DIA Options History — July 2009 In July 2009, DIA traded between $81.44 and $91.67. ATM implied volatility averaged 21.4%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.5% (HV 20d: 20.0%). Max pain ranged from $84.00 to $88.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2009-07-16 : Highest Volume — 254,475 contracts2009-07-06 : Largest IV spike — 10.0% change2009-07-08 : Highest IV Rank — 9.2%2009-07-08 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $86.80 $81.44 $91.67 $85.03 $91.67 Max Pain $85.32 $84.00 $88.00 $85.00 $88.00 ATM IV 21.4% 19.4% 25.3% 20.0% 20.7% Expected Move 6.2% 5.6% 7.4% 5.7% 5.9% HV 20d 20.0% 16.1% 22.7% 16.1% 17.2% HV 60d 20.9% 19.9% 21.9% 21.9% 19.9% IV Rank 4.9% 2.6% 9.2% 3.2% 4.0% IV Percentile 15.5% 6.0% 29.8% 10.3% 14.3% Term Structure 0.9% 0.1% 2.1% 2.0% 0.6% VWIV 22.0% 19.5% 26.0% 20.4% 20.8% Skew 25d 4.5% 2.5% 6.9% 4.8% 2.5% Skew 10d 8.7% 4.9% 13.4% 8.8% 4.9% Call IV 25d 19.8% 17.9% 23.1% 17.9% 19.8% Put IV 25d 24.3% 21.1% 29.8% 22.7% 22.3% Bid-Ask Spread % 3.80 2.34 5.22 3.10 3.76 Gamma HHI 0.07 0.06 0.11 0.07 0.08 Net GEX 16.8M -27.2M 47.7M 9.9M 43.0M Net DEX 30.9M -730.2M 1.06B 333.8M -730.1M Net VEX -8.1M -9.3M -7.3M -7.8M -9.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.33 1.83 1.47 0.94 Total Volume 78,372.864 38,939 254,475 42,893 57,754 Total OI 979,621.727 824,833 1,079,705 955,021 1,002,648
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 2009-07-01 $85.03 $85.00 20.0% 5.7% 16.1% 3.2% 20.4% 4.8% 2.0% 9.9M 333.8M -7.8M 1.47 3.10 17,344 25,549 521,640 433,381 2009-07-02 $82.99 $85.00 21.4% 6.1% 17.8% 4.8% 21.3% 4.5% 2.1% -14.4M 781.4M -7.5M 1.22 2.34 27,652 33,702 523,004 439,566 2009-07-06 $83.25 $85.00 23.5% 6.9% 17.7% 7.2% 24.5% 6.6% 0.6% -9.3M 688.7M -7.3M 0.80 4.97 31,919 25,491 530,319 444,126 2009-07-07 $81.55 $85.00 24.6% 7.2% 18.8% 8.5% 25.5% 6.9% 0.1% -19.8M 954.5M -7.3M 0.92 4.26 42,621 39,316 540,476 448,356 2009-07-08 $81.93 $85.00 25.3% 7.4% 19.0% 9.2% 26.0% 6.7% 0.3% -19.6M 989.1M -7.3M 1.09 4.37 51,372 55,845 550,376 457,494 2009-07-09 $81.77 $84.00 23.2% 7.1% 19.0% 6.9% 24.8% 6.6% 0.6% -20.8M 958.0M -7.4M 0.69 4.04 44,791 30,990 562,852 470,080 2009-07-10 $81.44 $84.00 22.7% 7.1% 18.8% 6.3% 24.4% 6.3% 0.7% -27.2M 1.06B -7.3M 0.82 4.56 31,391 25,866 575,137 475,104 2009-07-13 $83.31 $84.00 24.3% 6.6% 20.9% 8.0% 23.2% 5.7% 0.7% 3.1M 620.9M -7.3M 0.96 4.49 37,225 35,758 577,497 475,829 2009-07-14 $83.66 $84.00 22.0% 6.4% 19.9% 5.5% 23.3% 5.5% 0.9% 5.6M 534.2M -7.3M 1.72 4.44 21,317 36,729 579,833 480,302 2009-07-15 $86.20 $84.00 20.6% 6.3% 22.2% 3.9% 22.9% 5.1% 0.7% 38.5M -117.3M -7.7M 1.35 3.95 51,461 69,683 582,058 482,612 2009-07-16 $87.23 $84.00 21.5% 6.2% 22.6% 4.9% 22.3% 5.1% 0.7% 37.9M -443.7M -7.8M 0.33 5.22 191,162 63,313 583,945 495,760 2009-07-17 $87.46 $85.00 20.8% 6.0% 22.5% 4.1% 21.2% 4.4% 1.3% 18.7M -204.9M -8.0M 0.92 4.09 42,641 39,323 558,541 509,232 2009-07-20 $88.33 $85.00 20.6% 5.9% 22.7% 3.9% 20.8% 4.3% 1.0% 25.6M -253.9M -8.0M 1.01 3.97 42,986 43,443 465,757 359,076 2009-07-21 $89.17 $85.00 20.1% 5.8% 20.7% 3.4% 20.5% 3.7% 1.2% 31.0M -379.9M -8.3M 1.83 3.36 26,915 49,276 481,971 374,831 2009-07-22 $88.88 $85.00 19.7% 5.6% 20.8% 2.9% 20.1% 3.5% 1.2% 26.7M -263.6M -8.5M 1.33 3.18 20,188 26,886 490,697 393,348 2009-07-23 $90.63 $86.00 19.7% 5.6% 21.5% 2.9% 20.5% 2.9% 0.9% 33.4M -545.5M -8.6M 0.97 4.30 41,479 40,424 496,360 400,190 2009-07-24 $90.97 $86.00 19.4% 5.6% 20.6% 2.6% 19.5% 2.9% 0.9% 38.1M -678.0M -8.7M 0.92 2.48 35,828 32,838 508,522 410,359 2009-07-27 $91.14 $87.00 20.2% 5.8% 20.4% 3.5% 20.5% 2.9% 0.5% 41.1M -673.0M -8.7M 1.30 2.60 16,914 22,025 527,487 420,496 2009-07-28 $90.99 $87.00 20.2% 5.8% 20.3% 3.4% 20.4% 2.9% 1.0% 39.3M -618.5M -8.9M 0.91 3.69 30,952 28,222 532,286 425,634 2009-07-29 $90.68 $87.00 20.5% 5.9% 20.1% 3.8% 20.9% 3.3% 0.8% 41.0M -602.7M -9.1M 1.19 3.15 24,858 29,529 543,853 430,218 2009-07-30 $91.42 $87.00 20.7% 5.9% 20.1% 4.0% 20.9% 2.6% 0.7% 47.7M -730.2M -9.3M 1.47 3.38 32,840 48,385 554,587 435,838 2009-07-31 $91.67 $88.00 20.7% 5.9% 17.2% 4.0% 20.8% 2.5% 0.6% 43.0M -730.1M -9.3M 0.94 3.76 29,699 28,055 557,294 445,354
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