DIA Options History — March 2008

In March 2008, DIA traded between $117.98 and $125.34. ATM implied volatility averaged 23.4%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 20.8%). Max pain ranged from $121.00 to $127.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2008-03-19: Highest Volume — 250,408 contracts
  • 2008-03-31: Largest IV spike — 28.8% change
  • 2008-03-17: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.07$117.98$125.34$122.50$122.40
Max Pain$123.50$121.00$127.00$127.00$123.00
ATM IV23.4%17.9%28.5%23.2%23.0%
Expected Move6.8%6.1%8.2%6.6%6.6%
HV 20d20.8%14.3%25.4%17.0%23.5%
HV 60d19.6%17.8%21.1%18.3%20.9%
IV Rank74.6%45.4%100.0%74.0%72.0%
IV Percentile85.8%49.6%100.0%88.5%83.7%
Term Structure0.3%-1.4%1.0%0.3%0.1%
VWIV23.8%21.1%29.0%21.1%21.8%
Skew 25d6.2%5.0%7.8%5.6%5.6%
Skew 10d10.7%6.5%13.4%8.4%10.0%
Call IV 25d20.6%18.6%24.5%20.0%19.8%
Put IV 25d26.8%24.0%32.3%25.6%25.4%
Bid-Ask Spread %5.392.668.325.992.66
Gamma HHI0.070.040.360.050.05
Net GEX-35.1M-132.6M173.4M-61.0M9.7M
Net DEX1.17B-955.7M3.43B1.49B44.5M
Net VEX-24.9M-26.3M-22.5M-24.0M-25.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.542.111.050.69
Total Volume141,593.554,748250,40877,98757,945
Total OI1,630,673.651,353,3241,907,2341,560,1281,361,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$122.50$127.0023.2%6.6%17.0%74.0%21.1%5.6%0.3%-61.0M1.49B-24.0M1.055.9938,04139,946756,855803,273
2008-03-04$122.40$127.0022.5%6.4%16.7%70.5%23.9%5.4%0.5%-66.1M1.64B-23.8M0.836.3664,87753,975769,337811,908
2008-03-05$122.87$127.0021.2%6.1%14.3%63.5%21.6%5.3%0.6%-62.6M1.38B-23.9M2.117.1231,00965,475780,144820,298
2008-03-06$120.80$127.0023.7%6.8%15.4%77.0%25.0%5.6%0.5%-95.5M2.24B-23.5M1.615.1739,60963,719772,087833,464
2008-03-07$118.93$127.0024.1%6.9%16.2%78.9%23.0%5.0%0.6%-116.6M2.89B-22.7M1.374.6671,22197,560783,916851,632
2008-03-10$117.98$127.0026.3%7.4%16.2%90.2%24.4%5.9%0.2%-132.6M3.43B-22.5M1.585.1461,47997,391793,273881,077
2008-03-11$122.06$123.0021.6%6.6%20.5%65.5%23.9%6.7%0.2%-96.0M1.75B-24.6M1.255.5970,16187,766812,434890,687
2008-03-12$121.40$123.0023.1%6.9%20.1%73.5%24.5%6.5%0.3%-96.5M1.97B-24.4M1.116.3873,24581,216823,188890,864
2008-03-13$121.51$122.0023.9%6.8%19.5%77.6%24.4%6.6%0.3%-95.8M1.91B-24.7M1.034.4098,840102,168833,244909,958
2008-03-14$120.02$122.0027.2%7.8%19.7%95.2%27.1%7.2%-0.5%-76.7M2.41B-25.3M1.248.32109,754136,625867,585909,309
2008-03-17$120.09$121.0028.5%8.2%19.6%100.0%29.0%7.8%-1.4%-80.0M2.32B-25.2M1.037.72105,946109,475901,830943,609
2008-03-18$124.05$121.0022.9%6.6%23.0%71.4%23.9%6.5%-0.4%10.5M56.3M-26.0M1.077.22110,602118,557930,811962,397
2008-03-19$121.44$122.0026.1%7.5%24.2%87.8%25.7%7.1%-0.5%-57.4M1.83B-25.7M0.545.39162,31288,096930,058973,497
2008-03-20$123.11$121.0023.4%6.7%24.6%74.1%24.3%7.0%0.5%173.4M547.7M-25.8M0.916.0070,01863,680931,327975,907
2008-03-24$125.34$121.0022.1%6.3%25.4%67.4%22.5%6.8%0.9%27.8M-955.7M-25.8M0.724.6589,65964,119675,236678,088
2008-03-25$125.13$122.0022.2%6.4%24.9%67.8%22.8%6.5%0.6%42.5M-933.9M-26.3M1.363.8423,17131,577708,085698,550
2008-03-26$123.92$122.0022.5%6.5%24.8%69.3%22.4%6.5%0.9%24.4M-415.2M-25.9M0.564.0868,04138,112714,170705,696
2008-03-27$123.15$123.0022.8%6.5%24.8%70.8%22.7%5.9%0.7%38.8M-327.2M-26.3M0.863.4641,38635,612747,530714,466
2008-03-28$122.23$122.0017.9%6.5%24.8%45.4%21.9%5.1%1.0%7.9M107.0M-25.6M0.893.5636,69332,792741,585724,421
2008-03-31$122.40$123.0023.0%6.6%23.5%72.0%21.8%5.6%0.1%9.7M44.5M-25.0M0.692.6634,27823,667677,875683,802