DIA Options History — May 2009

In May 2009, DIA traded between $82.16 and $85.72. ATM implied volatility averaged 26.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.3% (HV 20d: 23.2%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-05-14: Highest Volume — 309,488 contracts
  • 2009-05-11: Largest IV spike — 17.0% change
  • 2009-05-11: Highest IV Rank — 18.1%
  • 2009-05-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.08$82.16$85.72$82.16$85.39
Max Pain$84.75$80.00$85.00$80.00$85.00
ATM IV26.5%23.4%30.5%29.0%23.4%
Expected Move7.6%6.7%8.3%8.3%6.7%
HV 20d23.2%21.0%25.7%24.4%23.6%
HV 60d33.6%31.4%35.7%35.4%31.4%
IV Rank13.2%8.9%18.1%16.6%8.9%
IV Percentile34.0%27.0%41.3%38.5%27.0%
Term Structure0.1%-0.2%0.9%0.9%0.3%
VWIV27.1%23.2%30.1%29.6%23.2%
Skew 25d6.0%4.8%6.9%5.5%5.8%
Skew 10d12.4%10.0%15.0%10.8%13.1%
Call IV 25d23.7%20.6%26.0%26.0%20.6%
Put IV 25d29.8%26.3%32.4%31.6%26.3%
Bid-Ask Spread %4.972.9816.154.5116.15
Gamma HHI0.060.050.080.060.06
Net GEX13.8M-6.8M25.4M6.7M25.1M
Net DEX215.1M-332.5M768.7M305.4M172.5M
Net VEX-8.2M-8.6M-7.7M-8.6M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.231.721.341.72
Total Volume85,596.4544,067309,48844,06754,016
Total OI1,089,674.2906,8911,224,0211,078,5741,089,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$82.16$80.0029.0%8.3%24.4%16.6%29.6%5.5%0.9%6.7M305.4M-8.6M1.344.5118,80425,263539,419539,155
2009-05-04$84.24$85.0029.0%8.2%25.7%16.6%30.1%6.8%0.0%15.3M-40.7M-8.4M1.084.2338,54441,607543,285545,369
2009-05-05$84.16$85.0028.0%8.2%25.6%15.3%29.3%6.7%-0.0%17.5M-58.2M-8.4M0.754.3334,76526,166552,617550,770
2009-05-06$85.20$85.0027.5%7.9%23.8%14.8%28.1%6.4%0.0%21.6M-224.8M-8.2M0.744.7752,10038,729555,585555,394
2009-05-07$84.17$85.0029.1%8.2%24.5%16.5%29.0%6.6%0.0%15.1M-53.7M-8.6M1.054.8731,25532,915572,569564,425
2009-05-08$85.72$85.0026.1%7.6%22.9%13.3%27.1%5.8%-0.1%25.4M-332.5M-8.3M1.095.1649,90454,480574,981569,707
2009-05-11$84.43$85.0030.5%8.0%23.7%18.1%27.5%6.2%0.1%9.7M-32.2M-8.2M1.104.6932,15435,357588,005586,916
2009-05-12$84.72$85.0025.8%7.6%22.7%13.0%27.3%5.9%0.2%20.4M-160.4M-8.0M1.254.2536,78346,141598,458589,657
2009-05-13$83.13$85.0028.7%8.1%23.7%16.1%29.0%6.4%-0.1%-811.0K257.3M-8.0M1.144.0655,13463,110609,546606,395
2009-05-14$83.39$85.0026.6%7.6%23.4%13.9%26.9%5.6%-0.2%4.5M230.8M-7.7M0.234.58251,63557,853618,387605,634
2009-05-15$82.78$85.0027.0%7.7%23.6%14.0%27.4%6.1%0.2%-6.8M768.7M-7.7M1.094.1744,26248,343578,054619,322
2009-05-18$85.12$85.0024.7%7.1%21.4%11.5%25.6%5.2%0.1%18.8M271.2M-7.7M1.163.5641,49847,935489,452417,439
2009-05-19$84.74$85.0023.6%6.8%21.2%9.9%24.3%4.8%-0.0%19.7M296.7M-7.9M1.024.4727,96028,551511,551439,892
2009-05-20$84.19$85.0024.3%7.0%21.0%10.0%24.8%4.8%0.1%18.4M381.5M-8.0M1.422.9827,24438,675525,666451,488
2009-05-21$83.10$85.0025.7%7.4%21.6%11.5%26.4%5.7%0.2%12.1M547.7M-8.1M1.673.3031,96953,355534,607461,083
2009-05-22$82.87$85.0025.9%7.4%21.2%11.7%27.8%6.8%0.2%10.4M624.6M-8.3M1.473.2226,24538,663544,819477,179
2009-05-26$84.85$85.0024.3%6.9%22.4%10.0%25.8%6.0%0.0%18.4M299.3M-8.2M1.313.3822,91729,970553,408494,048
2009-05-27$83.16$85.0025.9%7.4%23.8%11.8%25.4%6.9%0.1%9.0M599.5M-8.2M1.406.6124,92434,854561,485501,978
2009-05-28$84.02$85.0025.1%7.2%23.1%10.9%26.6%6.9%0.3%14.6M448.5M-8.2M1.176.0231,20336,646565,795510,173
2009-05-29$85.39$85.0023.4%6.7%23.6%8.9%23.2%5.8%0.3%25.1M172.5M-8.3M1.7216.1519,84234,174573,573516,198