DIA Options History — May 2008

In May 2008, DIA traded between $124.61 and $130.73. ATM implied volatility averaged 15.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.1% (HV 20d: 13.3%). Max pain ranged from $125.00 to $128.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2008-05-15: Highest Volume — 376,412 contracts
  • 2008-05-02: Largest IV drop — 13.3% change
  • 2008-05-27: Highest IV Rank — 37.2%
  • 2008-05-27: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.07$124.61$130.73$129.96$126.13
Max Pain$126.14$125.00$128.00$126.00$128.00
ATM IV15.4%13.7%17.1%15.8%15.2%
Expected Move4.5%3.9%4.9%4.5%4.4%
HV 20d13.3%10.7%15.4%13.9%13.0%
HV 60d18.5%18.3%18.9%18.5%18.3%
IV Rank28.2%19.0%37.2%31.6%26.7%
IV Percentile28.9%20.6%38.5%31.7%23.8%
Term Structure0.6%0.2%2.1%1.0%1.1%
VWIV16.2%14.6%17.9%16.5%15.1%
Skew 25d4.4%3.2%4.9%4.0%4.3%
Skew 10d8.4%6.0%9.3%6.9%7.9%
Call IV 25d13.7%12.4%14.8%13.6%13.1%
Put IV 25d18.2%15.9%19.5%17.6%17.4%
Bid-Ask Spread %4.452.788.902.788.90
Gamma HHI0.060.040.190.050.05
Net GEX31.2M-30.0M106.7M89.7M-8.1M
Net DEX-598.1M-2.05B859.1M-1.79B370.9M
Net VEX-24.9M-25.9M-23.7M-25.5M-24.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.142.341.331.23
Total Volume93,118.90543,164376,412115,46146,340
Total OI1,429,189.3331,181,8851,592,0561,434,9041,395,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$129.96$126.0015.8%4.5%13.9%31.6%16.5%4.0%1.0%89.7M-1.79B-25.5M1.332.7849,58265,879719,638715,266
2008-05-02$130.73$126.0013.7%3.9%14.0%20.3%14.8%3.2%2.1%106.1M-2.05B-25.9M1.163.4143,32450,198735,642737,332
2008-05-05$129.63$125.0015.2%4.7%14.4%28.3%17.1%4.7%0.4%77.1M-1.58B-25.7M0.574.7049,16027,959738,935751,600
2008-05-06$130.25$125.0014.9%4.6%14.5%25.4%17.1%4.5%0.4%104.6M-1.93B-25.7M2.344.8139,07091,328746,918753,756
2008-05-07$128.40$125.0016.6%4.9%15.4%34.7%17.9%4.7%0.3%22.8M-855.6M-25.8M1.775.1834,81861,574752,969775,697
2008-05-08$128.24$125.0015.7%4.8%15.4%29.7%17.0%4.8%0.2%34.8M-811.0M-25.9M1.443.5124,26534,969764,777782,576
2008-05-09$127.50$125.0015.8%4.9%13.4%29.7%17.3%4.9%0.2%12.0M-428.5M-25.4M0.963.4931,67630,295775,721789,147
2008-05-12$128.76$125.0014.7%4.6%13.6%23.9%16.8%4.5%0.4%68.4M-1.11B-25.0M1.184.7029,81135,177784,174792,026
2008-05-13$128.41$125.0015.7%4.7%13.8%29.3%16.6%4.9%0.2%34.7M-808.0M-24.8M1.383.3920,80728,716784,730799,862
2008-05-14$129.00$125.0013.8%4.4%10.7%19.0%15.7%4.7%0.2%51.5M-1.11B-24.5M1.164.6640,43646,838788,142803,914
2008-05-15$130.05$125.0014.4%4.1%11.0%22.5%15.4%4.4%0.3%106.7M-1.78B-24.1M0.144.30329,86746,545768,152795,213
2008-05-16$129.60$126.0014.1%4.0%10.7%20.7%14.6%4.4%0.7%-3.8M-455.0M-23.9M1.426.2031,79745,038676,210802,899
2008-05-19$130.23$126.0014.6%4.2%10.8%23.4%15.0%4.3%0.4%35.8M-1.00B-23.7M0.993.3843,05042,821573,544608,341
2008-05-20$128.31$127.0015.5%4.4%12.0%28.4%15.6%4.4%0.4%8.9M-281.9M-24.0M1.622.9229,08347,131585,435628,665
2008-05-21$126.06$127.0016.3%4.7%13.6%32.7%16.0%4.2%0.6%-17.7M466.6M-23.8M1.023.5259,47560,773589,195640,420
2008-05-22$126.02$127.0015.8%4.5%13.4%30.1%15.6%4.3%0.4%-5.6M342.2M-24.5M1.153.1334,35539,676625,561654,313
2008-05-23$124.61$127.0016.8%4.8%13.7%35.3%16.6%4.5%0.3%-30.0M859.1M-25.1M1.342.8531,15041,704639,419678,579
2008-05-27$125.43$128.0017.1%4.9%14.0%37.2%17.2%4.7%1.1%-16.3M555.5M-24.8M0.885.3936,83632,350647,999684,284
2008-05-28$125.84$128.0016.3%4.7%14.0%32.6%16.0%4.5%0.8%-6.7M379.8M-24.9M1.806.8815,43527,729661,526695,345
2008-05-29$126.23$128.0015.8%4.5%14.1%30.0%15.9%4.1%1.2%-9.3M447.7M-24.6M1.005.4239,29339,167661,835707,516
2008-05-30$126.13$128.0015.2%4.4%13.0%26.7%15.1%4.3%1.1%-8.1M370.9M-24.6M1.238.9020,80625,534675,844719,859