DIA Options History — August 2008

In August 2008, DIA traded between $112.77 and $117.80. ATM implied volatility averaged 19.1%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.2% (HV 20d: 23.2%). Max pain ranged from $114.00 to $123.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2008-08-14: Highest Volume — 624,600 contracts
2008-08-13: Largest IV spike — 11.8% change
2008-08-13: Highest IV Rank — 58.4%
2008-08-04: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.28	$112.77	$117.80	$113.12	$115.45
Max Pain	$119.24	$114.00	$123.00	$114.00	$118.00
ATM IV	19.1%	17.1%	21.4%	20.0%	19.4%
Expected Move	5.5%	5.1%	6.1%	5.7%	5.6%
HV 20d	23.2%	21.5%	24.7%	23.0%	22.1%
HV 60d	20.5%	19.0%	21.7%	19.0%	21.5%
IV Rank	44.6%	33.2%	58.4%	49.9%	46.7%
IV Percentile	41.9%	23.4%	68.7%	49.6%	45.2%
Term Structure	0.2%	-0.2%	1.0%	0.8%	0.7%
VWIV	19.4%	17.8%	21.6%	20.1%	19.0%
Skew 25d	4.4%	3.8%	5.0%	4.3%	4.2%
Skew 10d	8.0%	6.8%	9.0%	8.0%	7.2%
Call IV 25d	17.1%	15.6%	18.9%	17.8%	17.2%
Put IV 25d	21.5%	19.4%	23.8%	22.1%	21.3%
Bid-Ask Spread %	3.55	2.63	5.61	2.86	5.61
Gamma HHI	0.08	0.05	0.11	0.05	0.07
Net GEX	46.0M	9.8M	107.7M	24.0M	45.3M
Net DEX	1.00B	-298.4M	2.20B	2.05B	840.4M
Net VEX	-26.9M	-30.4M	-22.5M	-23.0M	-29.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.16	1.44	1.19	1.44
Total Volume	152,663.429	79,093	624,600	139,293	114,976
Total OI	1,750,730.333	1,563,955	1,885,307	1,610,402	1,885,202

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
2008-08-01	$113.12	$114.00	20.0%	5.7%	23.0%	49.9%	20.1%	4.3%	0.8%	24.0M	2.05B	-23.0M	1.19	2.86	63,725	75,568	827,190	783,212
2008-08-04	$112.77	$120.00	21.3%	6.1%	22.9%	57.7%	21.6%	5.0%	-0.2%	21.2M	2.20B	-22.5M	1.12	3.38	69,377	77,367	834,162	786,616
2008-08-05	$116.01	$120.00	18.9%	5.5%	24.5%	43.8%	19.5%	4.7%	-0.0%	75.5M	741.2M	-24.7M	0.54	4.02	124,597	67,764	864,247	817,406
2008-08-06	$116.49	$120.00	17.9%	5.4%	23.4%	37.6%	19.7%	4.3%	-0.1%	88.9M	370.8M	-26.3M	0.83	4.86	85,548	70,669	919,445	845,212
2008-08-07	$114.59	$120.00	18.1%	5.6%	24.3%	39.2%	19.4%	4.6%	-0.2%	54.7M	1.44B	-25.9M	1.05	4.36	56,470	59,410	940,107	860,590
2008-08-08	$116.95	$120.00	17.1%	5.4%	24.7%	33.2%	19.6%	4.6%	-0.2%	107.7M	-113.6M	-27.0M	1.42	3.23	81,078	115,420	941,009	856,809
2008-08-11	$117.80	$120.00	18.7%	5.4%	24.6%	42.8%	19.3%	4.5%	0.2%	72.6M	-298.4M	-27.1M	0.67	3.30	86,289	57,740	944,585	895,886
2008-08-12	$116.57	$120.00	19.1%	5.6%	24.6%	45.1%	19.7%	4.6%	-0.1%	45.0M	543.8M	-26.9M	1.24	3.12	49,850	61,953	946,683	906,299
2008-08-13	$115.40	$120.00	21.4%	5.9%	23.5%	58.4%	20.2%	4.7%	-0.0%	38.1M	1.26B	-26.1M	0.77	3.12	94,236	72,644	955,438	907,031
2008-08-14	$116.42	$120.00	19.5%	5.6%	22.9%	47.2%	19.2%	4.4%	-0.1%	77.7M	632.6M	-26.5M	0.16	2.66	537,251	87,349	977,230	904,272
2008-08-15	$116.53	$120.00	18.2%	5.2%	22.8%	39.7%	18.5%	4.6%	0.3%	25.4M	1.04B	-27.5M	1.13	2.81	54,312	61,611	951,398	933,909
2008-08-18	$114.86	$120.00	19.5%	5.6%	23.4%	47.2%	19.5%	4.8%	0.4%	24.3M	1.19B	-26.7M	1.17	3.10	50,612	59,066	833,588	730,367
2008-08-19	$113.49	$119.00	20.3%	5.8%	23.5%	52.0%	19.8%	4.6%	0.1%	14.2M	1.66B	-26.6M	1.33	3.63	40,615	53,951	860,574	750,840
2008-08-20	$114.04	$119.00	19.2%	5.5%	23.5%	45.5%	19.3%	4.3%	0.2%	19.7M	1.49B	-26.7M	0.58	2.72	70,191	41,024	868,333	760,851
2008-08-21	$114.05	$119.00	18.6%	5.3%	22.1%	42.1%	18.8%	4.2%	0.2%	31.7M	1.35B	-27.6M	1.16	2.99	40,925	47,352	906,747	765,577
2008-08-22	$116.32	$118.00	17.7%	5.1%	23.1%	36.7%	17.8%	3.8%	0.4%	49.4M	540.5M	-28.9M	1.18	3.31	53,543	63,295	912,824	782,645
2008-08-25	$113.85	$118.00	19.5%	5.6%	23.6%	47.5%	19.0%	4.2%	0.1%	9.8M	1.58B	-27.9M	1.02	2.63	42,237	43,123	920,120	812,294
2008-08-26	$114.07	$118.00	19.2%	5.5%	22.3%	45.5%	19.0%	4.1%	0.3%	19.9M	1.46B	-28.1M	0.90	2.81	41,631	37,462	933,665	817,607
2008-08-27	$115.00	$123.00	18.5%	5.3%	21.6%	41.2%	18.7%	4.1%	0.9%	38.8M	1.07B	-28.3M	0.79	5.05	95,456	75,821	943,639	822,820
2008-08-28	$117.13	$118.00	18.0%	5.2%	21.5%	38.4%	18.6%	3.9%	1.0%	81.3M	370.0K	-30.4M	1.05	4.96	60,720	63,704	998,775	860,133
2008-08-29	$115.45	$118.00	19.4%	5.6%	22.1%	46.7%	19.0%	4.2%	0.7%	45.3M	840.4M	-29.9M	1.44	5.61	47,159	67,817	1,006,835	878,367