DIA Options History — May 2010

In May 2010, DIA traded between $99.68 and $111.54. ATM implied volatility averaged 23.8%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.0% (HV 20d: 23.8%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2010-05-06: Highest Volume — 281,477 contracts
  • 2010-05-20: Largest IV spike — 35.7% change
  • 2010-05-07: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.15$99.68$111.54$111.54$101.47
Max Pain$106.85$105.00$110.00$110.00$107.00
ATM IV23.8%14.0%33.8%14.0%24.4%
Expected Move6.7%4.0%9.7%4.0%7.0%
HV 20d23.8%13.2%29.2%13.2%29.1%
HV 60d15.6%10.5%18.9%10.5%18.9%
IV Rank59.8%16.5%100.0%16.5%59.4%
IV Percentile81.5%18.7%100.0%18.7%93.7%
Term Structure-0.1%-1.8%1.1%1.1%-0.2%
VWIV24.3%14.8%33.6%14.8%26.0%
Skew 25d9.5%4.6%15.7%4.6%8.9%
Skew 10d19.9%8.9%30.4%8.9%20.5%
Call IV 25d19.9%12.4%27.8%12.4%20.7%
Put IV 25d29.4%17.0%43.5%17.0%29.6%
Bid-Ask Spread %9.333.3227.143.8814.76
Gamma HHI0.080.040.180.060.04
Net GEX-66.2M-195.5M2.8M2.8M-24.4M
Net DEX762.7M-776.7M2.34B-776.7M828.8M
Net VEX-11.8M-12.5M-10.7M-11.2M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.721.680.931.36
Total Volume118,532.749,791281,47776,46656,392
Total OI958,294.55809,8351,164,072839,784866,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$111.54$110.0014.0%4.0%13.2%16.5%14.8%4.6%1.1%2.8M-776.7M-11.2M0.933.8839,54636,920351,685488,099
2010-05-04$109.36$110.0018.1%5.2%15.1%37.3%18.0%6.5%-0.1%-39.6M-45.1M-11.7M1.135.7464,14872,307359,996494,446
2010-05-05$108.80$110.0018.8%5.4%15.0%40.8%19.3%7.4%-0.2%-48.3M144.6M-12.0M1.023.3255,29956,422374,618504,953
2010-05-06$105.26$110.0025.2%7.2%19.0%73.2%24.0%10.1%-1.8%-86.4M1.20B-11.5M1.0422.73137,898143,579380,734505,648
2010-05-07$103.78$106.0032.1%8.1%19.2%100.0%28.1%12.6%0.1%-64.3M1.36B-12.4M1.3727.1487,903120,308424,668529,956
2010-05-10$108.00$106.0022.1%6.0%24.5%53.4%22.7%8.2%0.2%-28.0M55.5M-12.4M1.438.8254,81778,615441,641543,239
2010-05-11$107.67$106.0021.6%5.9%24.5%51.0%21.3%7.5%0.2%-71.9M340.0M-12.2M1.456.3433,73448,989433,466567,423
2010-05-12$109.26$106.0019.0%5.4%24.9%38.7%19.7%7.1%0.3%-28.7M-354.5M-12.1M1.484.3334,32750,669436,010577,078
2010-05-13$108.10$106.0020.0%5.7%25.1%43.5%20.0%7.8%0.3%-70.2M138.6M-12.5M0.874.3643,04037,286438,785583,481
2010-05-14$106.51$106.0022.3%6.4%25.2%54.0%23.1%9.2%0.1%-110.6M798.5M-12.5M1.486.4548,24371,594451,609582,839
2010-05-17$106.52$106.0021.7%6.2%25.1%51.4%22.9%9.2%0.2%-145.7M724.9M-11.9M1.215.6837,73345,766461,548586,428
2010-05-18$105.39$106.0024.6%7.1%25.2%65.1%24.1%9.8%-0.1%-148.8M1.20B-12.0M1.236.5947,60558,642470,815595,912
2010-05-19$104.77$106.0024.9%7.1%25.2%66.5%26.9%10.5%0.2%-195.5M1.53B-11.7M0.726.54104,27674,565478,902601,151
2010-05-20$101.11$106.0033.8%9.7%27.6%100.0%33.6%15.7%-1.3%-100.9M2.34B-11.9M1.059.2192,08397,058531,167601,636
2010-05-21$101.84$106.0029.6%8.5%27.7%81.7%30.9%13.3%-0.3%-75.8M2.22B-11.7M1.689.9571,629119,980557,546606,526
2010-05-24$100.68$105.0028.0%8.0%27.7%74.8%29.6%12.4%-0.2%-20.2M895.3M-11.4M1.277.0321,95727,834391,087418,748
2010-05-25$100.46$105.0027.2%7.8%27.2%71.1%28.0%11.0%-0.2%-25.0M977.7M-11.1M1.117.3434,64138,525396,418430,147
2010-05-26$99.68$107.0026.9%7.7%26.9%69.8%27.6%10.3%-0.0%-28.9M1.10B-10.7M1.2014.5926,22131,472407,848440,222
2010-05-27$102.72$107.0022.0%6.3%29.2%48.8%24.7%8.4%0.0%-14.6M583.4M-11.2M1.4711.8727,77740,854408,916443,954
2010-05-28$101.47$107.0024.4%7.0%29.1%59.4%26.0%8.9%-0.2%-24.4M828.8M-11.2M1.3614.7623,92632,466411,647454,899