DIA Options History — August 2009

In August 2009, DIA traded between $91.61 and $95.82. ATM implied volatility averaged 20.2%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.2% (HV 20d: 14.0%). Max pain ranged from $85.00 to $92.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2009-08-20: Highest Volume — 301,930 contracts
2009-08-17: Largest IV spike — 11.3% change
2009-08-17: Highest IV Rank — 5.2%
2009-08-17: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.86	$91.61	$95.82	$92.86	$95.05
Max Pain	$87.76	$85.00	$92.00	$88.00	$87.00
ATM IV	20.2%	19.1%	22.3%	21.0%	20.4%
Expected Move	5.8%	5.5%	6.4%	6.0%	5.8%
HV 20d	14.0%	11.7%	17.5%	17.5%	13.2%
HV 60d	18.2%	16.8%	19.8%	19.8%	16.9%
IV Rank	2.9%	1.5%	5.2%	4.4%	2.2%
IV Percentile	9.1%	2.0%	18.3%	15.1%	9.9%
Term Structure	0.6%	-0.1%	1.4%	0.0%	1.3%
VWIV	21.0%	19.6%	23.4%	21.7%	20.9%
Skew 25d	4.1%	2.6%	5.2%	3.0%	4.2%
Skew 10d	8.7%	5.4%	11.9%	5.4%	7.5%
Call IV 25d	18.8%	17.7%	20.8%	19.8%	18.6%
Put IV 25d	22.9%	21.4%	25.9%	22.8%	22.8%
Bid-Ask Spread %	4.62	2.89	6.33	4.71	6.12
Gamma HHI	0.11	0.07	0.58	0.09	0.07
Net GEX	53.5M	26.4M	158.4M	54.0M	26.4M
Net DEX	-878.6M	-1.35B	-453.0M	-1.03B	-453.0M
Net VEX	-9.0M	-9.2M	-8.6M	-9.2M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.18	1.97	0.91	1.01
Total Volume	80,997.095	44,815	301,930	60,474	54,996
Total OI	1,042,038.381	893,699	1,158,357	1,014,162	966,092

Daily Data (21 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
2009-08-03	$92.86	$88.00	21.0%	6.0%	17.5%	4.4%	21.7%	3.0%	0.0%	54.0M	-1.03B	-9.2M	0.91	4.71	31,732	28,742	564,027	450,135
2009-08-04	$93.19	$88.00	20.6%	5.9%	14.5%	3.9%	20.8%	3.0%	-0.1%	53.2M	-1.09B	-9.1M	0.66	3.05	37,477	24,577	564,907	456,641
2009-08-05	$92.83	$88.00	19.8%	5.7%	15.0%	3.0%	20.4%	2.6%	0.7%	51.7M	-994.6M	-9.2M	1.10	3.08	29,207	32,151	575,664	462,717
2009-08-06	$92.63	$89.00	20.8%	6.0%	15.0%	4.2%	21.2%	2.8%	0.5%	51.0M	-944.4M	-9.2M	1.02	2.89	25,583	26,012	576,759	463,736
2009-08-07	$93.79	$85.00	19.7%	5.9%	14.6%	2.9%	20.7%	4.2%	0.5%	62.7M	-1.24B	-8.9M	1.01	4.88	41,770	42,078	584,615	467,469
2009-08-10	$93.50	$85.00	20.3%	6.0%	13.8%	3.6%	21.2%	4.4%	0.4%	64.1M	-1.19B	-9.0M	1.03	4.41	22,090	22,725	593,752	473,697
2009-08-11	$92.58	$85.00	19.9%	6.0%	14.9%	2.4%	22.4%	4.8%	0.4%	50.3M	-896.2M	-8.9M	1.42	4.91	21,956	31,100	595,643	478,682
2009-08-12	$93.77	$86.00	19.1%	5.8%	12.1%	1.6%	21.4%	4.5%	0.5%	66.0M	-1.22B	-8.9M	1.30	4.14	36,909	47,972	599,500	483,167
2009-08-13	$94.19	$87.00	20.3%	5.8%	11.7%	3.0%	20.3%	4.6%	0.4%	68.9M	-1.35B	-9.0M	0.80	5.14	46,514	37,403	608,761	491,731
2009-08-14	$93.41	$87.00	20.1%	5.8%	12.5%	2.7%	20.5%	4.4%	0.5%	65.2M	-1.18B	-9.1M	1.29	5.10	40,032	51,546	621,090	501,910
2009-08-17	$91.61	$88.00	22.3%	6.4%	14.6%	5.2%	23.4%	5.1%	0.4%	35.8M	-567.4M	-9.0M	1.97	5.66	33,699	66,467	625,964	509,525
2009-08-18	$92.30	$88.00	21.6%	6.2%	14.5%	4.4%	22.1%	5.2%	0.4%	45.4M	-826.0M	-9.0M	1.28	4.40	21,668	27,679	628,565	526,349
2009-08-19	$93.13	$88.00	20.8%	6.0%	14.6%	3.5%	21.7%	5.1%	0.4%	53.7M	-998.5M	-9.0M	1.47	3.92	28,256	41,569	626,664	531,693
2009-08-20	$93.79	$88.00	19.3%	5.5%	13.3%	1.8%	20.0%	4.5%	0.4%	69.0M	-1.13B	-8.6M	0.18	4.84	255,536	46,394	618,543	532,381
2009-08-21	$95.03	$91.00	19.5%	5.6%	13.9%	2.0%	21.0%	4.4%	0.5%	158.4M	-731.0M	-8.6M	0.96	3.80	69,922	67,097	523,300	538,887
2009-08-24	$95.13	$92.00	19.8%	5.6%	13.9%	2.4%	20.0%	4.0%	0.7%	30.1M	-470.7M	-8.7M	1.31	3.20	27,442	35,930	467,838	425,861
2009-08-25	$95.48	$92.00	20.0%	5.6%	13.8%	2.2%	19.6%	3.4%	0.8%	31.0M	-524.3M	-8.9M	1.12	4.38	34,205	38,156	475,920	439,173
2009-08-26	$95.46	$87.00	19.9%	5.8%	13.7%	2.2%	20.4%	4.2%	1.1%	27.4M	-504.5M	-8.9M	0.66	6.12	28,801	19,151	479,830	450,162
2009-08-27	$95.82	$87.00	19.4%	5.6%	13.5%	1.5%	20.6%	3.9%	1.2%	30.8M	-586.5M	-9.2M	0.72	6.03	41,147	29,773	489,473	455,595
2009-08-28	$95.58	$87.00	19.4%	5.5%	13.6%	1.5%	20.3%	4.0%	1.4%	28.6M	-526.2M	-9.2M	1.04	6.33	27,204	28,271	493,972	462,416
2009-08-31	$95.05	$87.00	20.4%	5.8%	13.2%	2.2%	20.9%	4.2%	1.3%	26.4M	-453.0M	-9.1M	1.01	6.12	27,309	27,687	499,587	466,505