DIA Options History — September 2007

In September 2007, DIA traded between $131.43 and $139.13. ATM implied volatility averaged 17.8%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.1% (HV 20d: 15.7%). Max pain ranged from $132.00 to $136.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.30.

Notable Days

2007-09-18: Highest Volume — 143,897 contracts
2007-09-18: Largest IV drop — 23.1% change
2007-09-10: Highest IV Rank — 87.3%
2007-09-10: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.59	$131.43	$139.13	$134.34	$138.91
Max Pain	$133.68	$132.00	$136.00	$132.00	$136.00
ATM IV	17.8%	13.2%	22.8%	18.8%	13.9%
Expected Move	5.2%	3.8%	6.7%	5.4%	4.0%
HV 20d	15.7%	12.7%	18.3%	18.3%	12.7%
HV 60d	16.4%	16.0%	16.7%	16.0%	16.6%
IV Rank	58.4%	31.4%	87.3%	64.1%	35.4%
IV Percentile	81.8%	61.6%	95.9%	88.7%	68.8%
Term Structure	0.4%	-1.2%	1.7%	-0.7%	1.1%
VWIV	19.0%	13.4%	24.7%	18.9%	14.4%
Skew 25d	7.1%	4.4%	9.7%	7.0%	5.0%
Skew 10d	13.2%	9.7%	17.0%	13.5%	9.7%
Call IV 25d	14.7%	11.1%	18.7%	15.2%	11.6%
Put IV 25d	21.7%	15.5%	28.1%	22.2%	16.6%
Bid-Ask Spread %	10.36	4.14	17.57	17.57	4.14
Gamma HHI	0.05	0.04	0.05	0.04	0.05
Net GEX	-16.5M	-123.8M	128.5M	-19.5M	-22.9M
Net DEX	-1.94B	-4.41B	252.1M	-1.69B	-2.65B
Net VEX	-35.5M	-37.7M	-33.7M	-35.7M	-34.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.33	2.31	2.15	0.60
Total Volume	73,661.158	27,320	143,897	81,899	79,462
Total OI	2,006,963.263	1,703,665	2,248,925	1,951,508	1,703,665

Daily Data (19 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
2007-09-04	$134.34	$132.00	18.8%	5.4%	18.3%	64.1%	18.9%	7.0%	-0.7%	-19.5M	-1.69B	-35.7M	2.15	17.57	25,995	55,904	744,988	1,206,520
2007-09-05	$133.22	$132.00	20.7%	5.9%	18.3%	75.1%	22.8%	7.3%	-0.8%	-64.4M	-806.6M	-36.9M	1.66	15.36	11,545	19,124	749,520	1,239,553
2007-09-06	$133.53	$132.00	18.5%	5.5%	17.9%	62.2%	21.7%	6.9%	0.4%	-52.1M	-1.05B	-36.8M	1.49	14.59	10,983	16,337	751,254	1,243,697
2007-09-07	$131.52	$132.00	20.8%	6.2%	15.8%	75.7%	24.3%	7.3%	0.4%	-113.0M	228.6M	-37.0M	1.50	15.51	38,371	57,681	753,481	1,248,927
2007-09-10	$131.43	$133.00	22.8%	6.7%	15.6%	87.3%	24.7%	9.7%	-0.6%	-123.8M	252.1M	-36.8M	2.31	9.06	19,817	45,814	760,871	1,268,873
2007-09-11	$133.08	$133.00	20.6%	6.1%	16.2%	74.6%	21.4%	8.9%	-0.0%	-73.0M	-727.6M	-36.4M	0.75	8.44	33,755	25,316	769,752	1,284,512
2007-09-12	$133.25	$133.00	20.3%	6.1%	15.5%	73.1%	22.1%	9.0%	-0.4%	-72.3M	-826.5M	-36.4M	0.94	8.35	23,352	22,025	773,712	1,294,898
2007-09-13	$134.30	$133.00	20.9%	6.0%	14.8%	76.1%	21.2%	8.3%	-0.2%	-29.6M	-1.56B	-36.1M	1.11	8.47	61,829	68,525	785,898	1,301,278
2007-09-14	$134.46	$133.00	20.5%	5.9%	14.8%	74.0%	21.1%	8.6%	-0.2%	-22.8M	-1.67B	-37.7M	1.31	10.43	28,361	37,093	823,795	1,348,129
2007-09-17	$134.06	$133.00	22.0%	6.3%	14.5%	82.7%	22.8%	9.2%	-1.2%	-38.6M	-1.40B	-37.1M	1.66	8.83	20,761	34,537	831,995	1,356,145
2007-09-18	$137.35	$133.00	16.9%	4.8%	16.6%	53.2%	19.3%	7.1%	1.1%	115.2M	-3.85B	-34.8M	1.21	10.51	65,053	78,844	835,783	1,348,741
2007-09-19	$138.16	$133.00	16.1%	4.6%	16.6%	48.6%	16.9%	6.8%	0.9%	128.5M	-4.41B	-34.0M	1.43	11.15	41,828	59,813	838,895	1,376,236
2007-09-20	$137.70	$134.00	15.8%	4.5%	16.3%	46.5%	16.4%	6.6%	1.2%	89.1M	-4.05B	-34.3M	0.33	8.72	80,995	26,808	847,300	1,401,625
2007-09-21	$137.90	$134.00	14.6%	4.2%	16.3%	39.6%	15.7%	6.3%	1.2%	33.2M	-2.51B	-34.2M	1.67	8.00	39,468	66,049	726,319	1,413,976
2007-09-24	$137.55	$136.00	14.7%	4.2%	16.0%	40.6%	14.6%	5.6%	1.3%	-22.6M	-2.07B	-34.2M	1.57	9.61	18,164	28,562	643,405	1,088,198
2007-09-25	$137.72	$136.00	14.2%	4.1%	15.9%	37.3%	14.8%	5.4%	1.7%	-23.8M	-2.17B	-34.2M	1.10	9.94	28,641	31,500	652,144	1,098,813
2007-09-26	$138.53	$136.00	13.3%	3.8%	13.7%	32.1%	13.4%	5.0%	1.6%	-11.3M	-2.78B	-33.9M	0.85	10.86	30,180	25,605	672,851	1,121,753
2007-09-27	$139.13	$136.00	13.2%	3.8%	12.7%	31.4%	14.0%	4.4%	1.1%	9.3M	-3.14B	-33.7M	1.01	7.24	20,599	20,866	690,613	1,134,187
2007-09-28	$138.91	$136.00	13.9%	4.0%	12.7%	35.4%	14.4%	5.0%	1.1%	-22.9M	-2.65B	-34.0M	0.60	4.14	49,591	29,871	649,510	1,054,155