DIA Options History — April 2009

In April 2009, DIA traded between $77.53 and $81.77. ATM implied volatility averaged 31.7%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.6% (HV 20d: 34.3%). Max pain ranged from $74.00 to $80.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-04-16: Highest Volume — 135,269 contracts
  • 2009-04-20: Largest IV spike — 12.9% change
  • 2009-04-02: Highest IV Rank — 22.8%
  • 2009-04-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.91$77.53$81.77$77.53$81.67
Max Pain$76.57$74.00$80.00$75.00$80.00
ATM IV31.7%29.4%34.7%34.1%29.4%
Expected Move9.3%8.4%10.0%9.8%8.4%
HV 20d34.3%26.1%42.4%42.4%26.1%
HV 60d36.4%35.5%37.4%36.5%35.5%
IV Rank19.5%17.0%22.8%22.1%17.0%
IV Percentile47.4%39.3%58.3%57.1%39.3%
Term Structure0.7%-0.1%1.4%1.1%1.2%
VWIV32.9%29.6%35.7%35.4%30.0%
Skew 25d6.1%5.3%6.9%6.0%5.4%
Skew 10d11.9%9.3%13.5%13.4%10.1%
Call IV 25d29.5%26.6%32.3%31.5%27.4%
Put IV 25d35.6%32.1%38.7%37.5%32.9%
Bid-Ask Spread %5.844.748.536.014.94
Gamma HHI0.070.030.370.050.05
Net GEX15.8M-212.8K52.6M12.8M1.8M
Net DEX349.2M-161.2M777.3M475.2M446.2M
Net VEX-8.7M-10.5M-8.0M-10.5M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.532.181.311.25
Total Volume76,919.71438,123135,26974,97368,906
Total OI1,070,985.19924,1201,191,8461,094,3031,062,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$77.53$75.0034.1%9.8%42.4%22.1%35.4%6.0%1.1%12.8M475.2M-10.5M1.316.0132,43542,538552,782541,521
2009-04-02$79.71$75.0034.7%10.0%39.4%22.8%34.8%5.4%1.4%17.1M106.9M-9.4M0.916.1969,10662,685534,992524,993
2009-04-03$80.16$74.0032.4%10.0%39.4%20.3%35.7%6.9%0.4%19.1M99.1M-9.5M0.706.5559,76141,863550,174539,576
2009-04-06$79.76$74.0032.1%10.0%38.7%20.0%35.4%6.9%0.3%19.5M153.2M-9.5M1.665.2921,09135,053572,848547,709
2009-04-07$77.89$75.0030.9%10.0%36.5%18.7%35.6%6.8%0.6%12.9M463.6M-9.0M1.186.5326,41931,110565,182552,884
2009-04-08$78.37$75.0029.6%9.7%36.5%17.3%33.9%6.5%1.0%16.3M408.3M-8.8M1.096.6230,17532,812568,050553,618
2009-04-09$80.89$75.0032.0%9.2%36.4%19.8%32.2%5.4%0.9%27.2M-45.4M-8.9M1.108.5341,51145,458573,589560,836
2009-04-13$80.55$75.0032.7%9.4%36.6%20.6%34.0%5.5%0.5%24.7M30.5M-8.6M1.295.9528,51736,799582,992569,575
2009-04-14$79.27$75.0033.2%9.5%37.3%21.1%33.5%5.5%0.2%19.8M264.4M-8.4M0.755.6963,75147,609584,945573,806
2009-04-15$80.30$75.0032.0%9.2%36.8%19.8%32.7%5.3%0.9%36.0M25.4M-8.6M0.695.1846,01331,910610,530578,779
2009-04-16$81.26$76.0030.7%8.8%36.8%18.4%31.2%5.5%1.0%49.9M-161.2M-8.3M0.537.7788,20947,060610,013581,833
2009-04-17$81.31$77.0029.4%8.4%36.3%17.1%29.6%5.5%1.0%52.6M279.9M-8.2M0.704.9155,42938,864553,544586,198
2009-04-20$78.52$78.0033.3%9.5%38.1%21.2%33.5%6.2%0.4%2.1M729.9M-8.0M1.606.2028,70546,019469,908454,212
2009-04-21$79.59$78.0031.0%8.9%30.4%18.7%31.9%6.4%0.9%2.5M647.9M-8.1M1.085.3025,68727,648473,296465,159
2009-04-22$78.81$78.0032.0%9.2%30.3%19.9%31.9%6.5%0.6%-212.8K777.3M-8.0M1.005.3330,70530,774480,063474,592
2009-04-23$79.65$78.0031.0%8.9%30.4%18.7%32.0%6.5%0.7%3.0M643.6M-8.3M1.105.8427,09729,717493,126480,543
2009-04-24$80.73$78.0030.6%8.8%29.9%18.3%31.4%6.4%0.8%6.6M450.1M-8.5M1.704.7424,06741,023502,416490,097
2009-04-27$80.26$79.0032.5%9.3%29.3%20.4%33.3%6.8%-0.1%3.0M550.0M-8.4M2.185.3617,19337,435508,725500,842
2009-04-28$80.12$79.0031.9%9.1%26.2%19.7%32.2%6.3%0.2%533.7K621.3M-8.5M1.274.9216,81021,313513,414512,123
2009-04-29$81.77$79.0029.6%8.5%26.9%17.3%30.2%5.7%0.7%5.5M367.6M-8.5M1.304.8837,46748,570520,686517,954
2009-04-30$81.67$80.0029.4%8.4%26.1%17.0%30.0%5.4%1.2%1.8M446.2M-8.5M1.254.9430,61338,293529,815532,749