DIA Options History — November 2007

In November 2007, DIA traded between $127.46 and $136.51. ATM implied volatility averaged 21.9%, placing in the 81.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.8% (HV 20d: 19.1%). Max pain ranged from $133.00 to $137.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2007-11-08: Highest Volume — 236,039 contracts
  • 2007-11-07: Largest IV spike — 42.5% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.01$127.46$136.51$135.80$134.16
Max Pain$135.38$133.00$137.00$137.00$133.00
ATM IV21.9%16.8%25.5%20.1%19.5%
Expected Move6.3%5.2%7.5%5.8%5.6%
HV 20d19.1%15.6%23.7%15.9%22.3%
HV 60d15.9%14.5%17.4%15.6%17.3%
IV Rank81.0%52.4%100.0%72.0%66.3%
IV Percentile91.6%77.9%100.0%89.0%81.3%
Term Structure-0.2%-1.2%1.4%-0.4%0.4%
VWIV21.8%18.3%25.0%19.6%20.5%
Skew 25d7.5%5.8%9.6%6.4%6.0%
Skew 10d13.4%9.6%17.5%11.5%10.4%
Call IV 25d18.0%15.0%22.3%17.1%16.4%
Put IV 25d25.6%21.0%29.5%23.5%22.4%
Bid-Ask Spread %6.503.719.484.788.49
Gamma HHI0.050.040.060.040.05
Net GEX-154.2M-225.6M-82.7M-95.2M-91.3M
Net DEX1.48B-764.9M3.64B170.0M-764.9M
Net VEX-33.0M-35.8M-30.2M-35.8M-32.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.745.211.605.21
Total Volume112,278.76237,146236,039118,627216,373
Total OI1,943,8381,721,6822,140,9081,931,2831,918,569

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$135.80$137.0020.1%5.8%15.9%72.0%19.6%6.4%-0.4%-95.2M170.0M-35.8M1.604.7845,67472,953775,8371,155,446
2007-11-02$136.05$137.0018.1%5.2%15.6%60.4%18.3%5.8%1.4%-90.4M-10.9M-35.7M1.343.9945,53261,023783,5621,166,257
2007-11-05$135.21$137.0020.6%5.9%15.6%74.4%21.4%7.8%-0.4%-116.5M488.8M-35.2M1.375.2337,28350,952795,0291,176,734
2007-11-06$136.51$137.0016.8%5.2%15.7%52.4%19.0%7.4%0.1%-82.7M-233.8M-34.6M1.265.5527,37634,498804,2741,186,753
2007-11-07$133.35$137.0023.9%6.4%17.4%93.8%22.0%8.5%-0.4%-175.1M1.75B-35.0M1.439.0047,63568,047810,2261,193,714
2007-11-08$132.45$137.0022.9%6.4%17.5%88.1%22.5%8.5%-0.2%-199.6M2.21B-34.0M2.195.7373,982162,057826,0721,201,215
2007-11-09$130.31$136.0023.6%6.9%17.7%92.1%24.0%9.0%-0.4%-224.0M3.36B-33.4M1.217.3065,05978,405841,5101,211,260
2007-11-12$129.77$136.0025.2%7.0%17.7%100.0%22.6%9.4%-0.4%-225.6M3.64B-32.7M1.185.4447,25455,980862,2231,219,537
2007-11-13$133.14$136.0020.8%5.8%20.5%74.6%21.0%8.4%-0.2%-181.9M1.68B-32.8M0.936.1759,43455,402865,7581,217,721
2007-11-14$132.71$136.0021.9%6.2%20.5%81.4%20.6%9.0%-0.2%-180.4M1.88B-33.7M0.747.0258,83943,697890,6521,227,249
2007-11-15$131.47$136.0023.6%6.8%20.6%91.2%23.3%9.6%-0.4%-189.0M2.56B-33.5M1.117.2956,50162,742907,5781,226,616
2007-11-16$131.44$136.0021.7%6.2%18.3%80.2%21.7%8.9%0.2%-192.0M2.55B-32.6M2.655.4533,86789,717899,0831,241,825
2007-11-19$129.60$136.0022.0%6.3%18.7%82.0%22.3%8.1%0.1%-167.2M2.05B-31.6M1.443.7138,22255,110676,3871,045,295
2007-11-20$130.33$135.0021.9%6.3%18.6%80.9%22.0%7.6%-0.5%-159.8M1.58B-31.9M1.317.2653,36069,726697,9881,053,102
2007-11-21$127.79$134.0023.4%6.7%19.6%89.9%22.3%6.4%-0.2%-167.7M2.41B-30.9M1.187.6938,72345,669712,6681,052,799
2007-11-23$129.42$134.0023.1%6.6%20.3%88.0%22.2%6.7%-0.7%-153.6M1.63B-31.2M1.294.8316,20920,937725,7021,061,128
2007-11-26$127.46$134.0025.5%7.5%20.3%100.0%25.0%6.1%-1.2%-166.4M2.59B-30.2M1.484.1030,34744,766730,4441,070,215
2007-11-27$129.32$133.0023.5%6.7%21.2%88.6%22.9%6.3%-0.0%-158.5M1.77B-30.9M1.629.1338,54862,588742,6331,085,927
2007-11-28$132.83$133.0020.8%5.9%23.7%73.8%23.5%6.4%-0.2%-109.0M-72.0M-31.8M1.409.4855,70377,917755,7701,104,142
2007-11-29$133.17$133.0020.5%5.8%23.5%71.8%20.8%5.9%0.2%-112.2M-225.0M-32.4M0.868.8532,14727,600768,8441,132,854
2007-11-30$134.16$133.0019.5%5.6%22.3%66.3%20.5%6.0%0.4%-91.3M-764.9M-32.1M5.218.4934,863181,510778,3241,140,245