DIA Options History — October 2007

In October 2007, DIA traded between $134.93 and $141.57. ATM implied volatility averaged 15.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 12.2%). Max pain ranged from $137.00 to $139.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.47.

Notable Days

2007-10-19: Highest Volume — 228,364 contracts
2007-10-11: Largest IV spike — 33.8% change
2007-10-19: Highest IV Rank — 68.3%
2007-10-19: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.92	$134.93	$141.57	$140.60	$138.95
Max Pain	$137.48	$137.00	$139.00	$137.00	$137.00
ATM IV	15.5%	11.5%	19.5%	12.9%	15.2%
Expected Move	4.5%	3.7%	5.6%	3.7%	4.4%
HV 20d	12.2%	8.9%	13.9%	13.1%	13.7%
HV 60d	16.1%	15.0%	16.8%	16.7%	15.0%
IV Rank	44.8%	21.7%	68.3%	29.9%	43.4%
IV Percentile	72.4%	45.6%	88.1%	59.4%	71.3%
Term Structure	1.0%	-0.3%	2.1%	1.5%	0.8%
VWIV	16.3%	13.7%	19.4%	14.1%	16.1%
Skew 25d	5.6%	4.6%	6.7%	4.8%	5.1%
Skew 10d	10.7%	9.4%	12.2%	9.7%	9.4%
Call IV 25d	13.2%	10.9%	16.3%	10.9%	12.8%
Put IV 25d	18.8%	15.6%	22.8%	15.6%	17.9%
Bid-Ask Spread %	4.37	2.72	6.82	3.12	3.76
Gamma HHI	0.06	0.05	0.14	0.06	0.06
Net GEX	-19.2M	-253.8M	50.6M	33.3M	50.6M
Net DEX	-2.22B	-4.06B	1.28B	-3.68B	-2.24B
Net VEX	-33.7M	-35.2M	-32.0M	-33.0M	-33.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.91	2.64	1.94	2.64
Total Volume	97,798.87	45,617	228,364	113,661	153,474
Total OI	1,870,523.304	1,696,866	2,029,507	1,752,217	1,873,216

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
2007-10-01	$140.60	$137.00	12.9%	3.7%	13.1%	29.9%	14.1%	4.8%	1.5%	33.3M	-3.68B	-33.0M	1.94	3.12	38,624	75,037	683,813	1,068,404
2007-10-02	$140.12	$138.00	13.9%	4.0%	13.1%	35.8%	14.7%	4.9%	1.6%	284.6K	-3.23B	-34.5M	1.57	3.65	40,904	64,051	698,751	1,109,948
2007-10-03	$139.61	$138.00	13.5%	3.9%	12.8%	33.4%	14.0%	4.8%	2.1%	-20.2M	-2.85B	-35.1M	1.32	3.34	34,828	46,037	706,430	1,129,375
2007-10-04	$139.51	$138.00	13.5%	3.9%	12.8%	33.3%	13.9%	4.6%	1.8%	-22.3M	-2.82B	-35.2M	1.64	3.43	18,759	30,799	718,822	1,145,828
2007-10-05	$140.68	$137.00	11.9%	4.0%	11.2%	24.1%	14.6%	5.6%	1.0%	27.4M	-3.47B	-33.2M	1.68	4.22	33,064	55,683	706,463	1,138,410
2007-10-08	$140.26	$137.00	13.2%	4.2%	11.3%	31.7%	16.8%	5.8%	0.7%	-7.9M	-3.24B	-33.0M	0.91	4.13	43,662	39,734	712,561	1,162,134
2007-10-09	$141.57	$137.00	11.5%	3.8%	11.0%	21.7%	13.7%	5.1%	1.4%	49.2M	-4.06B	-32.0M	1.03	4.84	28,079	29,032	719,882	1,166,860
2007-10-10	$140.73	$137.00	12.1%	4.0%	11.5%	25.5%	14.3%	5.1%	1.2%	18.2M	-3.47B	-32.5M	1.43	5.52	30,731	44,023	730,403	1,180,311
2007-10-11	$140.21	$138.00	16.2%	4.7%	11.5%	49.3%	16.5%	5.7%	0.6%	-5.6M	-2.97B	-34.1M	1.37	6.29	40,250	55,086	738,747	1,197,636
2007-10-12	$141.12	$138.00	14.9%	4.3%	11.6%	41.3%	16.0%	5.3%	1.3%	30.7M	-3.60B	-33.4M	1.23	6.14	31,212	38,416	749,161	1,210,175
2007-10-15	$140.02	$138.00	16.4%	4.7%	12.0%	50.3%	17.4%	5.8%	0.9%	-37.4M	-2.65B	-33.4M	1.73	4.02	43,093	74,563	744,017	1,207,519
2007-10-16	$139.16	$139.00	16.9%	4.8%	9.1%	52.9%	18.0%	5.5%	1.0%	-47.1M	-2.14B	-33.5M	1.94	4.73	38,695	74,936	756,633	1,211,664
2007-10-17	$139.16	$138.00	15.6%	4.5%	8.9%	45.6%	15.8%	5.4%	1.4%	-82.0M	-1.98B	-33.4M	1.61	4.33	60,834	97,877	768,527	1,239,712
2007-10-18	$138.80	$138.00	15.4%	4.4%	8.9%	44.7%	16.2%	5.7%	1.4%	-112.8M	-1.79B	-33.3M	1.00	4.47	46,770	46,825	775,139	1,254,368
2007-10-19	$134.93	$138.00	19.5%	5.6%	13.5%	68.3%	17.7%	6.5%	0.5%	-253.8M	1.28B	-34.0M	1.28	6.82	100,133	128,231	749,306	1,260,088
2007-10-22	$135.45	$137.00	19.0%	5.4%	13.6%	65.2%	19.4%	6.7%	0.3%	-50.0M	-228.3M	-33.9M	1.16	5.65	59,049	68,557	691,692	1,005,174
2007-10-23	$136.42	$137.00	17.5%	5.0%	13.9%	56.4%	17.7%	6.3%	0.7%	-24.9M	-823.4M	-33.9M	1.78	2.81	29,422	52,518	718,374	1,027,393
2007-10-24	$136.50	$137.00	17.8%	5.1%	13.7%	58.6%	18.1%	6.4%	0.7%	-27.5M	-776.1M	-34.5M	1.34	3.99	49,068	65,734	728,556	1,043,005
2007-10-25	$136.90	$137.00	17.8%	5.1%	13.6%	58.6%	18.2%	6.5%	0.4%	-19.4M	-1.01B	-34.5M	1.30	5.69	36,444	47,277	736,268	1,053,988
2007-10-26	$137.95	$137.00	16.3%	4.7%	13.9%	49.4%	16.7%	6.0%	1.1%	18.5M	-1.68B	-34.3M	1.63	3.96	21,898	35,712	752,175	1,071,286
2007-10-29	$138.65	$137.00	16.5%	4.7%	13.3%	50.8%	17.1%	5.7%	0.5%	37.5M	-2.07B	-33.2M	1.26	2.72	20,159	25,458	752,220	1,071,483
2007-10-30	$137.82	$137.00	18.2%	5.2%	13.4%	60.9%	18.5%	6.1%	-0.3%	3.4M	-1.52B	-34.1M	1.01	2.76	27,187	27,449	762,683	1,093,436
2007-10-31	$138.95	$137.00	15.2%	4.4%	13.7%	43.4%	16.1%	5.1%	0.8%	50.6M	-2.24B	-33.0M	2.64	3.76	42,129	111,345	771,570	1,101,646