DIA Options History — April 2010

In April 2010, DIA traded between $109.05 and $112.08. ATM implied volatility averaged 12.9%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.7% (HV 20d: 8.1%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2010-04-27: Highest Volume — 142,004 contracts
  • 2010-04-27: Largest IV spike — 28.7% change
  • 2010-04-30: Highest IV Rank — 30.1%
  • 2010-04-27: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.54$109.05$112.08$109.28$110.10
Max Pain$108.67$107.00$110.00$107.00$110.00
ATM IV12.9%10.7%17.0%12.3%16.7%
Expected Move3.9%3.5%4.9%3.5%4.8%
HV 20d8.1%6.1%12.5%7.1%12.5%
HV 60d12.1%10.7%12.9%12.8%11.7%
IV Rank8.9%0.0%30.1%3.8%30.1%
IV Percentile8.9%0.0%36.9%2.4%35.3%
Term Structure0.8%-0.3%2.0%2.0%0.1%
VWIV14.3%12.5%18.5%12.5%16.5%
Skew 25d3.8%2.5%5.4%2.5%5.4%
Skew 10d9.0%4.6%13.2%4.6%12.3%
Call IV 25d12.0%10.8%15.1%11.1%14.5%
Put IV 25d15.9%13.6%20.3%13.6%19.9%
Bid-Ask Spread %4.192.626.192.625.17
Gamma HHI0.080.050.170.080.06
Net GEX25.4M-47.6M117.4M24.6M-26.7M
Net DEX-842.7M-1.58B-282.3M-848.3M-282.3M
Net VEX-9.5M-11.7M-8.4M-8.8M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.892.661.351.26
Total Volume70,938.38146,336142,00462,72264,766
Total OI779,784.714620,638885,339744,216823,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$109.28$107.0012.3%3.5%7.1%3.8%12.5%2.5%2.0%24.6M-848.3M-8.8M1.352.6226,67536,047311,445432,771
2010-04-05$109.73$107.0011.8%3.9%6.2%1.6%14.5%3.9%0.9%24.1M-923.3M-8.7M0.924.1824,08222,259315,947443,872
2010-04-06$109.72$107.0011.3%3.8%6.1%0.0%14.5%3.6%0.8%25.1M-887.5M-8.7M1.393.9620,10528,001319,467448,725
2010-04-07$109.05$107.0012.1%3.9%6.7%3.6%14.1%4.0%0.7%2.9M-691.8M-8.9M1.703.7533,88057,735327,202459,144
2010-04-08$109.37$107.0011.9%3.9%6.7%2.4%14.1%3.9%0.8%17.6M-790.0M-8.7M2.663.7018,67349,696327,202459,144
2010-04-09$110.06$107.0011.2%3.8%6.8%0.0%14.3%3.8%0.7%68.9M-1.12B-8.6M1.414.3922,47631,607335,967509,763
2010-04-12$110.18$108.0012.6%3.8%6.8%6.4%13.8%3.5%0.6%38.5M-1.07B-8.5M1.283.9720,33026,006337,581518,221
2010-04-13$110.25$108.0012.5%3.9%6.9%5.9%13.7%3.7%0.7%61.3M-1.13B-8.5M1.583.4419,38530,677339,858523,624
2010-04-14$111.29$108.0010.7%3.7%7.3%0.0%14.1%3.5%0.8%113.4M-1.52B-8.4M1.203.4534,69241,663342,767529,246
2010-04-15$111.56$109.0012.4%3.6%7.3%7.7%14.6%3.4%1.0%117.4M-1.58B-8.5M1.974.3832,49263,849344,965540,374
2010-04-16$110.18$109.0014.1%4.0%8.8%14.9%14.4%4.5%0.7%-47.6M-424.8M-9.3M1.186.1961,38072,259295,468570,862
2010-04-19$110.84$109.0012.7%3.6%8.6%8.9%13.9%4.1%1.1%11.4M-640.3M-9.5M1.554.6128,27443,773274,872345,766
2010-04-20$111.10$109.0012.2%3.5%8.6%6.7%13.0%3.7%1.2%18.0M-748.4M-9.6M1.663.8626,48943,923287,479365,118
2010-04-21$111.16$110.0012.3%3.5%7.9%7.4%13.0%3.3%1.3%23.2M-756.1M-9.9M1.963.7617,37934,009302,683389,991
2010-04-22$111.35$110.0012.4%3.6%7.7%7.9%13.1%3.4%1.1%17.7M-760.8M-9.7M1.554.6024,85338,489302,174399,433
2010-04-23$111.96$110.0012.4%3.6%7.8%7.7%13.1%3.2%1.2%21.6M-901.3M-10.1M0.893.7740,71436,433310,256409,646
2010-04-26$112.08$110.0013.2%3.8%7.8%11.3%13.9%3.0%0.7%24.5M-956.8M-10.2M1.574.1918,62629,215319,096417,441
2010-04-27$109.87$110.0017.0%4.9%10.8%28.8%18.5%5.2%-0.3%-12.4M-319.4M-11.2M2.524.9540,325101,679328,505427,818
2010-04-28$110.55$110.0014.9%4.3%11.0%19.9%15.9%5.0%0.7%-13.9M-454.0M-11.4M1.005.0738,87638,741338,682471,443
2010-04-29$111.69$110.0013.2%3.8%11.3%12.3%14.3%4.1%1.0%24.3M-900.3M-11.1M1.523.9719,50329,670350,851476,789
2010-04-30$110.10$110.0016.7%4.8%12.5%30.1%16.5%5.4%0.1%-26.7M-282.3M-11.7M1.265.1728,68736,079344,293479,528