DIA Options History — March 2010

In March 2010, DIA traded between $104.01 and $109.13. ATM implied volatility averaged 13.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.0% (HV 20d: 9.4%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.18.

Notable Days

2010-03-18: Highest Volume — 614,162 contracts
2010-03-26: Largest IV drop — 13.7% change
2010-03-01: Highest IV Rank — 9.2%
2010-03-01: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.83	$104.01	$109.13	$104.02	$108.61
Max Pain	$104.17	$102.00	$107.00	$102.00	$107.00
ATM IV	13.4%	12.0%	14.9%	14.9%	12.1%
Expected Move	3.9%	3.5%	4.3%	4.3%	3.5%
HV 20d	9.4%	6.5%	15.5%	15.5%	7.0%
HV 60d	13.3%	12.8%	13.7%	13.6%	12.8%
IV Rank	5.3%	1.5%	9.2%	9.2%	2.8%
IV Percentile	4.6%	0.8%	9.5%	7.5%	2.0%
Term Structure	1.4%	0.3%	2.2%	0.3%	2.2%
VWIV	14.4%	12.6%	16.3%	15.7%	12.6%
Skew 25d	3.2%	2.5%	4.3%	4.3%	2.8%
Skew 10d	6.6%	5.1%	8.9%	8.9%	7.6%
Call IV 25d	12.3%	11.1%	13.4%	13.3%	11.2%
Put IV 25d	15.5%	13.7%	17.6%	17.6%	14.0%
Bid-Ask Spread %	4.49	2.61	7.18	7.18	3.27
Gamma HHI	0.14	0.06	0.40	0.06	0.07
Net GEX	94.9M	-3.1M	296.1M	31.1M	-3.1M
Net DEX	-810.5M	-1.68B	-242.7M	-259.9M	-668.2M
Net VEX	-9.2M	-9.8M	-8.7M	-9.3M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.10	2.95	1.15	1.03
Total Volume	90,547.565	33,684	614,162	37,334	49,680
Total OI	842,714.348	667,649	976,436	778,399	796,356

Daily Data (23 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
2010-03-01	$104.02	$102.00	14.9%	4.3%	15.5%	9.2%	15.7%	4.3%	0.3%	31.1M	-259.9M	-9.3M	1.15	7.18	17,386	19,948	360,269	418,130
2010-03-02	$104.01	$102.00	14.8%	4.2%	15.0%	8.9%	15.6%	3.8%	0.3%	38.6M	-313.4M	-9.2M	1.32	6.74	23,616	31,130	364,764	424,151
2010-03-03	$104.09	$102.00	14.5%	4.2%	14.6%	8.1%	16.3%	3.9%	0.5%	33.1M	-242.7M	-9.2M	0.30	6.45	81,257	24,697	369,538	433,244
2010-03-04	$104.50	$103.00	14.3%	4.1%	14.6%	7.7%	15.2%	3.6%	0.6%	60.9M	-390.1M	-9.4M	1.05	6.86	26,018	27,356	429,610	439,518
2010-03-05	$105.76	$103.00	13.1%	3.8%	11.3%	4.5%	14.1%	3.1%	0.7%	111.1M	-808.9M	-9.4M	0.91	6.38	53,457	48,766	435,213	445,057
2010-03-08	$105.59	$103.00	13.2%	3.8%	11.4%	4.8%	13.7%	2.8%	0.7%	112.2M	-775.8M	-9.1M	0.62	5.05	22,925	14,325	439,920	446,662
2010-03-09	$105.71	$103.00	12.7%	3.9%	10.5%	3.4%	13.8%	2.8%	0.7%	115.5M	-835.7M	-9.0M	1.18	5.12	25,550	30,194	441,882	446,477
2010-03-10	$105.77	$103.00	13.2%	4.2%	9.6%	4.6%	15.3%	3.6%	1.3%	119.6M	-849.2M	-9.1M	1.07	3.75	21,692	23,178	442,782	451,163
2010-03-11	$106.28	$103.00	14.6%	4.2%	9.6%	8.4%	15.8%	3.6%	1.6%	143.2M	-1.02B	-9.1M	1.80	4.13	21,886	39,304	448,839	459,703
2010-03-12	$106.42	$103.00	14.4%	4.1%	9.1%	8.0%	15.7%	3.5%	1.6%	143.8M	-1.07B	-9.2M	1.07	4.06	30,258	32,328	454,801	476,502
2010-03-15	$106.57	$103.00	14.0%	4.0%	8.9%	6.8%	15.3%	3.6%	1.7%	147.5M	-1.06B	-9.0M	0.84	3.97	39,560	33,061	458,563	486,411
2010-03-16	$107.07	$103.00	13.8%	4.0%	7.6%	6.3%	14.9%	3.4%	1.7%	189.1M	-1.23B	-8.9M	1.16	3.73	30,906	35,878	466,739	495,859
2010-03-17	$107.52	$103.00	13.1%	3.7%	7.6%	4.4%	14.4%	3.1%	1.8%	230.9M	-1.41B	-8.7M	0.47	4.06	99,954	46,782	467,702	508,734
2010-03-18	$107.95	$104.00	12.9%	3.7%	7.3%	3.9%	14.1%	2.8%	1.8%	296.1M	-1.68B	-8.7M	0.10	3.36	557,048	57,114	454,492	514,844
2010-03-19	$107.34	$105.00	13.4%	3.8%	7.7%	5.1%	13.9%	3.2%	1.9%	161.3M	-582.4M	-9.0M	1.36	4.79	41,647	56,619	378,369	531,059
2010-03-22	$107.79	$106.00	12.6%	3.6%	7.7%	3.1%	13.3%	3.1%	2.1%	42.1M	-651.6M	-8.9M	1.76	3.34	18,449	32,433	295,501	372,148
2010-03-23	$108.87	$106.00	12.1%	3.5%	6.9%	1.8%	13.3%	2.6%	2.1%	45.7M	-877.3M	-9.0M	1.36	3.31	31,923	43,307	301,409	386,552
2010-03-24	$108.40	$106.00	13.2%	3.8%	7.1%	4.7%	13.2%	2.5%	1.9%	42.0M	-767.0M	-9.3M	1.21	3.74	26,564	32,242	313,227	405,226
2010-03-25	$108.44	$106.00	13.9%	4.0%	6.8%	6.6%	15.3%	2.8%	1.6%	43.0M	-743.4M	-9.7M	2.95	4.20	30,122	88,756	318,915	418,173
2010-03-26	$108.43	$106.00	12.0%	3.8%	6.8%	1.5%	13.5%	2.8%	2.1%	19.8M	-706.8M	-9.8M	1.80	4.19	15,330	27,601	326,537	467,017
2010-03-29	$108.92	$107.00	12.8%	3.6%	6.6%	3.7%	13.1%	2.7%	2.2%	29.4M	-835.9M	-9.2M	1.37	2.93	16,307	22,356	325,946	472,921
2010-03-30	$109.13	$107.00	13.0%	3.5%	6.5%	4.3%	13.0%	2.6%	2.0%	29.8M	-861.5M	-9.0M	1.25	2.61	14,957	18,727	320,223	471,282
2010-03-31	$108.61	$107.00	12.1%	3.5%	7.0%	2.8%	12.6%	2.8%	2.2%	-3.1M	-668.2M	-9.2M	1.03	3.27	24,532	25,148	323,356	473,000