DIA Options History — November 2009

In November 2009, DIA traded between $97.80 and $104.63. ATM implied volatility averaged 18.0%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.0% (HV 20d: 18.0%). Max pain ranged from $95.00 to $115.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-11-19: Highest Volume — 276,158 contracts
  • 2009-11-27: Largest IV spike — 22.0% change
  • 2009-11-02: Highest IV Rank — 13.6%
  • 2009-11-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.41$97.80$104.63$97.85$103.58
Max Pain$99.20$95.00$115.00$99.00$115.00
ATM IV18.0%15.3%22.4%22.4%18.0%
Expected Move5.2%4.3%6.4%6.4%5.2%
HV 20d18.0%14.0%19.2%17.4%14.0%
HV 60d14.8%14.4%15.4%14.8%14.6%
IV Rank6.0%1.1%13.6%13.6%7.1%
IV Percentile8.7%0.4%32.5%32.5%8.3%
Term Structure0.5%-0.2%0.9%-0.2%0.5%
VWIV19.4%15.7%23.0%23.0%21.5%
Skew 25d4.7%3.3%7.8%7.8%4.8%
Skew 10d9.9%5.9%16.0%16.0%10.9%
Call IV 25d16.5%13.9%19.3%19.3%16.7%
Put IV 25d21.2%17.2%27.1%27.1%21.5%
Bid-Ask Spread %4.953.608.555.848.55
Gamma HHI0.090.050.150.050.08
Net GEX54.3M-3.7M121.9M-3.7M26.4M
Net DEX-851.2M-1.83B170.2M170.2M-319.9M
Net VEX-8.8M-9.6M-8.1M-9.5M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.251.791.101.12
Total Volume76,515.533,261276,15890,79251,086
Total OI1,074,569.35883,2661,190,3841,034,650972,385

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$97.85$99.0022.4%6.4%17.4%13.6%23.0%7.8%-0.2%-3.7M170.2M-9.5M1.105.8443,20347,589523,432511,218
2009-11-03$97.80$99.0021.5%6.2%16.8%12.0%22.0%6.9%0.5%-3.3M164.5M-9.5M1.155.2824,60328,328533,520518,898
2009-11-04$98.17$98.0021.6%6.2%16.8%12.2%21.0%6.2%0.5%4.3M4.9M-9.6M0.956.3746,33243,888534,987525,027
2009-11-05$100.16$99.0019.1%5.5%18.1%7.8%20.1%5.4%0.8%31.6M-536.2M-9.4M1.794.3421,25238,063548,449533,066
2009-11-06$100.37$95.0017.9%5.6%17.9%5.5%20.3%5.5%0.3%33.1M-570.9M-9.3M1.494.8524,28036,081551,790544,225
2009-11-09$102.42$95.0017.8%5.3%19.2%5.4%20.4%4.9%0.4%67.5M-1.24B-8.8M1.164.0436,45242,300556,464548,923
2009-11-10$102.69$95.0016.5%5.1%19.2%2.9%19.9%4.6%0.3%72.6M-1.32B-8.7M0.784.9953,97142,263556,919554,128
2009-11-11$103.13$95.0016.4%5.2%18.6%2.8%18.6%4.3%0.6%88.0M-1.43B-8.7M0.755.0133,41325,141582,109562,859
2009-11-12$102.17$96.0019.4%5.5%19.0%8.1%20.1%4.5%0.4%82.5M-1.20B-9.3M1.635.2422,76937,073600,214559,739
2009-11-13$102.91$96.0018.1%5.2%18.9%5.9%19.3%4.3%0.5%86.0M-1.33B-8.9M1.514.5219,84629,897591,364568,575
2009-11-16$104.26$96.0018.1%5.2%19.2%5.8%18.6%4.1%0.4%121.9M-1.80B-8.4M0.904.9546,98842,485594,868573,704
2009-11-17$104.59$97.0017.2%4.9%19.1%4.2%18.3%3.8%0.6%109.5M-1.83B-8.6M1.364.3923,63032,177601,352585,810
2009-11-18$104.55$97.0016.9%4.9%18.6%3.8%18.1%3.9%0.5%111.2M-1.80B-8.5M0.943.9728,96027,211600,560586,944
2009-11-19$103.65$97.0017.3%5.0%18.5%4.5%18.1%4.4%0.4%71.8M-1.46B-8.5M0.253.64221,18454,974595,768594,616
2009-11-20$103.25$100.0016.8%4.8%18.2%3.6%17.6%4.2%0.6%33.8M-339.5M-8.2M1.263.6033,45942,221499,817604,924
2009-11-23$104.46$100.0016.1%4.6%18.0%2.7%16.6%3.5%0.6%42.5M-644.1M-8.1M1.573.7126,69441,876434,041449,225
2009-11-24$104.36$100.0015.7%4.4%18.0%2.0%15.7%3.3%0.4%39.5M-590.3M-8.2M1.064.8527,65329,311442,585465,351
2009-11-25$104.63$100.0015.3%4.3%17.2%1.1%15.7%3.4%0.9%45.1M-680.0M-8.5M1.123.8015,70617,555457,567479,357
2009-11-27$103.18$115.0018.7%5.4%17.2%8.7%22.3%5.0%0.2%26.4M-265.8M-9.0M1.666.9626,50243,894461,111485,496
2009-11-30$103.58$115.0018.0%5.2%14.0%7.1%21.5%4.8%0.5%26.4M-319.9M-8.9M1.128.5524,07027,016470,803501,582