Days

  • 2007-05-24: Highest Volume — 119,446 contracts
  • 2007-05-10: Largest IV spike — 17.7% change
  • 2007-05-24: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.11$131.29$136.29$131.29$136.29
Max Pain$127.41$121.00$131.00$129.00$122.00
ATM IV11.2%9.9%12.4%11.1%11.2%
Expected Move3.2%3.1%3.6%3.2%3.2%
HV 20d6.7%5.7%7.2%7.1%6.5%
HV 60d11.2%8.1%12.2%12.1%8.1%
Term Structure0.3%-0.3%0.7%0.3%-0.2%
VWIV12.2%11.4%15.4%12.1%15.4%
Skew 25d3.7%3.2%4.3%3.5%3.5%
Skew 10d7.8%6.8%8.8%7.8%6.8%
Call IV 25d9.6%9.0%10.7%9.4%9.5%
Put IV 25d13.3%12.3%14.6%12.9%13.0%
Bid-Ask Spread %10.376.0919.107.7114.44
Gamma HHI0.100.080.130.080.09
Net GEX-70.0M-153.9M-15.9M-32.2M-77.5M
Net DEX-3.85B-4.75B-3.14B-3.15B-4.29B
Net VEX-21.9M-23.6M-19.6M-22.3M-20.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.485.472.254.00
Total Volume74,817.09132,396119,44672,06676,125
Total OI1,437,881.7271,288,4211,610,9491,288,4211,447,575

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$131.29$129.0011.1%3.2%7.1%0.0%12.1%3.5%0.3%-32.2M-3.15B-22.3M2.257.7122,18249,884533,908754,513
2007-05-02$132.14$130.0010.8%3.1%6.6%0.0%11.6%3.4%0.3%-29.0M-3.49B-21.9M1.686.2140,69068,157540,324774,653
2007-05-03$132.39$130.0011.1%3.2%6.6%0.0%11.9%3.2%0.2%-45.2M-3.57B-22.1M1.476.0926,16938,367551,810802,011
2007-05-04$132.74$127.009.9%3.1%6.6%0.0%12.0%4.1%0.4%-46.2M-3.77B-22.3M2.778.8712,96535,896563,895826,131
2007-05-07$133.04$127.0011.1%3.2%6.6%0.0%12.2%3.8%0.4%-57.7M-3.79B-21.9M5.479.9212,61869,008561,125841,754
2007-05-08$133.12$127.0011.3%3.3%6.5%0.0%12.2%3.8%0.4%-93.9M-3.66B-22.6M2.879.2312,67136,340564,374887,609
2007-05-09$133.57$127.0010.3%3.1%5.7%0.0%11.7%3.5%0.4%-84.3M-3.93B-22.3M1.3310.2234,51445,752568,704900,430
2007-05-10$132.50$128.0012.1%3.5%7.0%0.0%12.7%3.8%0.4%-153.9M-3.14B-23.6M3.839.9821,42982,175578,424921,408
2007-05-11$133.56$129.0011.0%3.1%7.1%0.0%11.7%3.7%0.1%-110.8M-3.87B-22.8M0.948.3032,26130,269586,675942,417
2007-05-14$133.72$129.0011.6%3.3%7.0%0.0%12.5%4.0%0.4%-83.4M-3.97B-22.8M1.298.4521,88028,326602,512948,120
2007-05-15$134.12$129.0011.7%3.4%6.9%0.0%12.2%4.3%0.5%-54.4M-4.31B-22.5M1.6310.8834,32456,111605,975955,571
2007-05-16$135.12$130.0011.4%3.3%7.1%0.0%12.5%3.8%0.5%-28.3M-4.75B-21.5M1.448.4637,87454,579603,266970,980
2007-05-17$134.93$130.0011.3%3.2%7.2%0.0%12.0%3.6%0.6%-62.3M-4.57B-22.0M0.487.1975,06935,822613,711997,238
2007-05-18$135.50$130.0011.1%3.2%6.7%0.0%11.8%3.9%0.7%-15.9M-4.03B-19.9M1.837.7232,91460,285527,3981,008,691
2007-05-21$135.20$130.0011.1%3.2%6.6%0.0%11.4%3.6%0.5%-53.3M-3.84B-19.7M2.246.9015,65635,087518,378783,518
2007-05-22$135.16$131.0011.0%3.1%6.6%0.0%11.4%3.4%0.6%-79.6M-3.73B-21.1M1.168.7638,72545,056526,504799,802
2007-05-23$135.20$131.0011.3%3.2%6.2%0.0%11.6%3.5%0.5%-77.5M-3.75B-22.2M1.857.2223,78744,067545,492818,642
2007-05-24$134.39$121.0012.4%3.6%6.7%0.0%12.9%3.9%-0.3%-109.1M-3.31B-23.2M1.9218.7340,88578,561549,595835,562
2007-05-25$134.89$122.0011.3%3.2%6.7%0.0%14.0%3.7%0.2%-90.2M-3.53B-22.8M2.4719.1014,70636,332561,286846,598
2007-05-29$135.22$122.0011.6%3.3%6.4%0.0%11.5%3.9%0.1%-96.4M-3.75B-22.2M1.3516.0213,77318,623565,923860,543
2007-05-30$136.28$122.0010.9%3.1%6.7%0.0%12.0%3.3%-0.0%-59.0M-4.44B-19.6M1.9017.6919,32736,735571,648868,705
2007-05-31$136.29$122.0011.2%3.2%6.5%0.0%15.4%3.5%-0.2%-77.5M-4.29B-20.6M4.0014.4415,21460,911571,518876,057