DIA Options History — November 2008

In November 2008, DIA traded between $76.06 and $96.21. ATM implied volatility averaged 55.0%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 25.2% (HV 20d: 80.2%). Max pain ranged from $92.00 to $117.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2008-11-13: Highest Volume — 330,611 contracts
2008-11-06: Largest IV spike — 26.2% change
2008-11-20: Highest IV Rank — 61.9%
2008-11-20: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.26	$76.06	$96.21	$93.43	$88.30
Max Pain	$99.89	$92.00	$117.00	$92.00	$116.00
ATM IV	55.0%	43.0%	70.3%	48.0%	48.9%
Expected Move	15.5%	12.3%	20.2%	13.8%	14.0%
HV 20d	80.2%	61.4%	96.4%	96.4%	61.4%
HV 60d	65.6%	61.2%	69.6%	61.2%	69.5%
IV Rank	45.5%	32.8%	61.9%	38.2%	39.1%
IV Percentile	92.7%	86.5%	98.0%	92.5%	87.3%
Term Structure	-2.1%	-7.7%	1.2%	-2.5%	-0.9%
VWIV	53.7%	44.3%	67.2%	49.4%	44.4%
Skew 25d	15.8%	13.5%	18.5%	15.4%	13.6%
Skew 10d	29.4%	24.2%	33.7%	29.0%	26.1%
Call IV 25d	46.1%	36.5%	61.9%	40.3%	42.0%
Put IV 25d	61.9%	50.4%	80.3%	55.6%	55.6%
Bid-Ask Spread %	10.52	5.43	17.93	7.92	13.71
Gamma HHI	0.04	0.03	0.07	0.03	0.04
Net GEX	-22.4M	-36.6M	1.4M	-5.7M	-19.0M
Net DEX	3.98B	2.24B	5.80B	2.74B	3.02B
Net VEX	-16.3M	-20.9M	-11.5M	-20.6M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.76	1.83	1.44	1.34
Total Volume	153,451.263	36,582	330,611	69,298	36,582
Total OI	2,271,141.211	1,967,630	2,514,620	2,193,225	2,075,664

Daily Data (19 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
2008-11-03	$93.43	$92.00	48.0%	13.8%	96.4%	38.2%	49.4%	15.4%	-2.5%	-5.7M	2.74B	-20.6M	1.44	7.92	28,448	40,850	1,205,744	987,481
2008-11-04	$96.21	$92.00	43.0%	12.3%	95.4%	32.8%	44.3%	13.9%	-2.4%	1.4M	2.24B	-20.9M	0.88	7.92	75,835	66,979	1,209,244	987,250
2008-11-05	$91.85	$92.00	47.0%	13.5%	95.8%	37.0%	45.9%	14.0%	-2.8%	-10.5M	3.09B	-19.5M	1.47	14.86	39,180	57,766	1,231,738	999,496
2008-11-06	$87.13	$93.00	59.3%	17.0%	94.7%	50.1%	56.0%	14.8%	-7.7%	-20.7M	3.96B	-17.5M	1.43	14.33	78,841	113,104	1,234,058	987,926
2008-11-07	$90.13	$103.00	49.0%	13.5%	95.0%	39.2%	48.5%	16.8%	-1.6%	-18.7M	3.67B	-18.1M	0.90	5.88	69,173	62,079	1,260,657	1,013,043
2008-11-10	$88.93	$103.00	53.0%	14.0%	83.3%	43.4%	51.7%	17.1%	-1.4%	-21.6M	3.84B	-17.3M	1.19	6.26	57,828	69,017	1,267,816	1,022,494
2008-11-11	$86.75	$103.00	55.5%	14.6%	83.6%	46.1%	50.9%	17.4%	-1.4%	-27.6M	4.24B	-16.5M	0.92	7.77	83,137	76,358	1,285,171	1,038,077
2008-11-12	$83.09	$102.00	62.2%	16.1%	77.3%	53.3%	51.3%	17.5%	-2.5%	-32.3M	4.87B	-14.7M	1.83	6.53	65,377	119,609	1,306,866	1,043,974
2008-11-13	$88.70	$102.00	48.5%	13.9%	78.2%	38.7%	51.4%	15.6%	-1.5%	-13.8M	3.74B	-17.2M	1.02	7.84	163,801	166,810	1,307,819	1,042,794
2008-11-14	$84.22	$100.00	57.0%	16.3%	79.8%	47.7%	54.4%	17.0%	-2.7%	-25.1M	4.35B	-16.1M	0.89	8.48	78,010	69,115	1,324,674	1,062,052
2008-11-17	$82.95	$100.00	60.2%	17.3%	76.0%	51.1%	59.1%	17.0%	-2.7%	-33.3M	4.83B	-14.8M	1.01	5.43	61,577	62,133	1,326,836	1,067,419
2008-11-18	$84.34	$100.00	59.8%	17.1%	75.8%	50.6%	59.0%	16.7%	-2.1%	-26.7M	4.36B	-15.6M	1.16	8.94	78,606	91,409	1,342,438	1,072,882
2008-11-19	$80.36	$100.00	65.3%	18.7%	75.2%	56.5%	63.9%	16.5%	-2.9%	-35.1M	5.18B	-14.0M	0.90	10.85	65,273	58,747	1,358,497	1,088,060
2008-11-20	$76.06	$100.00	70.3%	20.2%	76.4%	61.9%	67.2%	18.5%	-5.2%	-33.3M	5.80B	-11.5M	1.32	17.38	105,018	138,961	1,369,205	1,085,435
2008-11-21	$80.54	$98.00	61.5%	17.6%	77.2%	52.5%	63.5%	16.0%	-0.7%	-36.6M	5.37B	-13.7M	0.76	17.93	125,420	95,704	1,393,137	1,121,483
2008-11-24	$83.90	$93.00	56.0%	16.0%	77.6%	46.7%	56.8%	16.0%	0.4%	-20.9M	3.54B	-14.5M	1.01	6.45	76,952	78,007	1,110,034	857,596
2008-11-25	$84.81	$92.00	52.3%	14.8%	62.2%	42.7%	52.3%	13.5%	1.2%	-24.7M	3.56B	-14.8M	1.37	14.28	67,685	92,609	1,117,567	887,275
2008-11-26	$87.18	$117.00	47.6%	13.6%	62.8%	37.7%	49.6%	13.5%	-0.4%	-21.0M	3.24B	-15.7M	1.76	17.10	36,132	63,442	1,148,723	911,058
2008-11-28	$88.30	$116.00	48.9%	14.0%	61.4%	39.1%	44.4%	13.6%	-0.9%	-19.0M	3.02B	-16.3M	1.34	13.71	15,665	20,917	1,152,059	923,605