DIA Options History — June 2009

In June 2009, DIA traded between $83.03 and $88.31. ATM implied volatility averaged 23.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.8% (HV 20d: 20.1%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2009-06-18: Highest Volume — 334,062 contracts
  • 2009-06-29: Largest IV spike — 27.1% change
  • 2009-06-01: Highest IV Rank — 9.7%
  • 2009-06-16: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.04$83.03$88.31$87.35$84.66
Max Pain$85.36$85.00$86.00$85.00$85.00
ATM IV23.0%18.4%25.6%24.0%19.7%
Expected Move6.6%5.6%7.3%6.9%5.6%
HV 20d20.1%15.9%24.7%24.7%16.0%
HV 60d25.9%21.9%30.3%30.3%21.9%
IV Rank6.9%1.4%9.7%9.7%2.9%
IV Percentile22.7%2.8%30.6%28.2%9.5%
Term Structure1.2%-0.0%2.2%0.1%2.1%
VWIV23.7%20.5%26.5%22.2%20.5%
Skew 25d5.5%4.0%7.0%5.5%4.6%
Skew 10d11.3%9.2%14.5%11.3%9.2%
Call IV 25d20.8%17.9%22.6%21.6%18.1%
Put IV 25d26.3%22.3%29.6%27.1%22.7%
Bid-Ask Spread %5.102.956.525.455.03
Gamma HHI0.070.040.140.060.06
Net GEX15.8M-15.4M40.1M35.3M1.9M
Net DEX186.8M-344.2M1.04B-198.3M461.4M
Net VEX-8.5M-16.0M-7.6M-8.4M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.191.971.031.09
Total Volume99,867.13643,810334,062124,46972,462
Total OI1,162,889.5912,8961,342,1041,109,4241,010,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$87.35$85.0024.0%6.9%24.7%9.7%22.2%5.5%0.1%35.3M-198.3M-8.4M1.035.4561,21863,251580,613528,811
2009-06-02$87.50$85.0024.0%6.9%23.3%9.2%24.0%5.1%-0.0%40.1M-273.9M-8.5M0.864.8448,67941,746599,429546,134
2009-06-03$86.95$85.0024.2%6.9%23.5%9.4%25.7%4.7%0.7%31.2M-115.0M-8.8M1.305.4437,60449,036618,918561,211
2009-06-04$87.51$85.0024.0%6.9%23.2%9.2%26.5%4.8%0.2%39.9M-299.2M-8.9M1.975.9723,63046,644627,502565,363
2009-06-05$87.91$85.0023.4%6.7%22.7%8.5%24.7%4.5%0.7%38.9M-344.2M-9.0M1.316.5250,43966,211631,598577,180
2009-06-08$87.74$85.0023.0%6.7%21.9%6.6%23.9%4.5%0.8%37.6M-317.2M-8.8M1.626.4533,09453,721642,652594,717
2009-06-09$87.74$85.0021.4%6.3%21.0%4.8%23.2%4.0%0.9%36.9M-266.7M-8.6M1.225.5834,14441,823644,856599,786
2009-06-10$87.65$85.0020.4%6.5%21.0%3.7%24.0%5.8%1.7%34.2M-291.7M-8.4M1.105.6648,80253,509638,314600,914
2009-06-11$87.86$85.0022.5%6.5%19.6%6.1%24.0%5.8%1.3%35.3M-277.8M-8.1M1.285.0750,94265,189642,919605,594
2009-06-12$88.31$86.0022.4%6.4%19.6%5.9%23.0%5.7%1.1%32.1M-315.0M-8.2M1.305.4827,85436,242648,071621,879
2009-06-15$86.49$86.0024.9%7.1%21.0%8.7%25.5%6.9%0.7%10.7M224.0M-8.0M1.095.0367,52373,287651,308622,117
2009-06-16$85.26$86.0025.6%7.3%19.5%9.5%25.5%7.0%0.8%1.5M559.8M-7.9M1.084.9654,19458,369667,716627,285
2009-06-17$85.23$86.0024.7%7.1%19.4%8.5%26.1%6.7%1.5%-3.4M603.2M-7.9M1.065.2246,15449,104682,688637,273
2009-06-18$85.62$86.0022.9%6.6%19.3%6.5%24.4%6.5%1.9%5.4M474.5M-7.8M0.196.32280,77653,286694,270647,834
2009-06-19$85.31$86.0022.2%6.4%18.7%5.7%22.1%6.3%2.2%-15.4M1.04B-7.6M1.135.5847,58753,999634,430655,719
2009-06-22$83.32$86.0025.4%7.3%20.6%9.3%25.3%6.3%1.3%-6.1M765.9M-16.0M1.455.4736,63253,290627,258571,746
2009-06-23$83.18$86.0024.6%7.1%18.7%8.4%24.8%5.8%1.5%-10.0M700.1M-7.6M1.174.0230,87035,975496,354416,542
2009-06-24$83.03$85.0023.3%6.7%17.3%7.0%23.7%5.7%1.3%-11.0M708.6M-7.6M1.184.0036,20242,604507,549426,353
2009-06-25$84.72$85.0020.7%5.9%18.4%4.1%21.1%4.9%1.8%2.0M418.4M-7.7M0.843.3642,13235,341517,539439,267
2009-06-26$84.27$85.0018.4%5.9%17.5%1.4%20.6%4.9%2.2%-1.8M526.0M-7.7M0.723.8425,46118,349530,220450,221
2009-06-29$85.25$85.0023.4%5.7%15.9%7.0%20.5%4.5%1.5%12.8M325.4M-7.6M1.142.9523,22926,473540,487452,277
2009-06-30$84.66$85.0019.7%5.6%16.0%2.9%20.5%4.6%2.1%1.9M461.4M-7.6M1.095.0334,72637,736550,573460,082