DIA Options History — June 2008

In June 2008, DIA traded between $113.42 and $126.11. ATM implied volatility averaged 19.2%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.3%). Max pain ranged from $120.00 to $128.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2008-06-27: Highest Volume — 278,021 contracts
2008-06-06: Largest IV spike — 27.6% change
2008-06-30: Highest IV Rank — 61.9%
2008-06-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.60	$113.42	$126.11	$125.16	$113.42
Max Pain	$124.33	$120.00	$128.00	$128.00	$120.00
ATM IV	19.2%	15.7%	21.6%	16.7%	21.6%
Expected Move	5.5%	4.5%	6.2%	4.8%	6.2%
HV 20d	17.3%	12.7%	19.7%	12.9%	19.7%
HV 60d	16.7%	15.1%	18.1%	18.0%	16.1%
IV Rank	48.8%	29.5%	61.9%	35.0%	61.9%
IV Percentile	52.4%	26.2%	72.6%	35.7%	72.6%
Term Structure	0.6%	0.1%	1.1%	0.9%	0.6%
VWIV	19.2%	15.9%	20.9%	15.9%	20.9%
Skew 25d	5.2%	4.3%	6.2%	4.6%	4.5%
Skew 10d	9.8%	7.8%	12.2%	9.0%	8.6%
Call IV 25d	16.9%	13.7%	19.4%	14.6%	19.0%
Put IV 25d	22.1%	18.0%	24.1%	19.2%	23.5%
Bid-Ask Spread %	5.26	3.21	8.59	4.67	5.61
Gamma HHI	0.07	0.05	0.20	0.05	0.11
Net GEX	-68.9M	-177.4M	11.8M	-28.9M	-108.4M
Net DEX	1.96B	224.9M	3.71B	869.1M	3.18B
Net VEX	-22.8M	-25.4M	-19.3M	-24.2M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.61	1.65	1.02	0.96
Total Volume	140,298.476	65,775	278,021	116,575	160,875
Total OI	1,525,842.333	1,214,765	1,700,477	1,411,558	1,498,621

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
2008-06-02	$125.16	$128.00	16.7%	4.8%	12.9%	35.0%	15.9%	4.6%	0.9%	-28.9M	869.1M	-24.2M	1.02	4.67	57,724	58,851	685,489	726,069
2008-06-03	$123.96	$127.00	17.1%	4.9%	13.0%	37.3%	18.0%	4.7%	0.9%	-40.3M	1.19B	-24.6M	0.99	6.46	40,730	40,173	718,392	751,594
2008-06-04	$123.99	$127.00	17.6%	5.1%	12.7%	40.1%	18.1%	4.8%	0.9%	-39.5M	1.21B	-24.9M	1.55	8.58	25,756	40,019	730,057	760,449
2008-06-05	$126.11	$127.00	15.7%	4.5%	13.7%	29.5%	17.0%	4.3%	1.1%	11.8M	224.9M	-25.4M	0.98	5.49	53,859	52,788	736,678	766,016
2008-06-06	$122.12	$127.00	20.1%	5.8%	17.6%	53.5%	19.0%	5.4%	0.3%	-72.5M	1.96B	-24.6M	1.26	8.59	69,008	87,265	750,345	782,579
2008-06-09	$122.96	$127.00	20.0%	5.7%	17.9%	53.3%	18.7%	5.8%	0.1%	-51.0M	1.50B	-24.7M	0.79	6.54	61,219	48,459	770,334	786,944
2008-06-10	$122.96	$125.00	19.7%	5.7%	17.3%	51.3%	20.0%	6.2%	0.3%	-43.3M	1.50B	-24.7M	1.00	4.82	41,991	42,111	791,585	792,965
2008-06-11	$121.05	$125.00	21.2%	6.0%	18.0%	59.9%	20.3%	6.2%	0.2%	-76.2M	2.26B	-23.7M	1.12	6.02	78,536	87,838	799,415	803,262
2008-06-12	$121.63	$125.00	20.0%	5.7%	18.0%	53.2%	20.5%	6.0%	0.3%	-60.4M	1.92B	-23.9M	1.06	6.72	52,843	55,977	824,377	812,108
2008-06-13	$123.10	$125.00	18.6%	5.3%	18.4%	45.5%	18.7%	5.6%	0.5%	-42.6M	1.33B	-24.2M	0.97	8.03	61,742	59,815	826,906	819,658
2008-06-16	$122.66	$125.00	18.0%	5.2%	18.4%	42.4%	18.4%	5.3%	0.7%	-46.5M	1.52B	-23.4M	0.98	3.48	45,554	44,730	839,247	832,596
2008-06-17	$121.93	$124.00	18.5%	5.3%	18.2%	44.9%	18.7%	5.0%	0.7%	-68.8M	1.98B	-22.5M	0.81	4.47	69,821	56,775	849,565	837,323
2008-06-18	$120.33	$124.00	20.2%	5.8%	18.0%	54.4%	20.0%	5.5%	0.2%	-99.3M	2.68B	-22.0M	1.65	3.40	64,115	105,713	851,333	842,748
2008-06-19	$120.63	$124.00	18.6%	5.3%	17.3%	45.5%	18.8%	5.3%	0.7%	-103.1M	2.61B	-21.6M	0.68	3.42	123,265	84,016	844,530	846,995
2008-06-20	$118.24	$124.00	20.6%	5.9%	18.4%	56.8%	20.4%	5.4%	0.3%	-177.4M	3.71B	-20.8M	1.38	3.21	83,476	115,292	841,617	858,860
2008-06-23	$118.33	$123.00	20.0%	5.7%	18.2%	53.0%	19.8%	5.2%	0.6%	-73.4M	1.83B	-20.8M	1.04	4.38	93,234	96,947	617,241	597,524
2008-06-24	$117.94	$121.00	19.7%	5.7%	17.9%	51.7%	19.2%	5.1%	0.8%	-65.7M	1.81B	-21.5M	0.61	3.49	79,770	48,649	672,843	643,464
2008-06-25	$117.91	$121.00	18.6%	5.3%	17.7%	45.4%	18.4%	4.7%	1.0%	-62.7M	1.79B	-21.7M	0.98	3.42	51,393	50,553	697,625	656,737
2008-06-26	$114.67	$121.00	21.3%	6.1%	19.6%	60.5%	20.9%	4.5%	0.6%	-94.7M	2.85B	-20.5M	0.89	5.89	93,943	83,422	715,356	673,943
2008-06-27	$113.46	$121.00	19.2%	6.2%	19.6%	48.9%	20.7%	4.5%	0.7%	-105.0M	3.19B	-19.3M	1.26	3.82	123,270	154,751	715,356	673,943
2008-06-30	$113.42	$120.00	21.6%	6.2%	19.7%	61.9%	20.9%	4.5%	0.6%	-108.4M	3.18B	-20.3M	0.96	5.61	81,872	79,003	763,497	735,124