DIA Options History — July 2008 In July 2008, DIA traded between $109.30 and $116.23. ATM implied volatility averaged 21.6%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.1% (HV 20d: 19.5%). Max pain ranged from $112.00 to $119.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.11.
Notable Days 2008-07-01 : Highest Volume — 243,520 contracts2008-07-08 : Largest IV drop — 14.4% change2008-07-15 : Highest IV Rank — 86.0%2008-07-15 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $113.13 $109.30 $116.23 $113.77 $113.70 Max Pain $114.36 $112.00 $119.00 $119.00 $114.00 ATM IV 21.6% 18.2% 26.1% 20.6% 20.5% Expected Move 6.2% 5.2% 7.5% 5.9% 5.9% HV 20d 19.5% 16.1% 23.1% 19.8% 23.1% HV 60d 17.1% 15.8% 19.2% 16.2% 19.2% IV Rank 59.9% 39.6% 86.0% 54.6% 53.2% IV Percentile 67.9% 33.7% 97.6% 64.7% 57.9% Term Structure -0.0% -1.5% 1.2% 1.2% 0.1% VWIV 21.9% 19.2% 25.6% 21.2% 20.3% Skew 25d 5.3% 4.1% 6.6% 4.4% 4.4% Skew 10d 9.8% 7.7% 12.2% 8.1% 7.8% Call IV 25d 19.1% 16.3% 22.8% 18.6% 18.6% Put IV 25d 24.5% 21.0% 29.2% 23.1% 23.0% Bid-Ask Spread % 4.08 2.09 9.19 3.11 2.57 Gamma HHI 0.12 0.05 0.53 0.08 0.05 Net GEX -51.9M -187.2M 59.5M -76.7M 22.5M Net DEX 2.45B 902.6M 4.38B 2.77B 1.87B Net VEX -21.3M -23.6M -15.9M -20.6M -23.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.63 2.08 0.79 1.23 Total Volume 155,380.182 82,400 243,520 243,520 142,845 Total OI 1,556,024.455 1,350,214 1,789,774 1,404,143 1,573,985
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 2008-07-01 $113.77 $119.00 20.6% 5.9% 19.8% 54.6% 21.2% 4.4% 1.2% -76.7M 2.77B -20.6M 0.79 3.11 135,812 107,708 704,697 699,446 2008-07-02 $112.15 $118.00 23.2% 6.7% 20.0% 69.6% 22.7% 5.1% 0.6% -75.7M 3.20B -20.6M 1.06 4.25 76,109 80,609 763,020 719,427 2008-07-03 $113.05 $118.00 21.4% 6.1% 18.9% 58.9% 21.6% 4.1% 1.2% -80.5M 3.04B -20.9M 1.11 3.77 70,573 78,152 771,820 738,571 2008-07-07 $112.21 $116.00 23.0% 6.6% 16.1% 68.1% 22.9% 6.2% -0.7% -104.3M 3.34B -20.2M 1.25 5.10 101,221 126,863 785,327 760,550 2008-07-08 $113.74 $115.00 19.7% 5.9% 16.9% 48.2% 21.8% 5.8% -0.1% -97.3M 2.74B -20.9M 1.60 5.60 81,927 131,483 801,936 798,938 2008-07-09 $111.60 $115.00 22.2% 6.6% 17.7% 63.3% 23.5% 5.7% -0.5% -128.9M 3.50B -20.4M 1.29 4.16 69,874 90,315 817,570 811,038 2008-07-10 $112.22 $115.00 23.4% 6.7% 17.5% 70.3% 24.5% 5.8% -0.7% -107.7M 3.18B -20.8M 2.08 3.48 75,019 155,693 824,772 811,457 2008-07-11 $111.00 $115.00 24.8% 7.1% 17.4% 78.4% 24.4% 6.6% -1.1% -139.8M 3.69B -20.7M 1.02 4.27 90,884 92,398 829,666 841,306 2008-07-14 $110.50 $114.00 26.1% 7.5% 16.3% 85.9% 25.6% 6.6% -1.5% -122.3M 3.29B -15.9M 1.19 3.69 89,742 106,660 732,669 705,885 2008-07-15 $109.30 $114.00 26.1% 7.5% 16.4% 86.0% 25.6% 6.5% -1.2% -168.2M 4.38B -19.5M 1.10 9.19 82,931 90,816 879,620 864,992 2008-07-16 $112.17 $113.00 22.6% 6.5% 19.9% 65.7% 22.9% 6.0% -0.3% -104.0M 3.07B -21.1M 0.70 4.81 100,238 70,203 895,751 870,332 2008-07-17 $114.14 $112.00 22.2% 6.4% 21.0% 62.9% 22.4% 5.9% -0.4% -14.1M 1.91B -22.1M 0.72 7.77 113,767 81,465 918,247 871,527 2008-07-18 $114.95 $112.00 21.2% 6.1% 21.2% 57.0% 21.9% 5.6% 0.2% -187.2M 1.65B -22.7M 1.01 4.84 44,127 44,519 902,166 877,752 2008-07-21 $114.65 $112.00 20.2% 5.8% 20.1% 51.5% 20.6% 5.6% 0.2% 25.1M 1.42B -21.8M 0.63 2.94 51,547 32,565 692,891 657,323 2008-07-22 $115.70 $113.00 18.2% 5.2% 20.5% 39.6% 19.3% 4.7% 0.8% 40.2M 1.08B -22.2M 1.13 3.63 60,610 68,625 719,955 644,992 2008-07-23 $116.23 $114.00 18.9% 5.4% 20.5% 43.4% 19.2% 5.0% 0.6% 38.7M 910.7M -23.6M 0.87 2.90 60,715 52,839 750,453 696,343 2008-07-24 $113.60 $114.00 20.5% 5.9% 22.0% 53.4% 20.5% 4.9% 0.3% 20.9M 1.78B -22.7M 1.26 2.87 49,336 62,246 760,676 705,469 2008-07-25 $113.17 $113.00 20.3% 5.8% 19.8% 51.9% 20.0% 4.9% 0.6% 20.0M 1.95B -22.5M 1.14 3.29 38,477 43,923 767,462 713,758 2008-07-28 $111.34 $114.00 22.2% 6.4% 20.2% 63.2% 21.2% 4.5% -0.1% -2.3M 2.57B -21.0M 1.01 2.09 51,387 51,829 777,804 721,225 2008-07-29 $113.85 $113.00 19.6% 5.6% 21.9% 48.0% 20.0% 4.2% 0.2% 41.0M 1.69B -22.2M 0.91 2.87 50,220 45,930 794,857 725,289 2008-07-30 $115.82 $113.00 19.2% 5.5% 22.7% 45.6% 20.1% 4.3% 0.2% 59.5M 902.6M -23.4M 1.35 2.55 70,639 95,523 796,980 734,594 2008-07-31 $113.70 $114.00 20.5% 5.9% 23.1% 53.2% 20.3% 4.4% 0.1% 22.5M 1.87B -23.0M 1.23 2.57 64,153 78,692 806,462 767,523
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