DIA Options History — August 2010

In August 2010, DIA traded between $99.93 and $107.12. ATM implied volatility averaged 19.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 15.9%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2010-08-19: Highest Volume — 130,969 contracts
  • 2010-08-11: Largest IV spike — 25.7% change
  • 2010-08-24: Highest IV Rank — 49.9%
  • 2010-08-24: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.65$99.93$107.12$106.73$100.20
Max Pain$104.23$103.00$105.00$103.00$104.00
ATM IV19.4%15.5%22.5%16.3%22.0%
Expected Move5.6%4.7%6.4%4.7%6.3%
HV 20d15.9%13.9%18.9%18.7%14.6%
HV 60d20.5%17.9%23.2%23.2%17.9%
IV Rank36.8%20.4%49.9%23.6%47.7%
IV Percentile64.2%28.2%88.5%31.7%84.1%
Term Structure0.6%0.1%1.0%0.6%0.1%
VWIV20.2%17.2%23.0%17.8%22.2%
Skew 25d5.7%4.0%6.6%4.5%6.3%
Skew 10d12.5%7.6%15.6%8.4%11.8%
Call IV 25d17.1%14.5%19.3%14.5%18.8%
Put IV 25d22.8%18.7%25.7%19.0%25.1%
Bid-Ask Spread %5.132.348.572.347.04
Gamma HHI0.070.050.370.050.06
Net GEX-22.1M-166.1M35.8M33.6M-50.7M
Net DEX226.5M-726.5M1.03B-667.9M911.6M
Net VEX-11.8M-12.6M-11.2M-11.6M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.521.691.251.27
Total Volume62,073.45529,296130,96953,26449,565
Total OI979,853.5880,7001,083,010918,625960,211

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$106.73$103.0016.3%4.7%18.7%23.6%17.8%4.5%0.6%33.6M-667.9M-11.6M1.252.3423,67129,593381,176537,449
2010-08-03$106.39$103.0017.4%5.0%18.9%28.5%18.1%4.3%0.5%29.9M-547.4M-12.2M1.433.5214,47020,655387,098549,507
2010-08-04$106.96$103.0016.5%4.7%16.6%24.6%17.2%4.0%0.8%35.8M-684.8M-12.0M1.222.8515,32318,705386,523553,081
2010-08-05$106.88$103.0016.6%4.8%16.4%25.0%17.6%4.2%0.5%33.1M-651.4M-12.1M1.662.7511,02618,270387,988558,232
2010-08-06$106.69$105.0015.5%4.8%16.4%20.4%17.8%5.2%0.8%32.2M-618.5M-12.0M1.696.1222,92638,768391,768565,235
2010-08-09$107.12$105.0016.5%4.9%16.4%24.6%17.9%5.2%0.8%34.7M-726.5M-11.8M1.494.8913,76220,490394,288572,128
2010-08-10$106.66$105.0016.5%4.8%15.9%24.6%18.9%5.3%0.9%26.6M-586.0M-11.9M1.396.7323,28132,247397,961581,444
2010-08-11$104.13$105.0020.8%5.7%18.3%42.7%21.6%5.9%0.6%-19.7M191.2M-12.1M1.536.7245,98170,149402,944588,354
2010-08-12$103.45$105.0020.8%6.0%18.4%42.9%21.5%6.2%0.3%-34.7M413.9M-12.4M1.405.3934,58448,462419,360619,001
2010-08-13$103.35$105.0021.1%6.0%15.7%43.9%21.9%6.6%0.4%-33.7M443.5M-12.6M1.646.2621,97936,026423,145621,913
2010-08-16$103.28$105.0020.9%6.0%15.6%43.0%21.5%6.3%0.7%-41.6M476.7M-12.3M1.114.2428,51831,608425,545633,858
2010-08-17$104.33$104.0019.3%5.5%15.8%36.3%20.0%5.7%1.0%-7.5M125.2M-12.0M1.105.4234,22637,686430,956640,715
2010-08-18$104.57$105.0018.0%5.2%15.1%31.1%19.6%5.0%0.9%-20.1M73.5M-11.5M0.974.5231,46130,625427,312650,252
2010-08-19$103.06$105.0020.5%5.9%14.6%41.7%21.5%6.0%0.4%-54.7M624.1M-11.9M0.524.1785,88845,081429,937653,073
2010-08-20$102.14$105.0020.3%5.8%14.4%40.8%20.5%6.4%0.9%-166.1M976.1M-11.8M0.885.3947,90942,104423,024655,373
2010-08-23$101.76$104.0019.9%5.7%13.9%38.7%19.6%6.1%0.7%-39.2M690.9M-11.5M0.753.5826,42319,910346,783533,917
2010-08-24$100.40$104.0022.5%6.4%14.4%49.9%21.8%6.4%0.4%-46.9M940.4M-11.4M1.094.5235,15738,206353,495537,337
2010-08-25$100.61$103.0021.6%6.1%14.5%46.1%21.9%6.4%0.6%-45.8M893.2M-11.6M0.934.0732,09029,916363,472548,712
2010-08-26$99.93$104.0022.0%6.3%14.6%47.9%22.5%6.3%0.5%-52.2M1.03B-11.5M1.517.1824,09236,263372,366553,128
2010-08-27$101.58$104.0019.7%5.6%16.0%38.0%20.5%5.9%0.7%-39.3M655.2M-11.6M0.996.5433,98433,784375,032569,304
2010-08-30$100.17$104.0022.0%6.3%14.6%48.0%23.0%6.2%0.2%-59.1M1.02B-11.2M1.018.5715,29615,456377,022577,358
2010-08-31$100.20$104.0022.0%6.3%14.6%47.7%22.2%6.3%0.1%-50.7M911.6M-11.4M1.277.0421,79527,770380,385579,826