DIA Options History — February 2010

In February 2010, DIA traded between $99.22 and $104.17. ATM implied volatility averaged 16.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.2% (HV 20d: 17.2%). Max pain ranged from $101.00 to $104.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.11.

Notable Days

2010-02-18: Highest Volume — 197,267 contracts
2010-02-04: Largest IV spike — 32.9% change
2010-02-08: Highest IV Rank — 23.8%
2010-02-08: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.22	$99.22	$104.17	$101.84	$103.30
Max Pain	$102.26	$101.00	$104.00	$104.00	$102.00
ATM IV	16.9%	15.1%	20.3%	17.0%	15.4%
Expected Move	4.9%	4.3%	6.0%	4.9%	4.4%
HV 20d	17.2%	15.1%	19.4%	15.7%	15.7%
HV 60d	13.8%	13.2%	14.2%	13.6%	13.7%
IV Rank	14.7%	9.7%	23.8%	15.0%	10.6%
IV Percentile	19.4%	7.9%	47.6%	16.7%	10.3%
Term Structure	0.5%	0.1%	1.8%	0.6%	0.3%
VWIV	17.9%	15.1%	21.3%	17.5%	15.1%
Skew 25d	5.7%	4.4%	7.1%	5.1%	4.7%
Skew 10d	10.9%	7.8%	13.6%	9.8%	9.3%
Call IV 25d	15.0%	13.1%	17.8%	15.1%	13.3%
Put IV 25d	20.7%	18.1%	24.9%	20.2%	18.1%
Bid-Ask Spread %	4.91	3.07	7.73	3.87	7.73
Gamma HHI	0.07	0.05	0.22	0.06	0.06
Net GEX	2.2M	-66.2M	103.1M	-25.0M	20.9M
Net DEX	279.0M	-584.3M	1.17B	533.2M	-111.2M
Net VEX	-9.3M	-9.7M	-8.9M	-9.2M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.32	1.75	0.84	1.19
Total Volume	84,425.842	37,832	197,267	66,703	49,950
Total OI	908,291.842	696,605	1,079,921	863,768	763,125

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
2010-02-01	$101.84	$104.00	17.0%	4.9%	15.7%	15.0%	17.5%	5.1%	0.6%	-25.0M	533.2M	-9.2M	0.84	3.87	36,212	30,491	403,459	460,309
2010-02-02	$102.88	$104.00	15.9%	4.6%	15.1%	11.9%	17.1%	4.7%	0.8%	-2.8M	254.4M	-9.2M	1.08	3.59	29,471	31,699	412,307	462,775
2010-02-03	$102.63	$104.00	15.1%	4.3%	15.1%	9.8%	16.1%	5.9%	1.8%	7.3M	153.4M	-9.3M	1.43	4.78	15,597	22,235	417,865	469,933
2010-02-04	$100.04	$104.00	20.1%	5.8%	17.4%	23.0%	19.3%	6.2%	0.5%	-47.9M	953.7M	-9.4M	1.75	4.63	29,144	50,964	421,337	479,615
2010-02-05	$100.16	$102.00	19.5%	5.8%	17.3%	21.5%	21.0%	7.0%	0.1%	-59.4M	1.10B	-9.2M	1.16	4.78	58,574	67,853	427,983	490,367
2010-02-08	$99.22	$101.00	20.3%	6.0%	17.3%	23.8%	21.3%	7.1%	0.1%	-66.2M	1.17B	-9.1M	1.18	5.15	23,403	27,514	440,141	502,845
2010-02-09	$100.65	$101.00	18.5%	5.7%	18.3%	18.8%	20.1%	7.0%	0.2%	-50.1M	860.6M	-9.4M	1.10	5.37	56,880	62,357	440,309	504,875
2010-02-10	$100.52	$101.00	17.6%	5.6%	18.3%	16.5%	20.2%	6.7%	0.3%	-57.3M	940.9M	-9.4M	1.42	4.31	32,688	46,551	461,115	521,551
2010-02-11	$101.58	$101.00	17.9%	5.1%	18.6%	17.3%	19.1%	6.4%	0.5%	-25.2M	545.3M	-9.7M	1.16	4.66	35,440	41,235	471,957	539,957
2010-02-12	$101.27	$101.00	17.9%	5.1%	18.5%	17.3%	18.5%	6.8%	1.1%	-22.1M	508.3M	-9.7M	1.11	4.91	47,669	52,702	481,745	545,451
2010-02-16	$102.81	$101.00	16.8%	4.8%	19.4%	14.3%	17.9%	6.0%	0.5%	31.2M	-46.2M	-9.3M	0.98	4.58	41,202	40,492	498,616	555,962
2010-02-17	$103.38	$101.00	16.5%	4.7%	19.0%	13.5%	16.5%	5.6%	0.8%	51.0M	-232.8M	-9.4M	0.80	4.26	57,201	45,632	505,151	558,235
2010-02-18	$104.17	$102.00	15.1%	4.3%	19.0%	9.7%	16.5%	5.3%	0.7%	68.5M	-584.3M	-9.4M	0.32	4.25	149,690	47,577	515,199	564,722
2010-02-19	$103.99	$103.00	15.3%	4.4%	17.3%	10.2%	15.9%	4.6%	0.5%	103.1M	-9.7M	-9.2M	1.28	4.48	31,567	40,338	456,195	560,982
2010-02-22	$103.84	$103.00	15.2%	4.3%	15.5%	9.9%	16.3%	4.4%	0.3%	36.3M	-303.1M	-8.9M	0.95	4.11	32,649	30,980	337,227	359,378
2010-02-23	$102.87	$103.00	16.5%	4.7%	16.0%	13.6%	17.5%	5.0%	0.2%	24.8M	-100.0M	-9.1M	1.26	3.07	34,347	43,440	346,248	370,277
2010-02-24	$103.70	$102.00	15.5%	4.5%	16.2%	10.7%	17.0%	4.5%	0.2%	32.3M	-247.3M	-9.6M	0.91	7.23	49,989	45,363	360,883	390,430
2010-02-25	$103.30	$103.00	15.8%	4.6%	16.2%	11.7%	17.4%	4.9%	0.3%	21.7M	-86.3M	-9.6M	1.17	7.62	29,892	35,103	357,390	401,629
2010-02-26	$103.30	$102.00	15.4%	4.4%	15.7%	10.6%	15.1%	4.7%	0.3%	20.9M	-111.2M	-9.5M	1.19	7.73	22,840	27,110	356,880	406,245