DIA Options History — October 2009

In October 2009, DIA traded between $94.86 and $100.86. ATM implied volatility averaged 18.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.0% (HV 20d: 13.8%). Max pain ranged from $96.00 to $99.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2009-10-30: Highest Volume — 119,242 contracts
  • 2009-10-30: Largest IV spike — 25.1% change
  • 2009-10-30: Highest IV Rank — 15.2%
  • 2009-10-30: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.59$94.86$100.86$95.12$97.06
Max Pain$97.32$96.00$99.00$96.00$99.00
ATM IV18.8%14.8%23.3%22.6%23.3%
Expected Move5.5%4.7%6.7%6.5%6.7%
HV 20d13.8%12.3%17.6%12.4%17.6%
HV 60d13.5%12.6%15.0%14.6%15.0%
IV Rank5.9%0.0%15.2%9.4%15.2%
IV Percentile9.1%0.0%36.1%25.4%36.1%
Term Structure0.7%-0.7%1.5%0.2%-0.7%
VWIV20.1%17.3%24.7%22.3%24.7%
Skew 25d4.7%3.2%7.8%5.3%7.8%
Skew 10d9.8%6.9%17.1%10.6%17.1%
Call IV 25d17.5%14.9%20.4%20.4%19.8%
Put IV 25d22.2%18.4%27.6%25.7%27.6%
Bid-Ask Spread %4.913.048.953.688.95
Gamma HHI0.080.050.220.060.05
Net GEX33.2M-15.2M134.4M-3.5M-5.3M
Net DEX-363.9M-1.14B324.5M226.7M324.5M
Net VEX-9.1M-10.6M-8.5M-10.6M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.661.861.421.86
Total Volume75,096.54539,684119,242116,957119,242
Total OI997,833.227864,4301,095,1521,003,747992,779

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$95.12$96.0022.6%6.5%12.4%9.4%22.3%5.3%0.2%-3.5M226.7M-10.6M1.423.6848,27268,685520,196483,551
2009-10-02$94.86$96.0022.1%6.3%12.3%8.5%22.6%5.3%0.9%-15.2M314.8M-9.6M1.553.0435,70555,432523,522485,161
2009-10-05$95.97$96.0020.3%6.2%12.4%5.7%22.9%6.3%0.2%-5.6M56.3M-9.4M1.474.1229,19442,941527,088495,217
2009-10-06$97.29$96.0019.6%6.0%13.0%4.7%21.5%5.5%0.3%16.3M-264.6M-9.4M1.514.8040,67261,511530,316506,573
2009-10-07$97.28$96.0018.6%5.8%13.0%3.1%20.5%5.3%0.7%22.2M-300.2M-9.3M1.755.3614,40625,278538,032503,671
2009-10-08$97.91$96.0017.5%5.7%12.8%1.4%20.8%4.9%0.6%43.1M-561.2M-9.2M0.934.1454,20150,626540,538504,819
2009-10-09$98.69$96.0014.8%5.3%13.1%0.0%19.7%4.6%0.9%63.3M-738.3M-8.9M1.044.3330,45731,528558,466510,821
2009-10-12$98.94$96.0018.2%5.4%13.1%5.1%20.0%4.6%0.6%68.3M-769.3M-8.6M0.845.4531,47926,514562,494511,975
2009-10-13$98.83$96.0018.5%5.4%13.0%5.7%20.7%4.5%0.8%50.8M-648.8M-8.8M1.505.0218,29227,527567,188519,597
2009-10-14$100.23$96.0019.7%5.4%13.2%7.5%20.1%4.3%0.7%95.2M-1.09B-8.8M0.953.8544,48942,247567,976520,628
2009-10-15$100.65$97.0017.4%5.0%13.2%3.9%18.3%3.8%0.9%134.4M-1.14B-8.5M0.745.2240,47929,921567,125528,027
2009-10-16$99.99$97.0017.2%4.9%13.5%4.3%18.0%3.7%1.1%66.1M-476.1M-8.5M0.924.9060,20955,383522,115534,603
2009-10-19$100.86$98.0016.9%4.9%13.7%3.7%17.6%3.6%1.2%32.3M-610.5M-8.5M1.455.5221,48331,248465,800398,630
2009-10-20$100.39$98.0017.1%4.9%13.8%4.0%17.3%3.2%1.4%28.4M-523.7M-8.7M0.935.2720,64519,206470,654411,972
2009-10-21$99.42$98.0018.2%5.2%14.1%6.0%18.1%3.8%0.7%20.9M-325.6M-8.8M1.436.5419,65128,155476,216417,711
2009-10-22$100.74$99.0016.4%4.7%14.5%2.7%17.4%3.5%1.5%33.0M-617.7M-8.7M1.253.7127,38234,308483,653425,035
2009-10-23$99.83$99.0017.3%5.0%14.9%4.5%17.7%3.9%1.2%22.9M-375.8M-8.9M1.115.2227,66730,575490,791434,075
2009-10-26$98.81$99.0019.2%5.5%15.0%7.8%19.5%4.2%0.4%18.3M-181.8M-8.9M1.245.6634,27842,502497,261437,728
2009-10-27$98.82$99.0019.2%5.5%14.9%7.8%20.1%4.6%0.5%19.7M-163.9M-9.2M0.664.7147,17131,347515,032452,031
2009-10-28$97.68$99.0021.9%6.3%15.5%12.7%22.1%6.2%-0.2%2.4M155.0M-9.3M1.204.4035,86543,088508,469463,153
2009-10-29$99.54$99.0018.6%5.3%14.8%6.8%20.4%5.1%0.9%21.6M-291.4M-9.2M1.564.1228,44044,423512,558469,084
2009-10-30$97.06$99.0023.3%6.7%17.6%15.2%24.7%7.8%-0.7%-5.3M324.5M-9.4M1.868.9541,63277,610511,539481,240