DIA Options History — December 2007

In December 2007, DIA traded between $131.93 and $137.40. ATM implied volatility averaged 18.2%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.4% (HV 20d: 19.7%). Max pain ranged from $132.00 to $134.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.22.

Notable Days

2007-12-21: Highest Volume — 145,804 contracts
2007-12-31: Largest IV spike — 50.4% change
2007-12-17: Highest IV Rank — 77.8%
2007-12-17: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.11	$131.93	$137.40	$133.30	$132.55
Max Pain	$132.35	$132.00	$134.00	$133.00	$132.00
ATM IV	18.2%	12.3%	21.6%	20.2%	18.4%
Expected Move	5.3%	4.4%	6.2%	5.8%	5.3%
HV 20d	19.7%	15.2%	22.8%	22.4%	15.2%
HV 60d	17.5%	17.1%	18.0%	17.1%	17.8%
IV Rank	59.1%	25.4%	77.8%	70.2%	60.2%
IV Percentile	74.3%	40.6%	88.8%	82.7%	75.2%
Term Structure	0.9%	0.3%	1.6%	0.3%	1.2%
VWIV	18.4%	15.7%	21.8%	21.2%	18.5%
Skew 25d	5.5%	4.7%	6.6%	5.6%	5.1%
Skew 10d	9.5%	8.2%	11.7%	9.4%	8.8%
Call IV 25d	15.5%	12.5%	18.4%	17.2%	16.1%
Put IV 25d	20.9%	17.3%	24.7%	22.8%	21.2%
Bid-Ask Spread %	6.63	3.20	11.61	7.51	3.20
Gamma HHI	0.07	0.05	0.13	0.06	0.06
Net GEX	-121.0M	-266.8M	-1.9M	-157.9M	-103.8M
Net DEX	-590.6M	-2.83B	1.13B	103.9M	-73.1M
Net VEX	-32.1M	-50.5M	-28.4M	-34.0M	-28.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.69	2.60	1.22	1.38
Total Volume	95,266.95	32,280	145,804	61,303	103,403
Total OI	2,034,924.5	1,572,103	2,239,292	2,027,083	1,572,103

Daily Data (20 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
2007-12-03	$133.30	$133.00	20.2%	5.8%	22.4%	70.2%	21.2%	5.6%	0.3%	-157.9M	103.9M	-34.0M	1.22	7.51	27,665	33,638	787,569	1,239,514
2007-12-04	$132.43	$133.00	20.2%	5.8%	22.4%	70.3%	21.3%	5.3%	0.5%	-157.7M	323.9M	-33.3M	2.60	6.52	26,373	68,438	796,795	1,212,063
2007-12-05	$134.45	$133.00	18.8%	5.4%	22.8%	62.3%	17.7%	5.2%	0.8%	-92.0M	-828.4M	-33.0M	0.90	6.54	48,889	44,161	805,162	1,208,042
2007-12-06	$136.08	$133.00	17.3%	5.0%	21.6%	53.9%	17.6%	5.0%	0.5%	-21.0M	-1.94B	-32.8M	0.69	7.59	60,935	42,295	825,075	1,220,535
2007-12-07	$136.39	$133.00	17.1%	4.9%	21.4%	52.9%	17.3%	4.8%	0.6%	-22.7M	-2.20B	-32.5M	1.04	7.88	49,864	51,901	835,786	1,235,386
2007-12-10	$137.40	$134.00	18.6%	4.9%	20.4%	61.0%	17.2%	4.9%	0.6%	-1.9M	-2.83B	-31.6M	0.80	5.70	40,908	32,850	846,014	1,257,464
2007-12-11	$134.40	$132.00	21.5%	5.8%	22.2%	77.4%	19.7%	6.5%	0.4%	-121.7M	-695.4M	-32.4M	0.89	11.61	66,018	59,019	852,828	1,269,136
2007-12-12	$135.00	$132.00	19.9%	5.6%	20.3%	68.6%	19.4%	6.6%	0.4%	-116.6M	-976.1M	-32.4M	1.36	8.54	45,271	61,749	862,569	1,282,859
2007-12-13	$135.00	$132.00	19.5%	5.6%	20.3%	66.2%	20.1%	6.6%	0.6%	-99.6M	-1.24B	-32.1M	1.22	7.68	40,765	49,535	874,807	1,289,945
2007-12-14	$133.45	$132.00	20.3%	5.8%	20.4%	70.6%	19.2%	6.4%	0.4%	-180.6M	-81.3M	-32.2M	1.56	6.13	41,772	65,253	880,823	1,300,698
2007-12-17	$131.93	$132.00	21.6%	6.2%	20.9%	77.8%	21.8%	6.3%	0.3%	-241.4M	1.13B	-31.6M	1.43	5.40	51,391	73,286	890,825	1,314,920
2007-12-18	$132.55	$132.00	19.5%	5.6%	20.2%	66.2%	19.6%	5.8%	1.1%	-239.4M	671.3M	-30.8M	0.86	6.72	69,221	59,306	904,997	1,323,307
2007-12-19	$132.27	$132.00	19.1%	5.5%	20.2%	64.0%	18.9%	5.3%	1.1%	-266.8M	851.0M	-30.4M	1.04	6.23	56,195	58,382	913,950	1,325,342
2007-12-20	$132.71	$132.00	17.5%	5.0%	18.7%	54.9%	18.0%	5.5%	1.1%	-201.9M	334.1M	-29.7M	1.12	6.21	50,929	56,849	916,670	1,300,446
2007-12-21	$134.41	$132.00	15.7%	4.5%	18.7%	45.0%	15.7%	4.7%	1.5%	-52.1M	-493.5M	-29.2M	0.99	6.73	73,227	72,577	866,735	1,308,267
2007-12-24	$135.31	$132.00	15.3%	4.4%	17.6%	42.6%	15.9%	4.9%	1.5%	-83.5M	-1.40B	-50.5M	1.70	5.00	11,934	20,346	851,089	1,298,689
2007-12-26	$135.42	$132.00	15.5%	4.4%	17.1%	43.5%	15.9%	4.8%	1.6%	-67.2M	-1.47B	-28.4M	0.98	6.12	19,309	18,921	680,633	987,887
2007-12-27	$133.68	$132.00	16.4%	4.7%	15.3%	48.5%	16.2%	4.9%	1.4%	-100.4M	-496.4M	-28.4M	1.69	5.91	29,459	49,829	687,766	987,216
2007-12-28	$133.41	$132.00	12.3%	5.0%	15.3%	25.4%	16.9%	5.1%	1.1%	-91.7M	-514.4M	-28.8M	0.83	5.37	40,227	33,249	692,617	991,961
2007-12-31	$132.55	$132.00	18.4%	5.3%	15.2%	60.2%	18.5%	5.1%	1.2%	-103.8M	-73.1M	-28.4M	1.38	3.20	43,380	60,023	650,515	921,588