DIA Options History — July 2007

In July 2007, DIA traded between $132.11 and $139.89. ATM implied volatility averaged 14.6%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.5% (HV 20d: 12.1%). Max pain ranged from $133.00 to $136.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2007-07-26: Highest Volume — 203,004 contracts
  • 2007-07-26: Largest IV spike — 21.1% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.71$132.11$139.89$135.27$132.17
Max Pain$134.48$133.00$136.00$134.00$135.00
ATM IV14.6%11.3%21.9%12.8%21.8%
Expected Move4.2%3.2%6.3%3.7%6.3%
HV 20d12.1%10.4%15.8%13.1%15.8%
HV 60d10.2%9.2%12.3%9.3%12.3%
IV Rank61.8%33.2%100.0%37.1%99.8%
IV Percentile88.5%62.2%100.0%72.2%99.3%
Term Structure0.4%-2.1%1.8%0.8%-1.7%
VWIV14.9%12.4%20.3%13.4%19.6%
Skew 25d5.2%4.1%7.7%4.2%7.7%
Skew 10d10.0%7.8%13.9%8.4%13.9%
Call IV 25d12.3%9.9%18.4%10.3%17.9%
Put IV 25d17.5%14.0%25.6%14.5%25.5%
Bid-Ask Spread %8.895.4717.445.479.50
Gamma HHI0.050.030.080.080.04
Net GEX15.7M-75.6M103.7M12.7M-66.5M
Net DEX-2.38B-4.11B158.9M-2.26B158.9M
Net VEX-25.3M-31.3M-18.2M-24.2M-31.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.792.580.961.12
Total Volume79,617.47626,795203,00440,85382,704
Total OI1,347,010.8571,140,7701,520,5321,234,1221,520,532

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$135.27$134.0012.8%3.7%13.1%0.0%13.4%4.2%0.8%12.7M-2.26B-24.2M0.965.4720,85320,000536,663697,459
2007-07-03$135.69$134.0011.3%3.2%13.0%0.0%12.4%4.1%1.8%18.2M-2.82B-28.5M2.587.547,47719,318597,206765,163
2007-07-05$135.56$134.0011.7%3.4%12.4%37.1%12.5%4.1%1.6%3.4M-2.33B-24.1M1.626.9612,70720,540540,956717,965
2007-07-06$136.13$133.0011.3%3.7%11.1%33.2%13.5%4.6%0.5%25.6M-2.61B-23.8M1.007.2719,94120,008545,731725,370
2007-07-09$136.48$133.0011.8%3.8%10.4%37.7%13.3%4.8%0.7%33.0M-2.77B-23.4M1.408.5417,46224,399550,359734,976
2007-07-10$135.02$133.0014.2%4.3%11.2%60.3%14.6%5.5%-0.1%-27.5M-1.86B-24.8M1.599.0518,61229,524557,655746,904
2007-07-11$135.90$133.0013.4%4.1%10.7%52.9%14.0%5.2%0.1%14.0M-2.37B-24.2M2.128.2220,44243,290563,154747,596
2007-07-12$138.34$133.0013.4%3.8%11.4%52.8%14.0%5.0%0.6%97.7M-3.57B-23.2M1.7312.9834,32859,227565,237738,298
2007-07-13$138.91$134.0012.8%3.7%11.3%47.1%13.7%4.8%1.0%78.4M-3.80B-23.4M0.998.0130,99330,759574,540798,958
2007-07-16$139.46$135.0013.8%3.9%11.3%56.5%14.1%4.9%0.4%103.7M-3.21B-18.2M1.517.5829,21244,247482,808657,962
2007-07-17$139.80$135.0013.3%3.8%11.2%52.4%14.5%4.8%1.0%92.5M-4.11B-23.2M1.487.9827,24340,286588,721835,567
2007-07-18$139.33$135.0013.9%4.0%11.3%57.4%14.3%4.7%0.9%53.6M-3.73B-23.9M2.028.9928,53757,734590,793852,601
2007-07-19$139.89$135.0012.9%3.7%10.5%48.1%13.2%4.4%1.2%79.9M-4.11B-23.4M0.7910.1130,88824,467598,698865,594
2007-07-20$138.54$135.0013.8%3.9%11.2%56.5%14.1%5.1%1.1%-75.6M-2.32B-24.4M1.218.8656,38268,237521,886871,934
2007-07-23$139.21$135.0014.0%4.0%10.5%58.5%14.1%5.1%0.8%33.6M-2.83B-24.3M0.987.6044,54043,711506,865720,735
2007-07-24$137.27$136.0015.9%4.6%11.8%76.7%15.4%5.7%0.2%-1.5M-2.01B-26.3M1.937.0340,15377,553528,803751,533
2007-07-25$137.50$136.0015.5%4.5%11.5%73.1%15.5%5.3%0.5%11.4M-2.20B-27.1M2.438.5226,20063,750553,009789,746
2007-07-26$134.71$136.0018.8%5.4%13.5%100.0%17.9%5.7%-1.1%-42.0M-870.1M-29.0M1.5417.4479,811123,193560,627819,467
2007-07-27$132.11$135.0021.9%6.3%15.2%100.0%20.3%7.2%-2.1%-60.1M72.3M-30.5M1.5010.6354,29681,180600,831861,989
2007-07-30$133.54$135.0018.3%5.2%15.7%74.6%18.2%6.2%-0.6%-54.6M-434.2M-29.9M1.088.5146,98050,783615,482886,855
2007-07-31$132.17$135.0021.8%6.3%15.8%99.8%19.6%7.7%-1.7%-66.5M158.9M-31.3M1.129.5039,07043,634624,602895,930