DIA Options History — September 2009

In September 2009, DIA traded between $92.83 and $98.21. ATM implied volatility averaged 19.4%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.5% (HV 20d: 12.9%). Max pain ranged from $87.00 to $96.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2009-09-01: Highest Volume — 131,852 contracts
  • 2009-09-29: Largest IV spike — 19.6% change
  • 2009-09-29: Highest IV Rank — 7.4%
  • 2009-09-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.39$92.83$98.21$93.21$97.09
Max Pain$93.38$87.00$96.00$87.00$96.00
ATM IV19.4%16.6%23.3%22.9%19.9%
Expected Move5.6%5.2%6.6%6.6%5.7%
HV 20d12.9%9.6%15.3%15.1%9.6%
HV 60d16.1%13.8%17.6%17.4%13.8%
IV Rank2.7%0.0%7.4%5.1%5.1%
IV Percentile5.9%0.0%27.0%20.6%11.5%
Term Structure1.5%0.6%2.2%0.6%1.4%
VWIV20.2%18.6%22.4%22.4%20.4%
Skew 25d4.4%3.8%5.2%4.9%4.5%
Skew 10d9.2%7.6%10.9%10.3%10.0%
Call IV 25d17.7%16.6%21.0%21.0%17.8%
Put IV 25d22.1%20.3%25.8%25.8%22.3%
Bid-Ask Spread %4.722.638.246.493.32
Gamma HHI0.090.060.270.060.06
Net GEX42.2M8.5M81.7M11.4M11.4M
Net DEX-535.8M-1.34B23.8M-21.7M-299.5M
Net VEX-9.2M-15.3M-8.1M-9.2M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.632.941.061.07
Total Volume77,899.57149,499131,852131,85292,025
Total OI1,040,466.476882,7561,160,497978,0821,004,798

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$93.21$87.0022.9%6.6%15.1%5.1%22.4%4.9%0.6%11.4M-21.7M-9.2M1.066.4964,11267,740504,147473,935
2009-09-02$92.83$87.0022.6%6.5%15.1%4.8%22.4%5.1%0.8%8.5M23.8M-9.4M1.075.7538,29540,870519,596488,488
2009-09-03$93.45$87.0021.2%6.1%15.3%3.1%21.8%4.6%1.3%17.7M-111.7M-9.3M1.287.1634,00643,477527,887500,902
2009-09-04$94.45$87.0019.5%5.6%15.1%1.3%20.2%4.4%1.4%26.5M-325.1M-9.3M2.068.2436,34674,825534,657515,062
2009-09-08$95.06$88.0018.1%5.4%15.2%0.0%19.9%4.0%1.6%37.2M-547.0M-9.0M1.046.3835,55936,827540,314541,649
2009-09-09$95.53$94.0016.6%5.5%14.7%0.0%20.1%5.2%2.1%46.3M-675.7M-8.7M0.995.4134,62034,116544,916545,239
2009-09-10$96.34$94.0019.0%5.4%14.3%2.7%19.9%4.9%1.8%59.0M-900.1M-8.5M1.445.7429,42242,309554,936551,570
2009-09-11$96.22$94.0019.2%5.5%14.3%2.9%20.1%4.9%1.5%49.2M-801.3M-8.6M1.205.7733,17739,770556,664565,547
2009-09-14$96.32$95.0019.3%5.5%13.9%3.0%20.0%4.8%1.5%55.7M-892.5M-8.3M1.294.9423,29730,150560,413572,405
2009-09-15$96.90$95.0018.5%5.3%11.5%2.1%19.2%4.5%1.7%62.7M-1.02B-8.3M1.084.5439,50042,578563,167576,096
2009-09-16$98.08$95.0018.7%5.4%11.9%2.4%19.6%4.3%1.4%67.9M-1.34B-8.2M0.954.7953,19350,331565,613584,491
2009-09-17$98.06$95.0018.8%5.4%11.7%2.4%19.6%4.2%1.3%68.2M-1.33B-8.1M0.945.1250,85848,030564,195596,302
2009-09-18$98.11$95.0018.9%5.4%11.6%2.6%19.6%3.9%1.6%81.7M-529.2M-8.5M0.943.7538,55736,107489,458603,288
2009-09-21$97.74$96.0018.7%5.4%11.0%2.3%19.4%3.9%1.7%18.6M3.8M-15.3M0.922.8530,03127,644479,961601,494
2009-09-22$98.21$96.0018.2%5.2%11.1%1.8%18.9%3.8%1.9%45.6M-572.0M-8.7M0.632.6341,48126,146470,511412,245
2009-09-23$97.58$96.0018.1%5.2%11.4%1.6%18.6%3.8%2.2%47.7M-488.2M-9.1M1.163.2724,11327,992496,913420,777
2009-09-24$96.99$96.0019.2%5.5%11.7%2.9%19.9%3.9%1.9%37.4M-274.5M-9.1M1.133.3936,57341,369500,779422,381
2009-09-25$96.74$96.0017.2%5.6%11.7%0.6%19.8%4.3%1.6%38.8M-270.4M-9.2M1.363.3722,76230,883513,799432,117
2009-09-28$97.84$96.0019.4%5.5%12.3%3.2%21.6%4.3%1.3%56.7M-541.5M-9.1M2.943.0922,16365,138521,102437,648
2009-09-29$97.44$96.0023.3%5.6%12.2%7.4%19.8%4.3%1.2%38.3M-340.0M-9.2M1.653.1318,71430,785522,754471,580
2009-09-30$97.09$96.0019.9%5.7%9.6%5.1%20.4%4.5%1.4%11.4M-299.5M-9.2M1.073.3244,50947,516525,131479,667