DIA Options History — September 2008 In September 2008, DIA traded between $104.75 and $115.51. ATM implied volatility averaged 31.7%, placing in the 78.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.7% (HV 20d: 29.1%). Max pain ranged from $111.00 to $118.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.16.
Notable Days 2008-09-16 : Highest Volume — 313,237 contracts2008-09-29 : Largest IV spike — 152.8% change2008-09-15 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $111.34 $104.75 $115.51 $115.16 $108.36 Max Pain $114.52 $111.00 $118.00 $118.00 $111.00 ATM IV 31.7% 19.6% 106.1% 20.5% 39.0% Expected Move 8.2% 5.6% 14.5% 5.9% 11.2% HV 20d 29.1% 19.6% 42.3% 22.1% 42.3% HV 60d 24.3% 20.5% 30.1% 20.6% 30.1% IV Rank 78.8% 29.0% 100.0% 52.9% 29.0% IV Percentile 90.2% 48.4% 100.0% 60.3% 99.2% Term Structure -2.4% -14.2% 0.8% 0.3% -6.6% VWIV 28.3% 19.8% 44.8% 19.8% 39.1% Skew 25d 6.4% 3.9% 11.1% 4.2% 8.0% Skew 10d 11.6% 6.9% 19.8% 7.2% 14.9% Call IV 25d 25.2% 17.9% 40.9% 18.4% 35.2% Put IV 25d 31.6% 21.8% 52.0% 22.6% 43.2% Bid-Ask Spread % 12.76 4.69 55.16 4.94 14.00 Gamma HHI 0.06 0.04 0.08 0.07 0.05 Net GEX 17.1M -41.5M 77.0M 48.9M 15.6M Net DEX 2.12B 788.0M 5.13B 955.3M 2.17B Net VEX -29.8M -52.6M -25.0M -29.4M -28.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.72 1.91 1.05 1.63 Total Volume 188,085.714 95,916 313,237 154,232 129,558 Total OI 2,081,086.19 1,815,110 2,379,542 1,897,056 1,985,823
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 2008-09-02 $115.16 $118.00 20.5% 5.9% 22.1% 52.9% 19.8% 4.2% 0.3% 48.9M 955.3M -29.4M 1.05 4.94 75,390 78,842 1,016,822 880,234 2008-09-03 $115.51 $118.00 19.6% 5.6% 19.6% 47.9% 21.5% 3.9% 0.8% 58.9M 836.9M -29.6M 0.94 5.52 56,539 52,879 1,039,152 897,318 2008-09-04 $112.20 $118.00 22.4% 6.4% 22.0% 64.3% 22.1% 4.0% 0.4% -15.5M 2.60B -27.7M 0.72 4.69 123,483 89,353 1,035,666 907,717 2008-09-05 $112.35 $118.00 21.6% 6.2% 21.4% 59.4% 23.0% 4.0% 0.3% 6.7M 2.37B -28.0M 0.73 5.15 114,694 84,005 1,078,896 915,668 2008-09-08 $115.16 $118.00 22.8% 6.2% 22.0% 66.8% 22.3% 4.0% -0.3% 77.0M 788.0M -29.9M 0.81 8.17 140,678 113,272 1,108,035 933,842 2008-09-09 $112.53 $118.00 25.9% 6.9% 23.1% 84.8% 22.7% 4.7% -0.3% 10.3M 2.27B -29.5M 1.22 8.58 79,708 97,484 1,134,464 965,895 2008-09-10 $113.00 $115.00 24.5% 6.6% 23.0% 76.5% 23.0% 4.8% -0.3% 13.5M 2.16B -29.5M 1.09 7.03 68,878 75,004 1,144,802 977,689 2008-09-11 $114.86 $115.00 22.6% 6.5% 23.6% 65.4% 23.4% 5.1% -0.2% 59.9M 1.16B -30.5M 1.50 8.00 83,372 124,739 1,152,432 982,194 2008-09-12 $114.79 $115.00 23.6% 6.8% 23.4% 71.2% 24.6% 5.0% -0.5% 60.1M 1.12B -30.9M 1.36 8.72 74,577 101,793 1,173,973 1,003,259 2008-09-15 $109.80 $115.00 28.9% 8.3% 28.0% 100.0% 28.4% 6.2% -2.1% -41.5M 4.03B -27.1M 1.23 12.78 110,686 136,307 1,191,388 1,027,759 2008-09-16 $110.66 $115.00 27.6% 7.9% 27.9% 92.8% 28.2% 6.5% -2.2% -4.1M 3.59B -27.4M 1.16 15.82 144,968 168,269 1,233,864 1,034,316 2008-09-17 $106.76 $114.00 32.7% 9.4% 30.3% 100.0% 32.5% 8.4% -3.4% -30.7M 5.13B -25.0M 0.94 14.01 146,176 137,382 1,270,883 1,055,424 2008-09-18 $109.97 $113.00 29.8% 8.5% 32.3% 86.5% 30.7% 9.1% -2.8% 28.6M 3.59B -27.0M 0.93 55.16 146,021 135,202 1,301,957 1,050,148 2008-09-19 $113.57 $112.00 27.6% 7.9% 34.5% 76.2% 28.9% 8.7% -2.2% 18.5M 977.8M -29.6M 1.14 19.37 115,489 131,625 1,317,085 1,062,457 2008-09-22 $110.50 $112.00 31.3% 9.0% 35.0% 93.4% 30.0% 7.4% -2.8% 45.8M 1.44B -52.6M 0.95 11.30 71,146 67,788 1,306,018 1,052,260 2008-09-23 $108.50 $112.00 33.5% 9.6% 34.8% 100.0% 32.4% 7.4% -3.4% 8.7M 1.98B -27.7M 1.91 8.92 52,424 99,886 1,024,589 790,521 2008-09-24 $108.30 $112.00 33.8% 9.7% 34.7% 100.0% 32.5% 7.2% -3.9% -7.0M 2.11B -28.3M 1.20 10.09 45,478 54,695 1,039,909 839,291 2008-09-25 $110.27 $112.00 30.9% 8.9% 35.3% 87.1% 30.6% 6.5% -2.8% 3.6M 1.57B -29.1M 0.78 10.72 53,741 42,175 1,053,153 847,347 2008-09-26 $111.15 $112.00 42.0% 9.6% 34.7% 100.0% 34.1% 7.4% -4.2% 23.2M 965.6M -30.3M 1.27 9.81 49,294 62,727 1,061,957 857,164 2008-09-29 $104.75 $112.00 106.1% 14.5% 40.0% 100.0% 44.8% 11.1% -14.2% -21.8M 2.72B -27.7M 1.84 25.24 75,331 138,742 1,075,649 875,790 2008-09-30 $108.36 $111.00 39.0% 11.2% 42.3% 29.0% 39.1% 8.0% -6.6% 15.6M 2.17B -28.4M 1.63 14.00 49,347 80,211 1,093,702 892,121
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