DIA Options History — June 2010

In June 2010, DIA traded between $97.73 and $104.56. ATM implied volatility averaged 23.7%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.3% (HV 20d: 26.0%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.48.

Notable Days

2010-06-17: Highest Volume — 270,456 contracts
2010-06-29: Largest IV spike — 50.6% change
2010-06-29: Highest IV Rank — 100.0%
2010-06-07: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.70	$97.73	$104.56	$100.32	$97.73
Max Pain	$103.68	$102.00	$107.00	$107.00	$102.00
ATM IV	23.7%	18.4%	34.3%	28.1%	27.6%
Expected Move	6.6%	5.3%	8.5%	8.1%	7.9%
HV 20d	26.0%	21.7%	29.6%	28.5%	21.9%
HV 60d	21.3%	18.9%	22.7%	18.9%	22.7%
IV Rank	55.9%	33.0%	100.0%	75.3%	71.5%
IV Percentile	82.4%	50.0%	100.0%	98.8%	96.4%
Term Structure	0.2%	-1.2%	1.4%	-1.2%	-0.6%
VWIV	23.8%	18.6%	31.3%	31.3%	27.3%
Skew 25d	8.0%	6.4%	10.1%	10.1%	8.5%
Skew 10d	16.5%	13.8%	19.9%	19.9%	14.7%
Call IV 25d	19.8%	15.1%	25.6%	23.6%	24.0%
Put IV 25d	27.8%	21.7%	35.4%	33.6%	32.5%
Bid-Ask Spread %	6.93	4.01	15.03	9.58	5.43
Gamma HHI	0.06	0.04	0.13	0.04	0.13
Net GEX	-31.5M	-76.0M	3.1M	-28.6M	-76.0M
Net DEX	780.2M	28.2M	1.55B	1.01B	1.40B
Net VEX	-10.6M	-11.5M	-9.7M	-11.0M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.18	2.68	2.50	2.68
Total Volume	81,686.682	30,236	270,456	74,610	113,545
Total OI	906,312.591	738,249	1,027,963	883,362	812,461

Daily Data (22 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
2010-06-01	$100.32	$107.00	28.1%	8.1%	28.5%	75.3%	31.3%	10.1%	-1.2%	-28.6M	1.01B	-11.0M	2.50	9.58	21,335	53,275	417,840	465,522
2010-06-02	$102.61	$107.00	22.7%	6.5%	29.6%	51.9%	23.9%	8.2%	-0.5%	-30.0M	703.6M	-11.3M	1.59	10.69	25,714	40,899	418,726	485,000
2010-06-03	$102.69	$107.00	22.7%	6.5%	29.6%	51.7%	25.1%	7.9%	-0.7%	-23.8M	644.3M	-11.5M	0.88	10.97	29,191	25,632	424,395	497,420
2010-06-04	$99.44	$107.00	28.3%	8.1%	29.5%	75.8%	29.3%	9.8%	-0.9%	-43.5M	1.29B	-11.0M	1.30	15.03	41,285	53,815	430,696	502,877
2010-06-07	$98.27	$107.00	29.8%	8.5%	29.4%	82.5%	28.9%	9.9%	-1.2%	-49.2M	1.55B	-10.5M	1.25	10.21	31,226	38,912	441,363	511,332
2010-06-08	$99.44	$107.00	30.6%	7.8%	25.5%	86.0%	27.5%	8.7%	-0.9%	-47.0M	1.35B	-10.7M	1.01	8.92	51,311	51,825	446,257	521,939
2010-06-09	$99.15	$102.00	27.3%	7.5%	25.5%	71.7%	25.2%	9.9%	-0.2%	-50.6M	1.40B	-10.9M	1.10	6.81	40,507	44,700	455,865	538,585
2010-06-10	$101.88	$102.00	23.3%	6.7%	27.0%	54.2%	25.1%	8.3%	0.4%	-28.3M	744.5M	-11.0M	1.25	6.67	35,145	43,969	450,150	535,677
2010-06-11	$102.31	$102.00	22.1%	6.3%	27.0%	49.1%	23.7%	7.9%	0.9%	-27.8M	640.6M	-10.8M	1.46	5.85	20,744	30,251	450,718	546,818
2010-06-14	$102.14	$102.00	22.4%	6.4%	26.6%	50.5%	22.7%	7.9%	0.7%	-32.6M	723.5M	-10.6M	1.33	4.37	31,478	41,812	448,168	547,986
2010-06-15	$104.17	$102.00	20.0%	5.7%	27.7%	40.0%	21.7%	7.0%	1.1%	3.1M	113.5M	-10.5M	1.70	5.33	31,829	54,014	454,952	554,666
2010-06-16	$104.29	$102.00	20.0%	5.7%	27.5%	40.1%	21.2%	6.9%	1.0%	-1.8M	112.9M	-10.5M	1.20	4.99	23,568	28,252	454,453	573,510
2010-06-17	$104.56	$102.00	18.4%	5.3%	27.5%	33.3%	19.8%	6.6%	1.4%	2.9M	28.2M	-10.3M	0.18	5.66	229,933	40,523	456,605	569,286
2010-06-18	$104.49	$102.00	18.4%	5.3%	24.1%	33.0%	18.6%	6.6%	1.2%	-697.6K	448.3M	-10.2M	1.15	5.08	26,070	29,975	420,675	579,713
2010-06-21	$104.45	$103.00	19.1%	5.5%	24.0%	36.1%	19.4%	6.4%	0.8%	-6.4M	188.6M	-10.3M	1.68	4.86	23,070	38,760	312,495	425,754
2010-06-22	$102.93	$103.00	20.7%	5.9%	24.2%	43.3%	20.4%	7.2%	0.5%	-26.7M	538.1M	-10.4M	1.86	4.08	22,390	41,562	322,213	442,992
2010-06-23	$102.99	$103.00	20.4%	5.8%	24.2%	41.8%	20.5%	6.9%	0.8%	-32.4M	552.1M	-10.5M	1.74	4.72	23,688	41,128	328,826	455,270
2010-06-24	$101.56	$103.00	22.2%	6.4%	24.6%	49.6%	22.4%	7.5%	0.6%	-45.0M	842.9M	-10.5M	1.47	4.01	30,209	44,259	336,031	464,390
2010-06-25	$101.72	$103.00	19.9%	6.0%	22.1%	39.8%	21.2%	7.1%	1.2%	-46.5M	800.8M	-10.6M	1.22	4.79	29,702	36,149	347,360	470,550
2010-06-28	$101.44	$103.00	22.8%	6.4%	21.7%	52.1%	21.7%	7.2%	0.6%	-42.5M	815.9M	-10.4M	1.38	5.27	12,695	17,541	344,727	466,601
2010-06-29	$98.73	$103.00	34.3%	7.8%	23.4%	100.0%	26.9%	9.2%	-0.7%	-59.4M	1.27B	-9.9M	2.56	9.09	29,589	75,630	346,435	461,578
2010-06-30	$97.73	$102.00	27.6%	7.9%	21.9%	71.5%	27.3%	8.5%	-0.6%	-76.0M	1.40B	-9.7M	2.68	5.43	30,874	82,671	349,513	462,948