DIA Options History — February 2008

In February 2008, DIA traded between $121.75 and $127.43. ATM implied volatility averaged 22.0%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.9% (HV 20d: 20.1%). Max pain ranged from $124.00 to $127.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2008-02-14: Highest Volume — 216,512 contracts
2008-02-05: Largest IV spike — 15.4% change
2008-02-06: Highest IV Rank — 91.8%
2008-02-06: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.23	$121.75	$127.43	$127.43	$123.01
Max Pain	$126.60	$124.00	$127.00	$124.00	$127.00
ATM IV	22.0%	18.2%	26.5%	20.5%	22.4%
Expected Move	6.3%	5.2%	7.2%	5.9%	6.4%
HV 20d	20.1%	16.8%	23.3%	22.4%	17.6%
HV 60d	19.2%	17.8%	20.1%	20.1%	18.4%
IV Rank	68.7%	48.0%	91.8%	62.6%	69.8%
IV Percentile	81.9%	58.7%	99.2%	78.6%	86.5%
Term Structure	0.2%	-0.3%	1.1%	0.6%	0.7%
VWIV	22.3%	17.9%	26.3%	21.8%	22.9%
Skew 25d	6.3%	5.1%	7.6%	6.3%	5.7%
Skew 10d	11.0%	8.3%	13.2%	11.6%	8.3%
Call IV 25d	18.6%	15.7%	21.0%	16.9%	19.5%
Put IV 25d	24.9%	20.8%	28.6%	23.2%	25.2%
Bid-Ask Spread %	6.54	3.51	8.07	5.28	7.39
Gamma HHI	0.05	0.04	0.07	0.04	0.05
Net GEX	-29.1M	-80.0M	8.5M	2.1M	-59.7M
Net DEX	817.6M	-666.1M	1.90B	-666.1M	1.36B
Net VEX	-25.6M	-27.8M	-24.2M	-27.8M	-24.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.29	2.39	1.25	1.02
Total Volume	110,053.95	58,912	216,512	116,681	119,729
Total OI	1,616,481.85	1,363,728	1,848,211	1,632,234	1,534,704

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
2008-02-01	$127.43	$124.00	20.5%	5.9%	22.4%	62.6%	21.8%	6.3%	0.6%	2.1M	-666.1M	-27.8M	1.25	5.28	51,783	64,898	777,953	854,281
2008-02-04	$126.03	$127.00	22.5%	6.3%	21.7%	72.2%	23.3%	7.2%	0.0%	-26.0M	-22.0M	-27.6M	1.24	7.78	32,060	39,829	790,519	877,623
2008-02-05	$122.96	$127.00	25.9%	7.0%	23.3%	89.1%	23.6%	7.2%	-0.2%	-80.0M	1.49B	-26.9M	1.01	6.36	100,200	100,905	794,422	881,239
2008-02-06	$122.26	$127.00	26.5%	7.2%	22.6%	91.8%	26.3%	7.6%	-0.2%	-55.2M	1.54B	-26.7M	1.13	6.70	66,720	75,637	837,914	883,194
2008-02-07	$122.73	$127.00	24.6%	6.8%	22.4%	82.5%	24.3%	7.2%	0.1%	-48.3M	1.41B	-26.4M	0.87	7.81	77,684	67,402	837,704	893,562
2008-02-08	$121.75	$127.00	23.9%	7.0%	22.2%	79.0%	23.6%	7.3%	-0.3%	-54.7M	1.86B	-26.1M	1.54	8.05	35,073	53,844	861,229	915,595
2008-02-11	$122.32	$127.00	24.8%	6.9%	22.0%	83.1%	23.5%	7.2%	-0.3%	-43.0M	1.63B	-25.5M	0.88	5.97	53,754	47,199	864,760	920,229
2008-02-12	$123.77	$127.00	23.2%	6.5%	22.1%	75.1%	23.3%	7.1%	-0.2%	-6.5M	866.1M	-25.9M	1.37	6.83	65,957	90,610	868,320	928,094
2008-02-13	$125.26	$127.00	19.8%	6.2%	21.8%	58.2%	21.8%	6.7%	0.1%	8.5M	111.7M	-26.1M	1.12	8.07	55,274	62,133	872,196	938,905
2008-02-14	$124.01	$127.00	21.9%	6.3%	22.0%	68.9%	22.7%	6.5%	0.1%	-6.4M	1.01B	-25.6M	0.29	7.31	167,643	48,869	885,518	962,693
2008-02-15	$123.33	$127.00	22.0%	6.3%	20.4%	69.5%	22.8%	6.1%	0.1%	-20.3M	1.90B	-24.9M	1.56	7.16	32,941	51,498	831,460	958,335
2008-02-19	$123.68	$126.00	21.8%	6.3%	20.0%	68.3%	22.1%	6.3%	0.1%	-37.8M	961.5M	-24.4M	1.31	6.84	27,996	36,735	650,616	713,112
2008-02-20	$124.09	$126.00	21.4%	6.1%	19.4%	65.9%	21.9%	6.2%	0.0%	-32.5M	739.8M	-24.5M	1.39	3.51	40,664	56,594	665,268	719,684
2008-02-21	$123.20	$126.00	22.0%	6.3%	16.9%	68.5%	22.5%	5.9%	-0.3%	-49.1M	1.18B	-24.2M	2.39	5.74	20,987	50,196	681,657	736,755
2008-02-22	$123.80	$126.00	20.6%	5.9%	16.8%	61.4%	21.3%	5.8%	0.1%	-40.1M	890.0M	-24.4M	1.24	5.64	26,435	32,853	690,838	743,147
2008-02-25	$125.57	$126.00	19.3%	5.5%	17.1%	53.7%	19.9%	5.3%	0.2%	-15.1M	271.5M	-24.4M	0.96	5.22	58,416	55,995	697,855	745,007
2008-02-26	$126.81	$127.00	18.2%	5.2%	17.0%	48.0%	17.9%	5.1%	1.1%	8.1M	-265.2M	-25.0M	1.78	7.04	40,620	72,179	719,220	761,818
2008-02-27	$126.83	$127.00	18.8%	5.4%	16.8%	50.9%	18.5%	5.2%	0.9%	-1.5M	-209.8M	-25.3M	1.90	6.15	20,949	39,906	729,108	781,328
2008-02-28	$125.84	$127.00	19.7%	5.6%	16.9%	55.6%	22.2%	5.1%	0.9%	-24.5M	296.5M	-25.3M	1.86	5.89	20,583	38,329	735,016	788,759
2008-02-29	$123.01	$127.00	22.4%	6.4%	17.6%	69.8%	22.9%	5.7%	0.7%	-59.7M	1.36B	-24.7M	1.02	7.39	59,276	60,453	739,318	795,386