DIA Options History — September 2010

In September 2010, DIA traded between $102.80 and $108.57. ATM implied volatility averaged 17.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.1% (HV 20d: 16.0%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2010-09-16: Highest Volume — 139,758 contracts
  • 2010-09-27: Largest IV spike — 27.3% change
  • 2010-09-01: Highest IV Rank — 36.5%
  • 2010-09-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.06$102.80$108.57$102.80$107.91
Max Pain$104.43$103.00$106.00$104.00$106.00
ATM IV17.0%14.1%19.3%19.3%16.7%
Expected Move4.9%4.3%5.5%5.5%4.8%
HV 20d16.0%10.9%18.7%17.6%10.9%
HV 60d17.3%15.5%18.5%18.5%15.5%
IV Rank26.8%14.2%36.5%36.5%25.5%
IV Percentile43.8%19.4%67.5%67.5%41.7%
Term Structure1.6%0.5%2.2%0.5%2.1%
VWIV17.7%16.2%19.8%19.6%16.8%
Skew 25d5.1%4.4%5.9%5.5%4.4%
Skew 10d10.9%8.9%13.0%11.0%8.9%
Call IV 25d14.9%13.4%17.1%17.1%15.2%
Put IV 25d20.0%18.3%22.6%22.6%19.6%
Bid-Ask Spread %6.024.138.868.866.03
Gamma HHI0.070.050.110.050.11
Net GEX17.6M-21.9M53.2M-21.9M-13.0M
Net DEX-366.1M-811.7M306.6M306.6M-651.0M
Net VEX-10.2M-11.5M-9.4M-11.5M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.392.421.171.40
Total Volume55,851.04829,177139,75884,79093,201
Total OI922,296.286746,4551,029,088971,959871,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$102.80$104.0019.3%5.5%17.6%36.5%19.6%5.5%0.5%-21.9M306.6M-11.5M1.178.8638,99645,794382,672589,287
2010-09-02$103.28$104.0018.5%5.3%17.8%33.1%19.7%5.0%0.8%-17.0M198.1M-11.3M1.068.0616,65117,697386,807593,209
2010-09-03$104.58$104.0015.7%4.5%18.5%21.0%17.3%4.4%1.4%1.4M-165.6M-10.9M0.807.8235,69928,406388,542593,197
2010-09-07$103.56$104.0017.4%5.0%18.6%28.5%19.8%4.8%1.2%-13.3M129.0M-10.7M1.345.9717,39523,287399,283596,551
2010-09-08$103.98$104.0016.4%5.0%18.7%24.3%17.4%4.9%1.3%844.3K-3.4M-10.6M1.337.1314,92419,804400,182599,528
2010-09-09$104.25$103.0018.5%5.3%16.7%32.9%18.8%5.9%1.6%660.0K-41.3M-10.4M1.296.1015,13019,557400,114602,024
2010-09-10$104.78$103.0017.4%5.0%16.6%28.2%18.0%5.8%1.6%16.6M-220.1M-10.2M1.255.7017,74322,203400,905605,761
2010-09-13$105.67$103.0016.5%4.7%16.8%24.4%18.1%5.4%1.7%34.6M-482.9M-9.7M1.245.2526,22632,495401,739609,320
2010-09-14$105.44$103.0017.5%5.0%16.9%28.9%18.0%5.5%1.4%20.5M-387.4M-9.8M1.785.6116,76029,758404,251614,227
2010-09-15$105.94$104.0017.2%4.9%16.6%27.6%18.3%5.6%1.5%17.3M-519.8M-9.8M1.635.0721,59135,299405,630623,261
2010-09-16$106.19$104.0017.0%4.9%16.6%26.7%17.6%5.4%1.5%22.6M-603.3M-9.8M0.396.07100,45239,306404,879624,209
2010-09-17$106.07$104.0016.6%4.8%15.6%25.1%16.3%5.6%1.9%12.1M-108.0M-9.7M1.006.1629,93730,047361,101626,988
2010-09-20$107.52$105.0015.5%4.4%15.6%20.2%16.5%5.0%2.0%31.7M-543.9M-9.4M1.144.9326,09929,785301,296445,159
2010-09-21$107.62$105.0016.4%4.7%15.5%23.9%17.3%5.1%1.5%30.0M-567.6M-9.7M1.285.7021,38527,292311,084455,787
2010-09-22$107.40$105.0017.0%4.9%14.4%26.6%17.2%5.0%1.5%30.7M-519.5M-9.9M1.155.6221,30624,603318,882464,773
2010-09-23$106.67$105.0017.4%5.0%14.8%28.3%17.8%5.4%1.6%21.6M-369.2M-10.3M2.425.0511,50727,829329,254474,744
2010-09-24$108.57$105.0014.1%4.3%15.2%14.2%16.2%4.9%2.2%47.2M-810.3M-10.0M0.876.6039,87234,650334,551481,582
2010-09-27$108.19$106.0017.9%4.8%14.8%30.5%17.3%4.6%1.6%48.0M-732.6M-10.1M1.574.1311,36217,815355,928493,063
2010-09-28$108.56$106.0016.6%4.5%13.3%25.0%16.9%4.4%2.2%53.2M-811.7M-10.0M1.304.7222,57929,405357,006496,036
2010-09-29$108.31$106.0018.2%4.9%13.4%31.6%17.3%4.7%1.7%46.2M-783.4M-10.2M1.115.8618,48220,543360,696503,434
2010-09-30$107.91$106.0016.7%4.8%10.9%25.5%16.8%4.4%2.1%-13.0M-651.0M-10.1M1.406.0338,89354,308363,235508,045