DIA Options History — October 2010

In October 2010, DIA traded between $107.57 and $111.76. ATM implied volatility averaged 15.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.8% (HV 20d: 10.7%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.29.

Notable Days

2010-10-13: Highest Volume — 97,188 contracts
2010-10-14: Largest IV spike — 23.2% change
2010-10-29: Highest IV Rank — 27.0%
2010-10-04: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.48	$107.57	$111.76	$108.32	$111.31
Max Pain	$108.19	$106.00	$110.00	$107.00	$110.00
ATM IV	15.5%	13.3%	17.1%	15.9%	17.1%
Expected Move	4.7%	4.3%	5.4%	4.6%	4.9%
HV 20d	10.7%	9.7%	11.8%	10.9%	9.7%
HV 60d	14.3%	13.3%	15.8%	15.4%	13.3%
IV Rank	20.4%	10.8%	27.0%	21.9%	27.0%
IV Percentile	32.3%	14.3%	52.8%	31.0%	52.8%
Term Structure	1.0%	0.0%	2.7%	2.7%	0.0%
VWIV	17.0%	15.4%	19.0%	15.9%	17.0%
Skew 25d	4.5%	3.9%	5.8%	4.0%	4.1%
Skew 10d	9.9%	7.9%	12.1%	8.2%	7.9%
Call IV 25d	14.6%	13.5%	16.4%	13.9%	15.0%
Put IV 25d	19.1%	17.4%	22.2%	17.8%	19.1%
Bid-Ask Spread %	5.04	3.49	7.78	5.63	3.79
Gamma HHI	0.09	0.06	0.15	0.06	0.07
Net GEX	59.1M	24.7M	112.5M	32.9M	40.5M
Net DEX	-990.6M	-1.49B	-463.7M	-630.9M	-951.8M
Net VEX	-9.9M	-10.2M	-9.6M	-10.2M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.48	1.86	1.10	1.04
Total Volume	53,334.857	24,818	97,188	42,829	52,572
Total OI	853,441.667	770,225	936,949	819,351	862,581

Daily Data (21 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
2010-10-01	$108.32	$107.00	15.9%	4.6%	10.9%	21.9%	15.9%	4.0%	2.7%	32.9M	-630.9M	-10.2M	1.10	5.63	20,393	22,436	340,487	478,864
2010-10-04	$107.57	$106.00	16.3%	5.4%	10.7%	23.7%	19.0%	5.8%	1.0%	24.7M	-463.7M	-10.1M	1.35	7.78	32,381	43,836	345,458	482,812
2010-10-05	$109.40	$107.00	15.6%	5.1%	11.2%	20.5%	18.4%	5.2%	1.0%	57.0M	-929.8M	-10.0M	1.09	5.58	33,969	36,997	357,042	495,715
2010-10-06	$109.77	$107.00	14.1%	4.9%	11.2%	14.5%	18.2%	5.0%	1.0%	59.5M	-1.02B	-10.0M	0.99	5.32	24,172	23,979	362,424	505,226
2010-10-07	$109.60	$107.00	14.8%	5.0%	11.3%	17.1%	17.9%	5.1%	1.1%	71.0M	-1.02B	-10.1M	1.70	6.04	20,280	34,431	372,964	509,289
2010-10-08	$110.16	$107.00	13.9%	4.8%	11.3%	13.5%	17.3%	4.6%	1.3%	82.1M	-1.17B	-9.9M	1.29	5.22	23,194	29,931	376,899	513,892
2010-10-11	$110.26	$107.00	14.6%	4.8%	11.1%	16.6%	17.5%	4.7%	1.2%	86.9M	-1.18B	-9.7M	1.01	5.29	17,826	18,038	380,323	519,623
2010-10-12	$110.26	$107.00	15.3%	4.8%	11.0%	19.4%	17.8%	4.3%	1.0%	88.9M	-1.18B	-9.6M	1.66	5.40	23,346	38,705	382,928	526,075
2010-10-13	$111.06	$107.00	13.3%	4.7%	11.1%	10.8%	17.4%	4.2%	1.1%	112.5M	-1.49B	-9.6M	1.36	3.55	41,178	56,010	385,010	530,787
2010-10-14	$111.07	$108.00	16.3%	4.7%	11.1%	23.8%	16.6%	4.7%	1.1%	101.0M	-1.42B	-9.9M	0.48	6.24	59,747	28,693	393,285	543,664
2010-10-15	$110.68	$108.00	15.7%	4.5%	11.2%	21.3%	16.7%	4.7%	1.4%	73.7M	-870.0M	-10.0M	0.74	5.00	42,411	31,272	365,904	549,275
2010-10-18	$111.01	$108.00	15.8%	4.5%	10.4%	21.4%	16.4%	4.7%	1.2%	46.7M	-925.3M	-9.9M	1.86	5.48	8,834	16,402	328,237	441,988
2010-10-19	$109.84	$109.00	16.7%	4.8%	11.3%	25.5%	17.3%	4.8%	1.0%	29.6M	-664.6M	-10.0M	1.69	6.01	19,482	32,963	325,758	446,724
2010-10-20	$111.09	$109.00	15.9%	4.6%	11.8%	22.2%	16.3%	4.7%	0.9%	41.3M	-912.8M	-9.9M	1.06	4.34	26,366	27,934	330,974	454,503
2010-10-21	$111.54	$109.00	14.8%	4.3%	11.4%	17.5%	15.7%	4.1%	1.1%	50.8M	-982.7M	-10.0M	1.34	4.77	19,236	25,707	345,228	468,257
2010-10-22	$111.36	$109.00	15.2%	4.4%	9.8%	19.2%	15.4%	3.9%	0.8%	51.5M	-999.1M	-10.0M	1.51	3.50	9,878	14,940	351,059	472,130
2010-10-25	$111.71	$110.00	15.7%	4.5%	9.7%	20.9%	16.3%	4.2%	0.6%	52.0M	-1.07B	-9.9M	1.54	5.10	16,675	25,646	353,624	477,630
2010-10-26	$111.76	$110.00	15.9%	4.6%	9.7%	22.0%	16.5%	4.0%	0.6%	53.2M	-1.07B	-10.1M	1.42	3.80	12,380	17,592	358,217	483,012
2010-10-27	$111.31	$110.00	16.7%	4.8%	9.8%	25.3%	17.2%	4.1%	0.3%	45.2M	-941.8M	-10.1M	1.43	3.49	22,616	32,257	359,842	486,595
2010-10-28	$111.10	$110.00	16.7%	4.8%	9.7%	25.3%	17.2%	4.1%	0.2%	40.2M	-912.8M	-10.0M	1.34	4.46	15,108	20,219	364,507	493,463
2010-10-29	$111.31	$110.00	17.1%	4.9%	9.7%	27.0%	17.0%	4.1%	0.0%	40.5M	-951.8M	-10.0M	1.04	3.79	25,752	26,820	365,345	497,236