DIA Options History — February 2009

In February 2009, DIA traded between $70.76 and $82.86. ATM implied volatility averaged 36.7%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.9% (HV 20d: 31.7%). Max pain ranged from $83.00 to $92.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2009-02-20: Highest Volume — 163,858 contracts
2009-02-17: Largest IV spike — 15.7% change
2009-02-23: Highest IV Rank — 32.4%
2009-02-23: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.98	$70.76	$82.86	$79.32	$70.76
Max Pain	$88.68	$83.00	$92.00	$83.00	$86.00
ATM IV	36.7%	33.6%	43.6%	37.3%	38.4%
Expected Move	10.5%	9.6%	12.7%	10.7%	11.0%
HV 20d	31.7%	28.7%	35.1%	28.7%	31.0%
HV 60d	39.9%	31.9%	45.9%	45.9%	31.9%
IV Rank	24.9%	21.6%	32.4%	25.6%	26.8%
IV Percentile	70.9%	65.9%	78.6%	73.0%	73.0%
Term Structure	-0.5%	-1.3%	0.6%	-0.7%	-1.3%
VWIV	36.8%	34.4%	43.1%	36.9%	38.6%
Skew 25d	9.7%	8.9%	10.7%	9.9%	9.2%
Skew 10d	18.5%	16.5%	20.9%	19.1%	16.5%
Call IV 25d	32.4%	29.3%	39.0%	32.2%	34.2%
Put IV 25d	42.1%	38.6%	49.5%	42.2%	43.4%
Bid-Ask Spread %	6.58	4.78	9.29	6.32	6.34
Gamma HHI	0.06	0.04	0.10	0.05	0.06
Net GEX	-20.1M	-46.5M	3.0M	-18.6M	-14.7M
Net DEX	2.19B	1.40B	2.90B	2.03B	2.41B
Net VEX	-8.0M	-10.1M	-6.3M	-9.1M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.68	1.96	0.97	0.91
Total Volume	90,683.526	44,192	163,858	49,141	80,225
Total OI	1,322,825.105	1,137,519	1,441,308	1,273,539	1,296,579

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
2009-02-02	$79.32	$83.00	37.3%	10.7%	28.7%	25.6%	36.9%	9.9%	-0.7%	-18.6M	2.03B	-9.1M	0.97	6.32	24,897	24,244	683,972	589,567
2009-02-03	$80.63	$83.00	33.8%	9.7%	29.8%	21.8%	35.6%	9.3%	-0.2%	-15.2M	1.91B	-9.2M	0.68	5.46	26,272	17,920	687,700	591,619
2009-02-04	$79.69	$83.00	33.6%	9.6%	29.6%	21.6%	34.5%	8.9%	0.6%	-18.2M	2.01B	-8.8M	1.36	5.30	26,647	36,300	693,515	594,522
2009-02-05	$80.55	$83.00	33.7%	9.7%	29.2%	21.6%	35.1%	8.9%	0.3%	-14.9M	1.91B	-9.1M	0.72	5.13	41,307	29,707	698,216	605,546
2009-02-06	$82.86	$92.00	34.0%	9.8%	31.4%	22.0%	34.8%	10.0%	-0.4%	3.0M	1.40B	-10.1M	0.75	9.29	50,409	37,659	709,280	608,342
2009-02-09	$82.75	$92.00	34.9%	9.8%	31.1%	23.0%	34.4%	9.2%	-0.6%	-376.9K	1.49B	-9.6M	0.89	7.14	25,228	22,558	710,638	612,942
2009-02-10	$79.19	$92.00	39.4%	10.7%	34.2%	27.9%	37.8%	10.4%	-0.0%	-19.8M	2.05B	-8.8M	1.24	6.21	48,954	60,826	718,619	612,804
2009-02-11	$79.55	$92.00	34.9%	10.1%	34.3%	23.0%	37.2%	9.7%	-0.5%	-18.7M	2.05B	-8.8M	0.92	6.86	47,255	43,245	736,233	626,198
2009-02-12	$79.50	$92.00	34.0%	9.8%	33.0%	22.0%	34.9%	9.3%	-0.0%	-18.0M	2.01B	-8.6M	1.13	6.87	50,907	57,615	737,389	630,686
2009-02-13	$78.55	$92.00	33.7%	9.7%	33.2%	21.7%	34.5%	9.4%	-0.3%	-24.5M	2.24B	-8.2M	1.07	8.33	39,340	42,190	750,551	634,768
2009-02-17	$75.75	$92.00	39.0%	11.2%	35.1%	27.4%	38.1%	10.5%	-1.1%	-38.9M	2.67B	-7.4M	0.87	6.15	58,921	51,407	763,007	638,983
2009-02-18	$75.76	$92.00	38.0%	10.9%	32.5%	26.3%	37.9%	10.0%	-0.7%	-46.5M	2.71B	-7.1M	1.39	8.04	47,526	66,170	776,577	640,951
2009-02-19	$75.03	$91.00	37.8%	10.8%	29.4%	26.1%	36.9%	10.5%	-0.3%	-44.2M	2.75B	-7.1M	0.84	6.48	64,566	54,458	787,428	647,379
2009-02-20	$73.73	$90.00	39.2%	11.2%	29.6%	27.6%	39.2%	10.7%	-1.0%	-40.6M	2.90B	-6.7M	1.53	7.10	64,647	99,211	789,671	651,637
2009-02-23	$71.15	$90.00	43.6%	12.7%	31.5%	32.4%	43.1%	10.5%	-1.1%	-12.7M	2.27B	-6.3M	1.96	5.69	49,238	96,732	621,645	515,874
2009-02-24	$73.38	$88.00	37.4%	10.8%	33.9%	25.7%	37.4%	9.3%	-0.7%	-13.0M	2.23B	-6.9M	0.83	8.59	53,346	44,208	647,940	580,173
2009-02-25	$72.67	$86.00	36.7%	10.5%	33.7%	24.9%	37.9%	9.6%	0.2%	-12.4M	2.27B	-6.8M	0.93	4.78	45,709	42,578	664,075	591,667
2009-02-26	$71.84	$86.00	37.2%	10.6%	31.6%	25.5%	35.3%	9.6%	-0.6%	-12.9M	2.30B	-6.8M	1.04	4.95	24,746	25,819	682,704	604,280
2009-02-27	$70.76	$86.00	38.4%	11.0%	31.0%	26.8%	38.6%	9.2%	-1.3%	-14.7M	2.41B	-6.4M	0.91	6.34	42,092	38,133	687,905	608,674