DIA Options History — March 2009

In March 2009, DIA traded between $65.44 and $79.10. ATM implied volatility averaged 37.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.8% (HV 20d: 39.6%). Max pain ranged from $72.00 to $86.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2009-03-19: Highest Volume — 262,719 contracts
2009-03-30: Largest IV spike — 67.3% change
2009-03-30: Highest IV Rank — 38.1%
2009-03-05: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.40	$65.44	$79.10	$67.83	$75.84
Max Pain	$76.86	$72.00	$86.00	$86.00	$75.00
ATM IV	37.8%	29.2%	48.9%	43.5%	36.2%
Expected Move	10.7%	9.6%	12.6%	12.5%	10.4%
HV 20d	39.6%	32.6%	44.8%	33.2%	42.5%
HV 60d	33.7%	31.0%	36.7%	32.1%	36.1%
IV Rank	26.1%	16.8%	38.1%	32.3%	24.4%
IV Percentile	66.2%	48.0%	84.1%	78.2%	61.9%
Term Structure	-0.1%	-2.5%	1.8%	-1.6%	0.8%
VWIV	37.2%	33.8%	44.5%	41.5%	36.3%
Skew 25d	7.8%	6.1%	10.9%	10.9%	6.7%
Skew 10d	15.3%	12.3%	20.9%	20.9%	13.7%
Call IV 25d	33.7%	30.1%	39.1%	38.8%	33.4%
Put IV 25d	41.6%	36.9%	49.6%	49.6%	40.1%
Bid-Ask Spread %	6.54	4.57	11.58	6.97	5.64
Gamma HHI	0.05	0.04	0.07	0.06	0.06
Net GEX	68.4K	-17.0M	19.7M	-15.8M	15.2M
Net DEX	1.72B	214.4M	2.72B	2.56B	744.5M
Net VEX	-7.9M	-19.5M	-5.5M	-5.7M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.27	1.34	1.17	1.13
Total Volume	107,487.455	67,986	262,719	130,655	83,835
Total OI	1,374,327.409	1,076,281	1,576,433	1,307,104	1,138,435

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
2009-03-02	$67.83	$86.00	43.5%	12.5%	33.2%	32.3%	41.5%	10.9%	-1.6%	-15.8M	2.56B	-5.7M	1.17	6.97	60,088	70,567	693,935	613,169
2009-03-03	$67.21	$86.00	42.2%	12.1%	33.2%	30.9%	44.5%	9.6%	-1.1%	-17.0M	2.66B	-5.5M	0.89	6.45	47,878	42,743	716,199	633,140
2009-03-04	$68.77	$86.00	38.7%	11.1%	33.9%	27.1%	35.9%	9.2%	-0.5%	-14.0M	2.55B	-5.9M	0.96	5.97	45,704	43,695	731,689	640,680
2009-03-05	$66.07	$83.00	43.9%	12.6%	35.8%	32.7%	42.9%	10.8%	-1.9%	-15.8M	2.65B	-5.5M	1.15	4.57	49,721	57,410	742,008	647,495
2009-03-06	$66.50	$82.00	42.8%	12.3%	35.5%	31.5%	41.0%	8.4%	-2.5%	-14.5M	2.61B	-5.6M	0.81	10.57	67,117	54,654	753,550	657,675
2009-03-09	$65.44	$81.00	45.4%	12.5%	32.6%	34.3%	40.4%	8.9%	-1.8%	-15.9M	2.72B	-5.5M	0.89	5.72	39,794	35,247	776,741	675,964
2009-03-10	$69.14	$81.00	38.7%	10.8%	40.2%	27.1%	37.8%	7.1%	-1.0%	-7.1M	2.41B	-6.4M	0.87	11.58	46,881	40,855	790,638	680,087
2009-03-11	$69.48	$72.00	37.7%	10.5%	38.3%	26.0%	36.4%	7.2%	0.0%	-8.1M	2.38B	-6.6M	0.77	7.91	46,464	35,934	790,581	687,288
2009-03-12	$71.77	$72.00	34.5%	9.9%	40.6%	22.5%	35.4%	7.3%	-0.1%	-234.1K	2.04B	-7.2M	0.84	7.01	61,480	51,842	795,673	689,998
2009-03-13	$72.32	$72.00	35.9%	10.3%	40.8%	24.0%	36.3%	6.9%	-0.4%	1.1M	1.95B	-7.4M	0.89	6.05	54,368	48,600	801,760	700,753
2009-03-16	$72.31	$73.00	36.5%	10.5%	40.7%	24.7%	36.2%	8.2%	-0.2%	-1.8M	1.96B	-7.4M	1.30	5.99	45,980	59,563	807,216	707,928
2009-03-17	$74.08	$73.00	33.7%	9.7%	40.1%	21.7%	33.8%	7.4%	0.5%	-153.0K	1.76B	-7.6M	0.96	6.26	49,902	47,979	807,912	726,205
2009-03-18	$74.97	$74.00	33.3%	9.6%	40.3%	21.3%	34.6%	7.4%	0.4%	10.8M	1.53B	-7.9M	1.34	6.49	50,311	67,572	829,142	736,198
2009-03-19	$74.11	$74.00	35.8%	10.3%	40.4%	24.0%	35.8%	8.0%	0.5%	2.6M	1.73B	-8.0M	0.27	6.61	207,497	55,222	834,227	742,206
2009-03-20	$72.74	$74.00	37.2%	10.7%	40.5%	25.4%	37.4%	8.9%	0.8%	-9.3M	2.19B	-8.0M	1.04	5.43	60,261	62,859	819,907	750,035
2009-03-23	$77.76	$74.00	34.5%	9.9%	44.8%	22.5%	36.7%	8.2%	0.1%	13.4M	860.2M	-19.5M	0.84	6.92	74,373	62,132	824,329	739,741
2009-03-24	$76.89	$74.00	35.0%	10.0%	44.0%	23.1%	35.8%	6.7%	0.5%	14.2M	550.5M	-8.9M	1.19	5.68	30,989	36,997	563,986	512,295
2009-03-25	$77.41	$74.00	34.6%	9.9%	43.8%	22.6%	35.1%	6.1%	1.0%	16.0M	464.2M	-9.0M	1.25	6.71	54,707	68,146	567,390	517,569
2009-03-26	$79.10	$75.00	33.5%	9.6%	43.9%	21.5%	34.6%	6.2%	0.4%	19.7M	214.4M	-9.3M	1.03	4.81	45,012	46,413	577,629	536,313
2009-03-27	$77.81	$75.00	29.2%	9.6%	44.0%	16.8%	34.0%	6.2%	1.8%	17.0M	365.2M	-9.2M	0.91	5.41	39,696	36,218	585,137	543,996
2009-03-30	$75.25	$75.00	48.9%	10.7%	42.8%	38.1%	37.1%	6.6%	0.9%	11.2M	837.4M	-8.7M	0.98	5.03	39,352	38,666	597,379	551,005
2009-03-31	$75.84	$75.00	36.2%	10.4%	42.5%	24.4%	36.3%	6.7%	0.8%	15.2M	744.5M	-8.7M	1.13	5.64	39,425	44,410	591,339	547,096