DIA Options History — January 2009

In January 2009, DIA traded between $79.41 and $90.20. ATM implied volatility averaged 35.7%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.3% (HV 20d: 28.4%). Max pain ranged from $84.00 to $100.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2009-01-15: Highest Volume — 208,643 contracts
2009-01-20: Largest IV spike — 24.8% change
2009-01-20: Highest IV Rank — 34.8%
2009-01-20: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.94	$79.41	$90.20	$90.20	$80.08
Max Pain	$87.15	$84.00	$100.00	$100.00	$84.00
ATM IV	35.7%	30.4%	45.8%	30.8%	36.5%
Expected Move	10.3%	8.7%	13.1%	8.8%	10.5%
HV 20d	28.4%	23.4%	32.1%	32.1%	31.4%
HV 60d	56.5%	46.1%	69.0%	69.0%	46.4%
IV Rank	23.9%	18.1%	34.8%	18.5%	24.7%
IV Percentile	72.5%	64.7%	80.6%	71.4%	71.0%
Term Structure	1.2%	-0.5%	2.4%	1.2%	0.1%
VWIV	35.9%	31.4%	44.3%	31.8%	35.6%
Skew 25d	11.1%	7.1%	13.9%	7.1%	9.7%
Skew 10d	21.5%	13.7%	27.9%	13.7%	18.7%
Call IV 25d	30.6%	26.6%	38.3%	27.6%	31.6%
Put IV 25d	41.6%	34.7%	52.2%	34.7%	41.3%
Bid-Ask Spread %	8.42	5.52	11.24	5.71	6.58
Gamma HHI	0.06	0.05	0.09	0.06	0.05
Net GEX	-19.4M	-45.5M	-2.4M	-11.0M	-14.9M
Net DEX	2.23B	1.39B	3.28B	1.94B	1.89B
Net VEX	-9.9M	-10.9M	-8.9M	-10.4M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.58	1.35	1.04	0.77
Total Volume	93,775.55	37,483	208,643	87,445	41,217
Total OI	1,388,930.35	1,075,260	1,655,466	1,403,250	1,264,553

Daily Data (20 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
2009-01-02	$90.20	$100.00	30.8%	8.8%	32.1%	18.5%	31.8%	7.1%	1.2%	-11.0M	1.94B	-10.4M	1.04	5.71	42,808	44,637	736,089	667,161
2009-01-05	$89.70	$89.00	32.6%	9.2%	30.3%	20.5%	31.4%	9.7%	0.5%	-10.6M	2.00B	-10.3M	1.17	9.36	32,147	37,494	748,517	684,242
2009-01-06	$90.15	$89.00	32.0%	9.1%	28.2%	19.9%	32.2%	9.6%	0.5%	-6.8M	1.93B	-10.3M	1.19	9.69	64,368	76,738	758,239	691,327
2009-01-07	$87.86	$89.00	35.4%	10.1%	27.9%	23.5%	35.7%	11.2%	0.2%	-13.6M	2.29B	-10.9M	1.35	8.07	34,033	45,988	804,509	726,445
2009-01-08	$87.43	$89.00	34.1%	10.0%	26.7%	22.1%	34.7%	11.1%	0.8%	-14.9M	2.38B	-10.6M	1.35	8.98	31,483	42,565	812,484	731,228
2009-01-09	$86.14	$89.00	31.7%	10.0%	27.2%	19.5%	33.7%	10.8%	1.3%	-25.0M	2.67B	-9.9M	0.78	11.05	47,731	37,371	818,440	736,618
2009-01-12	$84.79	$89.00	38.4%	10.9%	26.8%	26.8%	38.2%	12.1%	1.0%	-29.0M	2.85B	-9.8M	1.10	8.31	41,853	46,187	822,357	743,649
2009-01-13	$84.42	$88.00	37.3%	10.6%	26.7%	25.5%	36.8%	12.0%	1.1%	-33.9M	2.96B	-9.4M	0.58	7.16	43,221	25,191	828,727	759,309
2009-01-14	$82.08	$88.00	42.1%	11.5%	28.3%	30.7%	40.2%	12.7%	0.9%	-45.5M	3.28B	-8.9M	1.14	9.52	70,772	80,410	833,960	756,176
2009-01-15	$82.18	$87.00	39.4%	11.3%	23.4%	27.8%	42.0%	13.0%	1.5%	-45.5M	3.22B	-8.9M	1.13	8.45	97,982	110,661	854,372	762,511
2009-01-16	$82.69	$86.00	36.7%	10.5%	23.4%	24.9%	36.7%	12.4%	2.4%	-26.3M	3.19B	-9.4M	1.07	11.24	57,236	61,334	868,582	786,884
2009-01-20	$79.41	$85.00	45.8%	13.1%	26.1%	34.8%	44.3%	13.9%	-0.5%	-17.0M	1.91B	-8.9M	1.05	11.01	53,500	56,241	575,008	500,252
2009-01-21	$82.24	$85.00	36.6%	10.5%	29.3%	24.8%	37.9%	12.1%	2.4%	-17.1M	1.78B	-9.9M	0.78	8.98	52,782	41,073	605,358	530,507
2009-01-22	$81.16	$85.00	37.0%	10.6%	29.6%	25.2%	37.1%	12.2%	2.2%	-17.3M	1.84B	-9.9M	0.59	8.08	50,366	29,915	633,172	549,370
2009-01-23	$80.52	$85.00	36.2%	10.4%	29.5%	24.3%	36.2%	12.0%	2.3%	-17.1M	1.90B	-10.2M	0.83	7.55	68,206	56,831	664,864	560,397
2009-01-26	$81.07	$84.00	35.4%	10.2%	29.6%	23.6%	33.9%	11.0%	1.7%	-15.6M	1.82B	-9.9M	1.02	8.83	45,311	46,188	653,877	563,999
2009-01-27	$81.51	$84.00	33.0%	9.4%	29.5%	20.9%	33.4%	10.7%	1.8%	-12.2M	1.73B	-10.0M	0.98	7.23	33,968	33,139	656,276	567,713
2009-01-28	$83.68	$84.00	30.4%	8.7%	31.2%	18.1%	31.8%	9.0%	1.6%	-2.4M	1.39B	-10.6M	0.73	7.10	33,002	24,079	674,701	585,917
2009-01-29	$81.53	$84.00	33.3%	9.5%	31.4%	21.2%	33.6%	8.9%	1.4%	-11.2M	1.72B	-10.0M	0.92	5.52	19,573	17,910	674,237	586,580
2009-01-30	$80.08	$84.00	36.5%	10.5%	31.4%	24.7%	35.6%	9.7%	0.1%	-14.9M	1.89B	-9.8M	0.77	6.58	23,259	17,958	677,223	587,330