DIA Options History — August 2007 In August 2007, DIA traded between $128.85 and $136.55. ATM implied volatility averaged 20.8%, placing in the 79.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.3% (HV 20d: 19.5%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.75.
Notable Days 2007-08-16 : Highest Volume — 282,296 contracts2007-08-09 : Largest IV spike — 49.0% change2007-08-03 : Highest IV Rank — 100.0%2007-08-15 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $132.36 $128.85 $136.55 $133.41 $133.40 Max Pain $131.52 $130.00 $135.00 $135.00 $132.00 ATM IV 20.8% 16.3% 25.0% 20.8% 19.9% Expected Move 5.9% 4.6% 7.4% 6.0% 5.7% HV 20d 19.5% 16.2% 21.1% 16.2% 18.9% HV 60d 14.9% 12.5% 16.5% 12.5% 16.2% IV Rank 79.3% 49.4% 100.0% 92.3% 70.3% IV Percentile 94.8% 85.2% 100.0% 98.6% 91.0% Term Structure 0.1% -1.4% 0.9% -0.5% -0.5% VWIV 21.1% 17.6% 26.0% 20.1% 18.5% Skew 25d 8.3% 6.4% 10.5% 7.4% 7.3% Skew 10d 15.3% 11.6% 18.3% 13.4% 14.3% Call IV 25d 16.8% 12.9% 20.7% 17.1% 16.5% Put IV 25d 25.1% 20.3% 31.1% 24.5% 23.8% Bid-Ask Spread % 13.12 8.69 18.62 13.12 18.02 Gamma HHI 0.04 0.04 0.05 0.04 0.04 Net GEX -63.3M -140.0M 27.6M -39.9M -45.2M Net DEX -67.6M -2.18B 2.40B -470.3M -1.12B Net VEX -35.5M -37.4M -31.9M -32.1M -36.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.75 0.97 5.43 1.62 1.40 Total Volume 99,372.217 38,643 282,296 117,785 59,810 Total OI 1,811,273.478 1,545,053 2,009,772 1,545,053 1,929,504
Daily Data (23 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 2007-08-01 $133.41 $135.00 20.8% 6.0% 16.2% 92.3% 20.1% 7.4% -0.5% -39.9M -470.3M -32.1M 1.62 13.12 44,990 72,795 638,790 906,263 2007-08-02 $134.78 $135.00 17.2% 4.9% 16.7% 66.8% 17.8% 6.4% 0.6% -19.3M -1.06B -31.9M 1.95 10.49 26,217 51,178 652,169 927,452 2007-08-03 $132.19 $135.00 22.2% 6.4% 17.9% 100.0% 19.8% 7.0% -1.4% -61.3M 218.7M -32.9M 1.73 18.62 27,114 47,027 661,120 950,316 2007-08-06 $134.20 $131.00 18.1% 5.3% 18.8% 71.3% 19.7% 7.7% 0.2% -34.3M -747.4M -31.9M 1.28 11.54 46,088 58,784 665,702 963,652 2007-08-07 $135.05 $131.00 17.1% 5.1% 18.6% 64.4% 17.9% 7.6% 0.4% -15.0M -1.22B -31.9M 1.12 12.57 82,510 92,387 682,201 986,379 2007-08-08 $136.55 $131.00 16.6% 4.9% 18.8% 61.1% 17.6% 7.4% 0.8% 27.6M -2.18B -33.8M 2.01 14.02 44,344 89,076 727,549 1,042,017 2007-08-09 $132.79 $131.00 24.7% 6.5% 20.1% 100.0% 23.0% 8.9% -0.4% -54.7M 8.1M -36.4M 1.56 13.45 40,056 62,634 736,551 1,085,128 2007-08-10 $131.94 $131.00 24.3% 6.7% 20.1% 97.6% 26.0% 9.9% -0.0% -65.4M 538.0M -37.1M 1.68 15.99 55,074 92,586 755,847 1,107,274 2007-08-13 $132.18 $131.00 23.5% 6.2% 20.0% 92.7% 24.1% 8.6% 0.4% -71.1M 416.8M -36.0M 2.19 13.11 27,457 60,138 775,467 1,127,012 2007-08-14 $130.49 $131.00 24.0% 6.8% 20.2% 95.5% 23.4% 9.6% 0.2% -116.4M 1.50B -36.5M 1.50 11.65 37,998 57,139 781,812 1,162,833 2007-08-15 $128.85 $131.00 24.6% 7.4% 20.5% 99.4% 26.0% 10.4% -0.9% -140.0M 2.26B -36.1M 1.01 12.12 54,981 55,294 780,810 1,148,755 2007-08-16 $129.15 $131.00 25.0% 7.2% 20.4% 100.0% 25.5% 10.5% -0.1% -129.4M 2.40B -35.9M 1.52 15.18 112,093 170,203 789,314 1,152,288 2007-08-17 $130.55 $131.00 23.5% 6.7% 20.9% 91.3% 25.0% 10.1% 0.3% -85.0M 1.08B -36.9M 1.31 12.32 70,466 92,128 818,368 1,191,404 2007-08-20 $130.96 $130.00 21.7% 6.2% 20.8% 81.3% 22.5% 9.1% 0.6% -84.0M 298.8M -36.5M 1.11 12.12 38,736 43,151 656,294 1,088,636 2007-08-21 $130.68 $130.00 21.0% 6.0% 20.4% 76.8% 20.7% 8.2% 0.3% -90.4M 338.7M -36.9M 1.38 11.48 20,008 27,602 677,245 1,107,779 2007-08-22 $132.29 $130.00 18.9% 5.4% 21.1% 64.5% 21.7% 8.0% 0.5% -71.0M -420.2M -36.4M 2.21 9.58 19,508 43,151 684,746 1,118,782 2007-08-23 $132.17 $130.00 18.7% 5.4% 19.9% 63.6% 19.2% 7.7% 0.1% -65.7M -420.6M -36.5M 1.74 9.94 26,699 46,415 692,130 1,116,512 2007-08-24 $133.64 $130.00 16.3% 4.6% 19.0% 49.4% 19.3% 7.4% 0.9% -37.1M -1.17B -36.3M 5.43 8.69 13,224 71,837 705,113 1,140,960 2007-08-27 $133.12 $132.00 18.3% 5.3% 18.7% 61.0% 18.8% 7.7% 0.1% -42.4M -919.1M -35.8M 1.76 16.22 18,245 32,102 706,015 1,139,734 2007-08-28 $130.49 $132.00 22.3% 6.4% 19.7% 84.7% 20.2% 8.9% -0.6% -100.9M 427.6M -37.3M 0.97 13.52 28,402 27,634 718,389 1,156,760 2007-08-29 $132.74 $132.00 19.2% 5.5% 20.4% 66.6% 17.7% 7.8% 0.5% -47.8M -816.6M -37.0M 2.57 13.97 16,718 42,919 728,330 1,163,164 2007-08-30 $132.57 $132.00 20.4% 5.8% 20.0% 73.4% 21.4% 8.1% -0.0% -66.6M -508.8M -37.4M 1.09 14.04 18,496 20,147 730,481 1,182,243 2007-08-31 $133.40 $132.00 19.9% 5.7% 18.9% 70.3% 18.5% 7.3% -0.5% -45.2M -1.12B -36.9M 1.40 18.02 24,955 34,855 740,095 1,189,409
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