DIA Options History — July 2010

In July 2010, DIA traded between $96.87 and $105.44. ATM implied volatility averaged 20.1%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.0% (HV 20d: 20.1%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2010-07-15: Highest Volume — 109,103 contracts
  • 2010-07-12: Largest IV spike — 22.8% change
  • 2010-07-01: Highest IV Rank — 67.2%
  • 2010-07-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.28$96.87$105.44$97.34$104.70
Max Pain$101.86$101.00$103.00$102.00$103.00
ATM IV20.1%16.8%26.6%26.6%17.6%
Expected Move5.9%5.1%7.6%7.6%5.1%
HV 20d20.1%18.2%21.9%21.9%18.2%
HV 60d23.8%22.7%24.5%22.7%23.8%
IV Rank39.7%25.9%67.2%67.2%29.4%
IV Percentile66.4%37.7%94.8%94.8%44.8%
Term Structure0.7%0.1%2.1%0.5%1.1%
VWIV21.2%18.7%26.6%26.6%18.9%
Skew 25d6.1%4.9%8.0%6.7%4.9%
Skew 10d12.8%9.5%16.9%12.0%9.6%
Call IV 25d17.8%15.5%23.3%23.3%15.7%
Put IV 25d23.9%20.6%30.0%30.0%20.6%
Bid-Ask Spread %4.362.776.474.172.99
Gamma HHI0.060.050.310.050.05
Net GEX-20.8M-151.6M14.8M-43.3M13.8M
Net DEX369.8M-291.1M1.42B1.29B-155.8M
Net VEX-11.5M-12.4M-9.6M-10.1M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.781.821.821.46
Total Volume60,927.23828,880109,10391,06750,618
Total OI845,469.048766,031933,211766,031909,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$97.34$102.0026.6%7.6%21.9%67.2%26.6%6.7%0.5%-43.3M1.29B-10.1M1.824.1732,33058,737321,394444,637
2010-07-02$96.87$102.0023.1%6.6%18.9%52.4%22.7%5.4%2.1%-52.1M1.42B-9.8M0.844.8430,90425,937330,569456,162
2010-07-06$97.45$102.0024.5%7.0%18.7%58.5%24.7%8.0%0.1%-48.0M1.29B-9.6M1.096.4730,01632,826333,904458,863
2010-07-07$100.29$102.0021.8%6.4%21.0%46.9%22.9%7.5%0.5%-29.6M754.8M-10.3M0.966.0838,91037,333342,050465,508
2010-07-08$101.51$101.0018.8%5.8%21.3%34.5%22.4%7.0%0.7%-22.0M486.0M-10.9M1.364.7227,45437,433351,213480,266
2010-07-09$102.11$101.0016.8%5.7%19.1%25.9%21.5%6.5%0.9%-27.9M383.9M-11.0M1.114.9027,66630,609353,761495,048
2010-07-12$102.25$101.0020.7%5.9%19.1%42.2%21.5%6.6%0.5%-13.4M287.2M-11.1M1.315.2919,05125,006362,769505,976
2010-07-13$103.73$101.0019.3%5.6%19.7%36.3%20.2%6.4%0.7%5.3M-6.9M-11.2M1.175.1335,16041,261365,876515,101
2010-07-14$103.75$102.0017.5%5.8%18.4%29.0%21.5%6.5%0.8%-6.1M26.5M-11.8M1.594.3726,83942,689371,569531,587
2010-07-15$103.70$102.0020.0%5.7%18.4%39.4%21.9%6.3%0.6%-19.7M65.6M-12.0M0.824.8560,03849,065377,159543,461
2010-07-16$101.01$102.0021.5%6.2%20.5%45.8%21.3%6.6%0.9%-151.6M986.5M-12.0M1.714.9535,24360,344367,951565,260
2010-07-19$101.62$102.0020.3%5.8%20.7%40.6%20.9%6.0%1.0%-30.0M591.0M-11.7M1.275.2412,72016,160305,207465,821
2010-07-20$102.33$102.0020.0%5.7%20.9%39.5%21.1%6.1%0.7%-19.7M428.6M-11.8M1.253.1723,09828,762314,005473,206
2010-07-21$101.23$102.0021.4%6.1%20.6%45.5%21.2%6.0%0.4%-25.0M595.9M-12.0M0.783.3426,63020,761326,582482,357
2010-07-22$103.25$101.0020.0%5.7%21.9%39.5%20.0%5.8%0.4%-6.5M163.5M-12.4M0.855.8626,02522,212338,147487,769
2010-07-23$104.27$102.0018.9%5.4%21.5%34.8%19.7%5.3%0.6%4.4M-50.7M-12.4M1.263.4721,89227,646341,800493,456
2010-07-26$105.26$102.0017.9%5.1%21.7%30.4%19.5%4.9%0.6%14.8M-231.7M-12.2M1.452.9718,49226,845348,010501,496
2010-07-27$105.44$102.0018.3%5.2%21.6%32.0%18.9%5.2%0.6%12.1M-291.1M-12.2M1.592.7714,91923,752353,363512,501
2010-07-28$105.09$102.0018.5%5.3%18.9%32.9%19.7%5.0%0.6%5.1M-174.8M-12.3M1.313.1515,30420,075356,136523,109
2010-07-29$104.67$103.0018.2%5.2%18.4%31.7%18.7%4.9%1.1%1.9M-98.8M-12.1M0.962.8640,19338,517357,886524,356
2010-07-30$104.70$103.0017.6%5.1%18.2%29.4%18.9%4.9%1.1%13.8M-155.8M-12.3M1.462.9920,56630,052380,466529,093