DIA Options History — June 2007

In June 2007, DIA traded between $132.53 and $136.61. ATM implied volatility averaged 12.6%. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.7%). Max pain ranged from $123.00 to $134.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-06-07: Highest Volume — 228,633 contracts
  • 2007-06-29: Largest IV drop — 20.5% change
  • 2007-06-26: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.73$132.53$136.61$136.61$134.20
Max Pain$131.10$123.00$134.00$123.00$128.00
ATM IV12.6%10.4%15.9%10.7%10.4%
Expected Move3.6%3.0%4.6%3.1%3.0%
HV 20d10.7%6.5%12.7%6.5%12.7%
HV 60d8.8%8.0%9.4%8.1%9.2%
Term Structure0.3%-0.7%1.1%-0.0%1.1%
VWIV13.3%11.7%15.9%14.3%13.6%
Skew 25d4.4%3.1%8.9%3.5%8.9%
Skew 10d8.3%6.4%10.3%6.5%9.8%
Call IV 25d10.8%9.4%13.7%9.4%10.4%
Put IV 25d15.2%12.8%19.3%12.8%19.3%
Bid-Ask Spread %10.985.9919.9513.8511.79
Gamma HHI0.090.040.160.090.04
Net GEX-78.9M-271.0M81.0M-77.8M17.9M
Net DEX-2.83B-4.61B-1.34B-4.41B-1.34B
Net VEX-23.8M-39.9M-16.9M-21.3M-16.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.713.811.320.92
Total Volume74,988.76213,803228,63348,14213,803
Total OI1,432,871798,8931,683,7071,480,102798,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$136.61$123.0010.7%3.1%6.5%0.0%14.3%3.5%-0.0%-77.8M-4.41B-21.3M1.3213.8520,77727,365576,171903,931
2007-06-04$136.56$125.0011.0%3.2%6.5%0.0%12.4%3.1%0.0%-82.7M-4.46B-20.5M1.8415.2611,92021,968582,468914,515
2007-06-05$135.98$125.0011.5%3.3%6.8%0.0%12.2%3.1%0.1%-120.5M-4.06B-21.0M1.4816.9329,54443,777587,846927,625
2007-06-06$134.49$125.0013.3%3.8%8.0%0.0%13.7%3.8%-0.4%-178.2M-3.13B-23.1M1.5518.8743,32867,120605,008934,349
2007-06-07$132.53$126.0014.6%4.2%9.6%0.0%15.9%4.3%-0.7%-224.7M-1.80B-24.3M3.8117.4247,510181,123631,231947,458
2007-06-08$134.10$126.0012.3%3.8%10.1%0.0%14.1%4.2%-0.7%-230.5M-3.06B-24.0M1.4619.9545,07265,949651,274996,253
2007-06-11$134.24$133.0013.1%3.7%9.7%0.0%12.8%4.4%-0.2%-171.3M-3.34B-23.3M1.839.9918,19133,215672,319999,769
2007-06-12$132.92$134.0015.1%3.9%10.3%0.0%13.4%5.0%-0.1%-271.0M-2.26B-23.4M1.9210.0329,37456,514666,174997,390
2007-06-13$134.80$134.0012.8%3.5%11.5%0.0%13.0%4.7%0.3%-124.4M-3.77B-23.3M1.359.9333,64145,545676,5381,007,169
2007-06-14$135.70$134.0011.5%3.3%11.4%0.0%12.4%4.2%0.5%-4.8M-4.61B-21.3M0.719.03101,94472,890679,257999,286
2007-06-15$136.19$134.0011.9%3.4%11.4%0.0%12.3%4.1%0.6%81.0M-3.26B-22.6M1.957.6727,54753,624557,5111,035,831
2007-06-18$135.94$134.0011.4%3.3%11.4%0.0%12.2%3.8%1.0%-66.7M-2.29B-39.9M1.097.1519,46621,137561,2371,051,802
2007-06-19$136.27$134.0011.2%3.2%11.4%0.0%11.7%3.7%0.8%10.3M-2.99B-22.8M1.776.549,80017,357514,391694,091
2007-06-20$134.85$134.0012.5%3.6%12.0%0.0%12.2%4.0%0.7%-25.3M-2.34B-23.9M1.378.7220,01927,380517,773701,448
2007-06-21$135.35$134.0012.3%3.5%12.1%0.0%12.3%3.9%1.1%-8.5M-2.61B-23.7M1.018.2926,67627,060528,099709,307
2007-06-22$133.97$134.0013.5%3.9%12.5%0.0%14.0%4.2%0.8%-42.7M-1.90B-24.9M2.328.4320,20746,870537,575714,005
2007-06-25$133.62$134.0013.8%4.0%12.4%0.0%14.4%4.6%0.6%-40.2M-1.85B-24.8M1.458.1226,59938,486547,007722,632
2007-06-26$132.80$134.0015.9%4.6%12.5%0.0%15.5%4.9%-0.2%-59.7M-1.50B-25.6M1.898.0820,95539,590558,627736,530
2007-06-27$134.12$134.0013.4%3.8%12.7%0.0%13.4%4.6%0.7%-22.2M-2.15B-24.4M1.335.9930,64640,664566,250745,200
2007-06-28$134.09$134.0013.1%3.7%12.7%0.0%13.1%4.4%0.8%-15.6M-2.19B-24.9M0.878.5126,75423,357577,338758,713
2007-06-29$134.20$128.0010.4%3.0%12.7%0.0%13.6%8.9%1.1%17.9M-1.34B-16.9M0.9211.797,2036,600343,063455,830