DIA Options History — April 2008 In April 2008, DIA traded between $123.17 and $128.80. ATM implied volatility averaged 18.6%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.4% (HV 20d: 20.0%). Max pain ranged from $120.00 to $126.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2008-04-11 : Highest Volume — 194,255 contracts2008-04-16 : Largest IV drop — 14.3% change2008-04-14 : Highest IV Rank — 65.2%2008-04-14 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $126.56 $123.17 $128.80 $126.07 $128.19 Max Pain $122.82 $120.00 $126.00 $123.00 $126.00 ATM IV 18.6% 16.3% 21.8% 20.0% 17.5% Expected Move 5.4% 4.7% 6.3% 5.7% 5.0% HV 20d 20.0% 13.1% 25.7% 25.7% 13.1% HV 60d 20.4% 19.0% 21.8% 21.8% 19.0% IV Rank 48.2% 34.2% 65.2% 56.4% 41.1% IV Percentile 51.0% 35.3% 75.0% 61.1% 42.1% Term Structure 0.6% -0.3% 1.3% 0.8% 0.6% VWIV 19.2% 16.7% 21.8% 21.0% 17.1% Skew 25d 4.9% 3.6% 5.7% 5.7% 4.1% Skew 10d 9.0% 7.2% 10.1% 9.9% 7.8% Call IV 25d 16.5% 14.5% 19.0% 17.1% 15.5% Put IV 25d 21.4% 18.1% 24.5% 22.7% 19.6% Bid-Ask Spread % 3.95 2.38 9.10 2.79 3.41 Gamma HHI 0.07 0.04 0.15 0.05 0.05 Net GEX 77.0M 25.5M 167.2M 72.0M 60.6M Net DEX -1.07B -1.69B 148.3M -1.35B -1.05B Net VEX -25.0M -25.9M -24.4M -25.5M -25.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.35 1.49 0.88 1.49 Total Volume 93,696.5 41,760 194,255 145,921 123,464 Total OI 1,460,304.818 1,238,136 1,653,000 1,381,320 1,400,398
Daily Data (22 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 2008-04-01 $126.07 $123.00 20.0% 5.7% 25.7% 56.4% 21.0% 5.7% 0.8% 72.0M -1.35B -25.5M 0.88 2.79 77,809 68,112 689,479 691,841 2008-04-02 $126.19 $123.00 20.1% 5.8% 25.7% 56.8% 20.0% 5.2% 1.1% 65.3M -1.25B -25.7M 1.33 3.33 35,302 47,034 703,257 727,335 2008-04-03 $126.33 $123.00 20.2% 5.8% 25.7% 57.5% 20.5% 4.7% 1.3% 66.1M -1.23B -25.9M 1.06 2.38 28,469 30,121 713,061 742,368 2008-04-04 $126.10 $120.00 19.1% 6.0% 24.8% 51.8% 20.6% 5.5% 0.4% 71.0M -1.04B -25.1M 0.83 4.16 50,799 42,334 714,186 749,964 2008-04-07 $126.05 $120.00 18.9% 5.8% 23.9% 50.9% 21.3% 5.4% 0.0% 86.6M -1.21B -24.9M 0.91 3.84 50,743 46,366 738,031 759,157 2008-04-08 $126.13 $121.00 18.4% 5.8% 23.6% 48.0% 20.7% 5.4% 0.2% 85.3M -1.23B -25.1M 0.96 4.45 30,222 28,970 753,238 773,622 2008-04-09 $125.65 $121.00 18.3% 5.9% 20.7% 47.7% 21.1% 5.5% -0.2% 82.9M -1.08B -25.6M 1.10 4.14 43,906 48,315 767,258 782,267 2008-04-10 $125.95 $121.00 19.9% 5.7% 20.6% 55.1% 19.9% 5.3% 0.2% 104.1M -1.20B -25.6M 0.94 4.41 39,751 37,459 781,812 793,552 2008-04-11 $123.34 $122.00 21.4% 6.1% 22.1% 63.0% 20.9% 5.5% 0.0% 25.5M 137.4M -24.8M 0.93 4.95 100,608 93,647 790,344 800,122 2008-04-14 $123.17 $122.00 21.8% 6.3% 21.6% 65.2% 21.8% 5.5% -0.3% 27.2M 148.3M -24.4M 0.92 3.82 56,177 51,811 794,132 802,074 2008-04-15 $123.48 $122.00 20.9% 6.0% 21.6% 60.4% 21.3% 5.2% 0.1% 41.1M -21.0M -24.6M 1.36 3.92 31,937 43,542 805,525 814,146 2008-04-16 $126.64 $122.00 17.9% 5.1% 20.3% 44.7% 19.0% 5.1% 0.7% 157.6M -1.69B -24.4M 0.77 4.95 73,243 56,684 812,487 826,386 2008-04-17 $126.70 $123.00 18.0% 5.1% 18.6% 44.9% 18.7% 4.9% 0.8% 167.2M -1.60B -24.5M 0.35 4.07 95,349 33,002 811,584 841,416 2008-04-18 $127.86 $123.00 17.1% 4.9% 18.3% 40.6% 17.4% 5.1% 1.0% 150.7M -1.58B -24.5M 0.81 4.93 73,796 59,885 742,793 836,322 2008-04-21 $128.03 $123.00 17.5% 5.0% 17.2% 42.4% 17.5% 5.0% 1.0% 52.4M -1.12B -24.6M 0.76 3.86 32,152 24,342 631,809 608,244 2008-04-22 $127.37 $123.00 18.0% 5.2% 17.4% 43.8% 18.2% 4.7% 0.6% 43.4M -903.4M -24.4M 1.10 3.17 29,393 32,310 629,874 608,262 2008-04-23 $127.30 $124.00 17.7% 5.1% 16.9% 41.9% 17.6% 4.5% 0.9% 49.6M -962.8M -24.8M 1.09 2.43 29,813 32,414 659,021 629,060 2008-04-24 $128.10 $125.00 16.8% 4.8% 16.8% 37.1% 17.2% 4.3% 1.2% 67.8M -1.30B -25.0M 1.21 9.10 46,635 56,421 671,627 644,523 2008-04-25 $128.80 $125.00 16.3% 4.7% 16.4% 34.2% 16.7% 3.6% 0.9% 77.7M -1.49B -25.0M 0.90 2.89 39,561 35,800 684,949 658,672 2008-04-28 $128.79 $125.00 16.6% 4.7% 16.4% 35.8% 17.1% 4.2% 0.7% 74.0M -1.41B -24.9M 0.71 3.05 24,476 17,284 694,804 672,495 2008-04-29 $128.18 $125.00 17.5% 5.0% 13.1% 41.1% 17.3% 4.0% 0.3% 65.1M -1.20B -25.0M 1.29 2.74 27,069 34,796 698,841 676,368 2008-04-30 $128.19 $126.00 17.5% 5.0% 13.1% 41.1% 17.1% 4.1% 0.6% 60.6M -1.05B -25.0M 1.49 3.41 49,647 73,817 708,400 691,998
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