DIA Options History — October 2008

In October 2008, DIA traded between $80.26 and $108.70. ATM implied volatility averaged 59.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 10.5% (HV 20d: 69.8%). Max pain ranged from $90.00 to $112.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.11.

Notable Days

2008-10-10: Highest Volume — 335,906 contracts
2008-10-16: Largest IV drop — 32.4% change
2008-10-10: Highest IV Rank — 72.7%
2008-10-27: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.77	$80.26	$108.70	$108.70	$93.50
Max Pain	$101.43	$90.00	$112.00	$111.00	$92.00
ATM IV	59.4%	39.5%	80.4%	39.5%	52.1%
Expected Move	15.2%	11.3%	20.3%	11.3%	14.9%
HV 20d	69.8%	42.3%	96.9%	42.3%	96.9%
HV 60d	46.2%	30.0%	61.4%	30.0%	61.4%
IV Rank	50.4%	29.6%	72.7%	29.6%	42.5%
IV Percentile	97.4%	92.9%	99.6%	99.2%	92.9%
Term Structure	-6.2%	-10.7%	-2.1%	-6.3%	-3.3%
VWIV	52.8%	40.5%	68.0%	40.5%	54.2%
Skew 25d	15.8%	7.9%	23.2%	7.9%	17.2%
Skew 10d	27.6%	1.9%	40.4%	15.3%	31.8%
Call IV 25d	44.9%	36.1%	58.8%	36.1%	43.4%
Put IV 25d	60.7%	44.0%	81.3%	44.0%	60.6%
Bid-Ask Spread %	17.80	6.91	65.85	12.93	9.03
Gamma HHI	0.03	0.03	0.05	0.05	0.03
Net GEX	-12.6M	-26.1M	15.7M	15.7M	-1.9M
Net DEX	4.09B	1.72B	5.81B	1.72B	2.64B
Net VEX	-19.0M	-29.4M	-13.7M	-29.4M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.69	2.12	0.73	1.15
Total Volume	186,625.304	75,521	335,906	97,412	112,260
Total OI	2,086,494.478	1,845,909	2,427,552	1,845,909	2,179,327

Daily Data (23 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
2008-10-01	$108.70	$111.00	39.5%	11.3%	42.3%	29.6%	40.5%	7.9%	-6.3%	15.7M	1.72B	-29.4M	0.73	12.93	56,146	41,266	1,009,741	836,168
2008-10-02	$105.27	$110.00	47.3%	13.6%	42.5%	37.9%	48.4%	9.5%	-9.3%	1.6M	2.59B	-27.8M	2.12	12.43	43,155	91,359	1,034,491	846,979
2008-10-03	$103.20	$110.00	45.5%	13.1%	42.9%	36.0%	43.7%	9.9%	-7.0%	-13.3M	3.28B	-25.8M	1.07	9.34	75,730	81,259	1,049,527	862,990
2008-10-06	$99.90	$112.00	58.0%	12.0%	42.6%	49.2%	42.2%	11.8%	-4.1%	-26.1M	4.29B	-22.4M	1.05	16.91	157,828	165,362	1,063,746	876,154
2008-10-07	$95.07	$111.00	59.9%	13.1%	44.9%	51.2%	44.2%	11.7%	-3.7%	-22.9M	4.92B	-19.2M	0.76	13.16	107,124	81,932	1,136,097	892,608
2008-10-08	$91.40	$110.00	66.6%	14.5%	45.9%	58.3%	48.3%	13.5%	-6.2%	-24.4M	5.17B	-17.2M	1.20	11.12	112,240	134,858	1,139,265	892,562
2008-10-09	$85.55	$109.00	75.3%	16.4%	48.7%	67.3%	53.4%	13.2%	-7.0%	-21.6M	5.60B	-14.0M	1.41	29.41	90,612	127,516	1,180,609	907,450
2008-10-10	$83.75	$108.00	80.4%	18.4%	48.5%	72.7%	61.6%	16.4%	-10.7%	-17.5M	5.32B	-13.7M	1.05	27.45	163,843	172,063	1,200,413	910,892
2008-10-13	$95.03	$105.00	69.9%	13.4%	68.8%	61.5%	49.2%	13.5%	-3.3%	3.4M	4.23B	-19.0M	0.85	20.65	107,357	91,126	1,289,034	966,667
2008-10-14	$93.67	$105.00	65.3%	13.2%	68.6%	56.6%	45.1%	13.0%	-4.1%	-971.7K	4.44B	-18.7M	1.33	17.24	108,152	143,814	1,303,926	991,080
2008-10-15	$84.87	$105.00	79.2%	16.7%	75.2%	71.4%	53.5%	14.5%	-9.1%	-22.3M	5.81B	-15.0M	1.19	52.22	81,638	96,842	1,303,364	1,039,758
2008-10-16	$89.87	$104.00	53.6%	15.4%	77.8%	44.1%	55.0%	19.4%	-6.7%	-18.2M	5.31B	-16.8M	1.07	10.39	140,687	150,100	1,316,104	1,044,625
2008-10-17	$87.54	$101.00	57.5%	16.5%	76.3%	48.2%	55.8%	17.7%	-7.4%	-14.9M	5.44B	-16.5M	1.11	20.25	111,808	123,643	1,353,252	1,074,300
2008-10-20	$93.28	$98.00	44.0%	12.6%	80.8%	33.8%	47.2%	15.8%	-2.1%	-14.5M	3.51B	-18.6M	0.72	7.43	78,624	56,820	1,049,618	845,039
2008-10-21	$90.38	$97.00	47.0%	13.5%	81.1%	37.0%	45.7%	14.4%	-3.7%	-20.3M	3.80B	-17.4M	1.13	9.27	35,444	40,077	1,081,794	870,471
2008-10-22	$85.50	$96.00	59.5%	17.1%	82.7%	50.4%	57.9%	19.1%	-7.8%	-19.1M	4.19B	-16.0M	1.09	8.90	72,077	78,273	1,096,260	876,713
2008-10-23	$87.99	$93.00	55.8%	16.0%	83.3%	46.4%	59.5%	19.4%	-5.0%	-14.6M	3.85B	-17.1M	0.99	7.87	98,461	97,876	1,116,329	870,271
2008-10-24	$83.09	$92.00	66.8%	19.2%	84.5%	58.2%	68.0%	23.2%	-9.5%	-16.4M	4.11B	-16.2M	1.94	65.85	57,098	110,761	1,141,254	890,044
2008-10-27	$80.26	$92.00	70.8%	20.3%	83.2%	62.4%	65.8%	22.5%	-9.6%	-21.2M	4.49B	-14.0M	0.81	6.91	67,673	54,728	1,156,499	920,305
2008-10-28	$91.14	$91.00	55.6%	15.9%	95.9%	46.2%	61.0%	20.3%	-5.5%	-7.8M	3.14B	-19.4M	1.10	12.33	69,601	76,826	1,174,563	927,018
2008-10-29	$89.15	$90.00	60.8%	17.4%	95.9%	51.8%	59.0%	19.8%	-6.3%	-9.7M	3.36B	-19.4M	0.69	17.83	115,837	80,458	1,186,679	943,142
2008-10-30	$92.50	$91.00	55.1%	15.8%	96.9%	45.7%	56.3%	19.4%	-5.3%	-2.8M	2.79B	-21.0M	0.91	10.51	69,012	63,016	1,190,464	951,781
2008-10-31	$93.50	$92.00	52.1%	14.9%	96.9%	42.5%	54.2%	17.2%	-3.3%	-1.9M	2.64B	-21.7M	1.15	9.03	52,333	59,927	1,204,774	974,553