DIA Options History — January 2010

In January 2010, DIA traded between $100.55 and $107.17. ATM implied volatility averaged 15.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.2% (HV 20d: 11.8%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2010-01-22: Highest Volume — 174,799 contracts
2010-01-14: Largest IV spike — 21.5% change
2010-01-22: Highest IV Rank — 22.6%
2010-01-22: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.61	$100.55	$107.17	$105.66	$100.55
Max Pain	$104.16	$103.00	$105.00	$104.00	$104.00
ATM IV	15.0%	11.4%	19.9%	13.4%	18.4%
Expected Move	4.6%	3.8%	5.7%	4.5%	5.3%
HV 20d	11.8%	9.6%	15.2%	10.8%	15.2%
HV 60d	14.1%	13.4%	14.9%	14.2%	13.4%
IV Rank	8.5%	0.0%	22.6%	0.1%	18.6%
IV Percentile	11.1%	0.0%	39.7%	0.4%	25.8%
Term Structure	1.0%	-0.4%	1.9%	1.4%	0.5%
VWIV	16.6%	13.7%	22.6%	17.7%	19.0%
Skew 25d	5.1%	3.9%	8.8%	5.0%	5.5%
Skew 10d	10.3%	7.1%	17.3%	10.4%	11.1%
Call IV 25d	14.1%	11.7%	16.7%	13.8%	16.7%
Put IV 25d	19.2%	16.1%	25.5%	18.8%	22.2%
Bid-Ask Spread %	5.55	4.56	7.11	4.56	6.16
Gamma HHI	0.13	0.06	0.35	0.12	0.06
Net GEX	79.8M	-38.7M	229.9M	132.5M	-38.7M
Net DEX	-447.8M	-1.43B	854.7M	-941.0M	854.7M
Net VEX	-8.7M	-9.6M	-7.9M	-8.1M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.60	2.56	0.60	1.40
Total Volume	73,861.895	27,809	174,799	54,352	80,838
Total OI	873,985.842	615,702	1,040,067	922,605	843,183

Daily Data (19 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
2010-01-04	$105.66	$104.00	13.4%	4.5%	10.8%	0.1%	17.7%	5.0%	1.4%	132.5M	-941.0M	-8.1M	0.60	4.56	34,006	20,346	500,045	422,560
2010-01-05	$105.49	$103.00	13.4%	4.5%	10.8%	0.1%	16.3%	4.8%	1.3%	132.1M	-989.5M	-8.3M	1.01	4.97	13,811	13,998	521,020	429,075
2010-01-06	$105.56	$103.00	12.8%	4.3%	10.8%	0.0%	15.6%	4.5%	1.3%	131.5M	-991.5M	-8.2M	1.71	4.77	14,641	25,084	523,381	431,389
2010-01-07	$105.94	$103.00	13.3%	4.3%	10.0%	1.4%	15.7%	4.4%	1.3%	145.6M	-1.04B	-8.1M	1.16	4.97	21,246	24,626	525,718	440,429
2010-01-08	$106.11	$103.00	12.0%	4.2%	9.9%	0.0%	15.2%	3.9%	1.3%	137.8M	-1.03B	-8.0M	0.98	5.44	22,151	21,690	529,452	446,910
2010-01-11	$106.54	$103.00	12.1%	4.1%	9.7%	0.3%	15.6%	3.9%	1.2%	173.5M	-1.21B	-7.9M	1.13	6.00	29,491	33,256	539,066	454,467
2010-01-12	$106.14	$104.00	12.8%	4.3%	9.6%	2.4%	15.5%	4.0%	1.3%	160.3M	-1.14B	-8.2M	1.23	5.43	27,642	34,000	545,249	468,209
2010-01-13	$106.75	$104.00	11.4%	4.0%	9.8%	0.0%	14.3%	4.1%	1.2%	185.8M	-1.27B	-8.1M	1.07	5.27	32,724	35,137	549,673	476,011
2010-01-14	$107.03	$104.00	13.9%	4.0%	9.6%	6.6%	14.2%	3.9%	1.2%	229.9M	-1.43B	-8.1M	0.82	7.11	37,335	30,795	554,660	485,407
2010-01-15	$106.01	$104.00	13.9%	4.0%	10.3%	6.6%	13.7%	4.6%	1.9%	115.1M	-629.2M	-8.4M	0.72	6.04	88,777	63,916	537,825	497,113
2010-01-19	$107.17	$105.00	13.3%	3.8%	9.7%	5.0%	14.6%	4.4%	1.8%	48.4M	-832.5M	-8.5M	0.79	4.94	47,410	37,273	307,077	308,625
2010-01-20	$106.02	$105.00	13.9%	4.0%	10.6%	6.5%	14.5%	4.2%	1.6%	39.5M	-530.6M	-9.0M	1.35	4.67	30,606	41,167	326,041	324,426
2010-01-21	$103.71	$105.00	16.5%	4.7%	13.2%	13.6%	16.6%	5.9%	0.7%	17.4M	1.9M	-9.1M	1.22	4.78	45,397	55,313	334,419	335,868
2010-01-22	$101.63	$105.00	19.9%	5.7%	14.8%	22.6%	22.6%	8.8%	0.4%	2.7M	387.5M	-9.2M	2.56	6.93	49,141	125,658	354,557	353,236
2010-01-25	$101.91	$105.00	19.5%	5.6%	14.9%	21.6%	19.7%	7.6%	-0.4%	-17.8M	526.9M	-9.5M	1.52	6.39	27,822	42,270	372,188	420,086
2010-01-26	$101.88	$105.00	18.7%	5.4%	14.7%	19.5%	18.2%	6.2%	0.5%	-22.8M	544.5M	-9.6M	0.79	6.19	35,779	28,222	371,123	431,844
2010-01-27	$102.30	$105.00	17.9%	5.1%	14.8%	17.2%	18.3%	5.9%	0.7%	-18.7M	422.9M	-9.6M	1.16	5.11	32,202	37,220	373,279	439,514
2010-01-28	$101.20	$105.00	18.6%	5.3%	15.1%	19.1%	18.7%	5.6%	0.4%	-37.5M	772.2M	-9.3M	1.04	5.70	30,524	31,862	384,951	447,655
2010-01-29	$100.55	$104.00	18.4%	5.3%	15.2%	18.6%	19.0%	5.5%	0.5%	-38.7M	854.7M	-9.2M	1.40	6.16	33,666	47,172	394,769	448,414