DIA Options History — December 2008

In December 2008, DIA traded between $81.66 and $89.57. ATM implied volatility averaged 45.0%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 10.0% (HV 20d: 55.0%). Max pain ranged from $100.00 to $116.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2008-12-18: Highest Volume — 189,598 contracts
2008-12-30: Largest IV drop — 28.0% change
2008-12-01: Highest IV Rank — 50.5%
2008-12-01: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.99	$81.66	$89.57	$81.66	$87.52
Max Pain	$106.59	$100.00	$116.00	$116.00	$100.00
ATM IV	45.0%	31.1%	59.6%	59.6%	31.1%
Expected Move	12.8%	8.9%	17.1%	17.1%	8.9%
HV 20d	55.0%	31.1%	68.2%	66.8%	31.1%
HV 60d	70.9%	69.4%	72.1%	71.1%	69.4%
IV Rank	34.8%	18.8%	50.5%	50.5%	18.8%
IV Percentile	81.5%	72.2%	93.3%	93.3%	72.2%
Term Structure	-0.0%	-3.0%	2.0%	-2.5%	2.0%
VWIV	44.8%	33.3%	60.3%	53.1%	33.3%
Skew 25d	10.7%	6.8%	15.1%	15.1%	6.8%
Skew 10d	20.4%	12.4%	25.9%	25.9%	12.4%
Call IV 25d	39.4%	28.9%	52.9%	52.9%	28.9%
Put IV 25d	50.1%	35.7%	68.0%	68.0%	35.7%
Bid-Ask Spread %	11.33	4.48	21.92	10.49	4.48
Gamma HHI	0.05	0.04	0.10	0.04	0.06
Net GEX	-20.1M	-28.9M	12.9M	-27.4M	-20.4M
Net DEX	3.13B	2.44B	4.22B	3.87B	2.44B
Net VEX	-13.0M	-16.0M	-9.8M	-13.9M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.51	2.50	1.75	1.51
Total Volume	90,731	14,618	189,598	76,221	51,340
Total OI	1,982,929.545	1,492,838	2,307,244	2,077,320	1,526,215

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
2008-12-01	$81.66	$116.00	59.6%	17.1%	66.8%	50.5%	53.1%	15.1%	-2.5%	-27.4M	3.87B	-13.9M	1.75	10.49	27,710	48,511	1,155,853	921,467
2008-12-02	$84.36	$115.00	56.8%	16.3%	68.2%	47.5%	56.4%	14.6%	-3.0%	-23.0M	3.53B	-14.7M	1.46	10.82	45,348	66,201	1,163,477	917,445
2008-12-03	$86.04	$115.00	54.1%	15.5%	67.6%	44.6%	52.5%	13.3%	-2.5%	-21.8M	3.32B	-15.2M	1.19	10.35	40,900	48,487	1,173,188	937,422
2008-12-04	$83.74	$113.00	56.3%	16.1%	66.4%	47.0%	60.3%	14.4%	-2.0%	-24.5M	3.53B	-14.8M	1.64	11.36	23,145	38,013	1,181,594	947,790
2008-12-05	$86.59	$113.00	51.6%	14.8%	65.2%	41.9%	53.9%	11.7%	-1.6%	-22.3M	3.25B	-15.3M	1.28	14.38	45,034	57,846	1,185,466	953,265
2008-12-08	$89.12	$113.00	49.4%	14.2%	64.8%	39.6%	48.4%	11.9%	-0.3%	-12.6M	2.76B	-16.0M	1.04	16.94	67,302	69,809	1,197,564	968,802
2008-12-09	$87.11	$112.00	50.4%	14.1%	65.2%	40.7%	50.3%	12.0%	0.2%	-23.0M	3.12B	-15.4M	1.15	13.42	53,854	61,803	1,202,087	985,696
2008-12-10	$87.64	$106.00	44.3%	13.3%	64.6%	34.2%	47.3%	12.2%	0.3%	-24.9M	3.13B	-15.1M	0.99	11.21	43,297	42,819	1,217,015	997,298
2008-12-11	$85.86	$107.00	46.4%	13.3%	63.1%	36.4%	47.3%	11.6%	0.5%	-28.9M	3.48B	-14.0M	0.90	9.15	76,404	68,801	1,224,902	996,982
2008-12-12	$86.36	$107.00	46.5%	13.3%	58.4%	36.5%	47.1%	12.2%	0.4%	-16.5M	3.23B	-14.3M	2.17	10.40	35,267	76,354	1,263,083	1,015,847
2008-12-15	$85.99	$106.00	47.8%	13.7%	55.4%	37.9%	49.0%	11.8%	-0.4%	-19.6M	3.42B	-13.6M	0.96	8.78	42,330	40,789	1,268,487	1,011,289
2008-12-16	$89.57	$106.00	43.0%	12.3%	56.7%	32.8%	43.7%	11.4%	0.8%	12.9M	2.58B	-14.0M	2.50	14.85	37,770	94,504	1,270,663	1,010,142
2008-12-17	$88.35	$105.00	42.6%	12.2%	56.8%	32.4%	42.8%	10.1%	1.3%	-6.8M	2.99B	-13.5M	1.35	9.99	50,090	67,737	1,275,925	1,031,319
2008-12-18	$86.36	$104.00	40.9%	11.7%	54.5%	30.6%	39.9%	9.6%	1.0%	-17.9M	3.39B	-12.3M	0.51	15.18	125,354	64,244	1,283,804	1,019,691
2008-12-19	$85.36	$104.00	38.3%	11.0%	50.3%	27.7%	37.3%	8.5%	1.0%	-24.5M	4.22B	-11.3M	1.09	21.92	62,219	68,046	1,261,945	1,019,747
2008-12-22	$84.96	$102.00	37.0%	10.6%	46.6%	26.4%	38.1%	8.1%	0.4%	-21.3M	2.88B	-10.7M	1.26	8.01	31,634	40,013	790,304	709,227
2008-12-23	$84.07	$101.00	38.3%	11.0%	44.5%	27.8%	38.2%	8.2%	0.3%	-25.8M	2.89B	-10.3M	1.75	9.29	19,173	33,526	794,175	698,663
2008-12-24	$84.48	$100.00	38.5%	11.0%	44.4%	28.0%	37.7%	8.1%	0.0%	-26.8M	2.87B	-10.4M	1.11	14.17	9,125	10,108	799,291	707,645
2008-12-26	$85.07	$100.00	37.4%	10.5%	43.3%	26.8%	37.2%	8.1%	1.0%	-26.3M	2.76B	-10.2M	1.22	10.94	6,576	8,042	803,404	706,945
2008-12-29	$84.91	$100.00	45.8%	10.5%	43.0%	35.7%	37.2%	8.4%	0.6%	-26.8M	2.73B	-9.9M	0.94	6.43	17,852	16,821	803,791	709,388
2008-12-30	$86.68	$100.00	33.0%	9.6%	32.8%	20.9%	34.8%	7.9%	1.8%	-14.2M	2.50B	-10.1M	1.08	6.67	29,797	32,087	806,971	709,176
2008-12-31	$87.52	$100.00	31.1%	8.9%	31.1%	18.8%	33.3%	6.8%	2.0%	-20.4M	2.44B	-9.8M	1.51	4.48	20,450	30,890	811,724	714,491