DIA Options History — January 2008

In January 2008, DIA traded between $119.22 and $130.74. ATM implied volatility averaged 22.7%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.1% (HV 20d: 17.6%). Max pain ranged from $124.00 to $133.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2008-01-22: Highest Volume — 346,530 contracts
2008-01-17: Largest IV spike — 14.5% change
2008-01-22: Highest IV Rank — 100.0%
2008-01-22: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.22	$119.22	$130.74	$130.63	$126.00
Max Pain	$127.76	$124.00	$133.00	$131.00	$124.00
ATM IV	22.7%	19.0%	28.1%	19.9%	23.3%
Expected Move	6.6%	5.5%	8.1%	5.7%	6.7%
HV 20d	17.6%	14.8%	22.0%	15.9%	22.0%
HV 60d	19.0%	17.9%	20.0%	17.9%	20.0%
IV Rank	79.7%	63.6%	100.0%	68.6%	76.2%
IV Percentile	90.4%	78.2%	100.0%	81.3%	90.9%
Term Structure	-0.6%	-2.8%	0.7%	0.7%	-1.1%
VWIV	22.9%	18.9%	28.5%	19.2%	25.0%
Skew 25d	6.2%	4.1%	7.8%	4.6%	7.1%
Skew 10d	10.7%	7.1%	13.8%	8.0%	13.0%
Call IV 25d	19.8%	16.9%	23.6%	17.8%	20.0%
Put IV 25d	25.9%	21.0%	31.4%	22.4%	27.1%
Bid-Ask Spread %	6.11	2.23	8.50	2.23	7.20
Gamma HHI	0.05	0.04	0.08	0.06	0.04
Net GEX	-66.0M	-116.2M	6.3M	-108.3M	-32.6M
Net DEX	1.68B	129.0M	5.19B	766.5M	274.5M
Net VEX	-26.0M	-28.0M	-22.6M	-26.8M	-28.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.58	2.00	0.70	1.10
Total Volume	182,030.857	88,602	346,530	155,182	140,709
Total OI	1,706,322.524	1,362,711	2,020,639	1,566,066	1,625,465

Daily Data (21 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
2008-01-02	$130.63	$131.00	19.9%	5.7%	15.9%	68.6%	19.2%	4.6%	0.7%	-108.3M	766.5M	-26.8M	0.70	2.23	91,409	63,773	664,157	901,909
2008-01-03	$130.74	$130.00	19.0%	5.5%	15.7%	63.6%	18.9%	4.1%	0.7%	-78.0M	129.0M	-25.3M	0.93	3.85	54,416	50,527	702,702	883,699
2008-01-04	$128.17	$133.00	21.1%	6.3%	16.0%	75.5%	22.0%	6.4%	-0.1%	-101.3M	1.29B	-26.8M	0.69	6.77	118,323	81,541	735,433	932,795
2008-01-07	$128.06	$132.00	20.5%	6.1%	15.1%	72.1%	20.5%	6.2%	0.2%	-95.3M	1.19B	-26.5M	0.58	6.79	81,641	47,692	769,429	940,980
2008-01-08	$125.85	$132.00	20.2%	6.4%	15.8%	70.1%	19.9%	6.9%	-0.3%	-85.8M	1.63B	-26.5M	0.75	5.42	85,286	64,233	795,461	947,147
2008-01-09	$126.96	$131.00	19.9%	6.1%	15.9%	68.6%	21.1%	6.0%	0.4%	-76.0M	1.57B	-26.4M	0.83	5.51	112,567	93,226	823,236	959,940
2008-01-10	$127.82	$130.00	20.8%	6.0%	14.8%	73.3%	21.2%	5.8%	0.4%	-33.5M	883.8M	-27.5M	0.90	7.49	88,712	79,915	870,408	987,928
2008-01-11	$126.19	$130.00	21.7%	6.2%	15.0%	78.7%	20.9%	5.3%	-0.0%	-66.0M	1.97B	-26.2M	0.73	6.51	102,080	74,379	875,917	1,009,727
2008-01-14	$127.51	$129.00	20.2%	5.8%	15.7%	70.0%	20.0%	5.5%	0.2%	6.3M	902.1M	-26.6M	0.78	4.43	49,912	38,690	917,346	1,014,334
2008-01-15	$125.30	$129.00	21.2%	6.1%	16.3%	76.0%	20.4%	4.9%	0.4%	-75.1M	2.36B	-24.9M	0.98	7.38	73,548	71,800	903,711	1,020,323
2008-01-16	$124.65	$128.00	21.9%	6.3%	16.0%	79.7%	21.6%	4.8%	-0.3%	-70.6M	2.64B	-24.6M	0.84	5.24	150,024	125,836	923,079	1,031,502
2008-01-17	$121.77	$128.00	25.1%	7.2%	17.3%	97.7%	24.6%	5.6%	-0.7%	-87.4M	3.81B	-24.1M	1.19	7.79	132,913	158,514	949,477	1,065,573
2008-01-18	$120.57	$126.00	24.7%	7.1%	17.4%	95.4%	24.7%	5.6%	-0.9%	-116.2M	5.19B	-23.6M	1.07	6.04	143,890	154,159	919,873	1,100,766
2008-01-22	$119.22	$126.00	28.1%	8.1%	17.3%	100.0%	28.5%	7.8%	-2.8%	-72.5M	3.08B	-22.6M	1.80	5.64	123,722	222,808	633,459	729,252
2008-01-23	$122.70	$124.00	25.2%	7.2%	20.2%	85.5%	26.5%	6.9%	-1.6%	-61.7M	1.81B	-25.9M	1.36	8.00	115,407	157,127	682,248	767,582
2008-01-24	$123.43	$124.00	24.7%	7.1%	20.2%	83.2%	24.8%	7.4%	-1.5%	-50.5M	1.17B	-26.6M	0.85	4.17	96,692	82,485	710,024	785,409
2008-01-25	$122.19	$124.00	26.7%	7.7%	20.1%	93.2%	26.1%	7.4%	-1.9%	-54.6M	1.66B	-26.8M	1.21	6.36	48,131	58,037	731,140	802,013
2008-01-28	$123.53	$124.00	24.5%	7.0%	20.7%	82.4%	26.0%	7.1%	-1.2%	-42.2M	1.09B	-26.8M	1.04	7.61	47,813	49,800	739,469	810,227
2008-01-29	$124.54	$124.00	24.2%	6.9%	21.1%	80.9%	25.6%	7.4%	-1.6%	-32.1M	691.4M	-27.2M	2.00	5.42	43,879	87,937	750,433	817,979
2008-01-30	$123.78	$124.00	24.5%	7.0%	21.1%	82.4%	24.4%	6.6%	-1.4%	-52.7M	1.11B	-27.2M	0.85	8.50	85,821	73,274	755,734	845,487
2008-01-31	$126.00	$124.00	23.3%	6.7%	22.0%	76.2%	25.0%	7.1%	-1.1%	-32.6M	274.5M	-28.0M	1.10	7.20	66,929	73,780	763,312	862,153