DIA Options History — December 2009

In December 2009, DIA traded between $102.94 and $105.29. ATM implied volatility averaged 15.7%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.9% (HV 20d: 11.8%). Max pain ranged from $103.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-12-04: Highest Volume — 108,186 contracts
  • 2009-12-17: Largest IV spike — 10.0% change
  • 2009-12-08: Highest IV Rank — 8.1%
  • 2009-12-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.33$102.94$105.29$104.73$104.07
Max Pain$106.86$103.00$115.00$115.00$104.00
ATM IV15.7%13.4%17.7%16.5%15.1%
Expected Move4.5%3.8%5.1%4.7%4.3%
HV 20d11.8%9.1%14.8%14.1%9.9%
HV 60d14.7%13.9%15.0%14.7%13.9%
IV Rank3.6%0.0%8.1%3.7%4.9%
IV Percentile3.0%0.0%9.9%2.8%3.2%
Term Structure1.8%0.6%2.8%0.6%2.1%
VWIV16.3%12.8%18.5%16.6%14.8%
Skew 25d4.3%3.5%5.3%4.2%4.8%
Skew 10d9.1%7.0%11.4%9.1%9.1%
Call IV 25d14.1%11.8%16.2%15.1%13.2%
Put IV 25d18.4%15.7%20.7%19.3%17.9%
Bid-Ask Spread %5.293.027.376.287.35
Gamma HHI0.100.080.120.090.09
Net GEX74.3M4.9M121.1M47.8M86.4M
Net DEX-590.9M-965.0M166.6M-704.3M-516.2M
Net VEX-9.2M-16.1M-8.3M-8.8M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.221.910.511.91
Total Volume54,656.18224,851108,18674,11839,197
Total OI1,074,822.591935,7091,199,186989,7681,004,117

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$104.73$115.0016.5%4.7%14.1%3.7%16.6%4.2%0.6%47.8M-704.3M-8.8M0.516.2848,96125,157479,422510,346
2009-12-02$104.58$115.0016.0%4.6%14.2%2.7%18.5%3.6%0.8%61.7M-708.5M-9.1M1.186.4525,71330,461506,985518,331
2009-12-03$103.69$115.0017.1%4.9%14.8%5.5%17.6%4.0%0.7%49.2M-476.9M-9.2M1.096.1129,75932,445513,468529,385
2009-12-04$103.99$115.0016.3%4.7%13.3%3.5%17.3%3.7%1.0%64.1M-626.6M-9.0M0.787.3760,75047,436521,866537,946
2009-12-07$104.05$115.0016.7%4.8%13.3%5.2%17.7%3.6%0.9%70.4M-594.5M-9.2M0.936.6527,90526,005555,298554,358
2009-12-08$102.94$115.0017.7%5.1%12.1%8.1%17.9%4.5%0.7%39.0M-162.3M-9.4M0.894.9136,26332,230567,268562,688
2009-12-09$103.45$115.0016.7%4.8%12.2%5.3%17.4%4.3%1.0%53.9M-351.0M-9.3M1.457.0220,91430,390570,051570,551
2009-12-10$104.18$103.0017.2%4.9%12.4%6.9%17.3%4.8%2.1%74.4M-611.8M-9.4M1.204.4121,28925,569573,889578,836
2009-12-11$104.92$103.0016.2%4.6%12.0%4.0%16.8%4.8%2.5%103.4M-921.3M-9.1M1.555.2823,89137,010575,440582,905
2009-12-14$105.20$103.0016.3%4.7%11.8%4.2%17.1%4.6%2.2%113.1M-965.0M-8.8M1.064.9220,34221,592580,731593,094
2009-12-15$104.74$103.0016.3%4.7%11.1%4.2%17.3%4.8%2.3%92.7M-760.4M-9.1M1.334.1514,90819,804586,878596,628
2009-12-16$104.67$103.0015.6%4.5%11.0%2.3%16.0%4.7%2.3%96.4M-711.4M-8.7M0.995.1623,37923,261589,540598,465
2009-12-17$103.38$103.0017.2%4.9%11.9%7.0%17.4%5.3%1.7%25.3M-240.8M-8.6M0.955.6841,79839,666595,148604,038
2009-12-18$103.14$103.0016.4%4.7%11.5%4.7%17.1%5.1%2.2%4.9M166.6M-8.5M1.414.3036,60151,515564,390612,798
2009-12-21$103.88$103.0014.9%4.3%11.7%0.3%16.1%4.7%2.5%50.0M-256.0M-16.1M1.314.7129,42138,597560,068564,766
2009-12-22$104.45$103.0014.4%4.1%11.1%0.0%14.9%3.9%2.1%74.5M-529.5M-8.5M1.224.0517,19321,052492,771442,938
2009-12-23$104.45$103.0014.2%4.1%11.1%0.0%15.0%3.9%2.5%75.4M-593.4M-8.7M0.754.7121,56716,155502,913442,001
2009-12-24$105.00$103.0013.4%3.8%11.2%0.0%12.8%3.9%2.8%93.4M-802.9M-8.4M0.225.2838,1138,428499,656444,186
2009-12-28$105.29$103.0014.2%4.0%9.9%2.4%13.7%4.0%2.5%116.0M-877.2M-8.3M0.864.1623,66020,251531,697445,950
2009-12-29$105.29$103.0014.1%4.0%9.9%2.0%14.0%3.7%2.5%121.1M-882.0M-8.4M0.894.4715,30713,630543,679446,010
2009-12-30$105.22$103.0013.8%4.0%9.1%1.1%14.2%3.5%2.3%120.4M-874.3M-8.3M1.503.029,94014,911544,415450,187
2009-12-31$104.07$104.0015.1%4.3%9.9%4.9%14.8%4.8%2.1%86.4M-516.2M-8.5M1.917.3513,49325,704546,934457,183