DIA Options History — November 2010

In November 2010, DIA traded between $110.17 and $114.54. ATM implied volatility averaged 15.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.8% (HV 20d: 10.8%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2010-11-18: Highest Volume — 223,681 contracts
  • 2010-11-23: Largest IV spike — 17.7% change
  • 2010-11-30: Highest IV Rank — 32.9%
  • 2010-11-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.11$110.17$114.54$111.32$110.17
Max Pain$108.76$106.00$110.00$110.00$110.00
ATM IV15.6%13.0%18.5%17.9%18.5%
Expected Move4.6%4.0%5.7%5.1%5.7%
HV 20d10.8%7.3%14.0%9.2%14.0%
HV 60d12.5%11.4%13.3%13.3%11.4%
IV Rank20.7%9.8%32.9%30.7%32.9%
IV Percentile37.2%10.7%69.8%61.9%69.8%
Term Structure0.1%-0.6%0.5%-0.4%0.1%
VWIV16.8%14.2%22.1%18.1%21.1%
Skew 25d4.1%2.4%5.4%4.1%5.4%
Skew 10d9.3%4.4%13.7%8.6%13.1%
Call IV 25d14.1%12.2%16.2%16.0%16.2%
Put IV 25d18.2%15.8%21.6%20.1%21.6%
Bid-Ask Spread %5.072.838.824.595.58
Gamma HHI0.110.070.300.070.07
Net GEX61.0M-65.3M151.2M49.2M3.9M
Net DEX-1.02B-1.96B-211.1M-981.0M-211.1M
Net VEX-9.5M-10.2M-8.6M-10.0M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.206.541.482.05
Total Volume70,278.28629,144223,68152,01957,751
Total OI944,602.381812,2891,072,097883,225890,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$111.32$110.0017.9%5.1%9.2%30.7%18.1%4.1%-0.4%49.2M-981.0M-10.0M1.484.5921,01231,007381,318501,907
2010-11-02$111.88$110.0017.9%5.1%7.3%30.5%18.4%4.2%-0.6%55.9M-1.14B-9.8M1.513.5112,26818,478383,432504,854
2010-11-03$112.30$110.0015.9%4.6%7.4%22.1%16.6%3.6%0.1%61.9M-1.23B-9.4M1.854.8117,35032,060384,078505,908
2010-11-04$114.43$110.0014.7%4.2%9.6%17.0%15.8%2.4%0.1%101.5M-1.85B-8.9M1.003.6967,73767,935386,765511,901
2010-11-05$114.54$106.0013.6%4.1%9.5%12.3%15.0%3.0%0.3%136.3M-1.96B-8.6M0.214.96120,20125,408399,759530,994
2010-11-08$114.22$107.0013.7%4.2%9.7%12.6%14.2%3.1%0.2%151.2M-1.91B-9.0M0.314.4150,47515,860422,957539,016
2010-11-09$113.69$107.0014.2%4.2%9.9%14.7%18.3%3.4%0.2%140.2M-1.75B-9.6M2.044.9420,60241,953442,170540,440
2010-11-10$113.73$107.0013.0%4.1%9.7%9.8%15.4%3.3%0.5%147.3M-1.74B-9.5M0.555.6740,67722,440446,780556,754
2010-11-11$113.08$107.0014.5%4.2%10.0%16.2%15.1%3.9%0.5%112.6M-1.53B-9.4M1.234.4026,19932,242472,672546,899
2010-11-12$112.16$108.0015.9%4.6%10.4%22.1%16.2%4.3%0.4%80.7M-1.15B-10.1M1.668.1621,58435,911482,979559,339
2010-11-15$112.25$108.0015.8%4.5%10.4%21.6%16.6%4.0%0.2%79.2M-1.19B-9.9M1.654.5717,85429,385486,603563,137
2010-11-16$110.50$108.0017.5%5.0%11.2%28.9%17.6%5.1%0.0%2.0M-482.0M-10.2M1.065.7050,82353,940490,420571,272
2010-11-17$110.44$108.0017.3%5.0%10.4%28.0%17.7%5.3%-0.1%2.5M-486.4M-9.9M1.284.1618,61223,789493,676572,802
2010-11-18$112.15$108.0014.6%4.2%11.7%16.5%15.4%4.1%0.2%85.8M-1.17B-9.6M0.204.35186,57037,111495,982576,115
2010-11-19$112.01$110.0014.1%4.0%11.7%14.1%14.2%4.1%0.4%-65.3M-478.5M-9.5M0.948.7924,56023,197430,819590,971
2010-11-22$111.82$110.0014.1%4.0%11.7%14.2%14.9%4.1%0.1%35.8M-634.3M-9.0M0.992.8320,08719,956340,646471,643
2010-11-23$110.39$110.0016.6%4.7%12.6%24.8%16.4%4.9%-0.6%19.9M-292.9M-9.4M1.324.1115,65820,689346,942473,396
2010-11-24$111.85$110.0014.8%4.3%13.4%17.2%15.8%4.4%-0.3%38.2M-609.8M-9.3M0.753.8816,66812,476351,208478,974
2010-11-26$110.64$110.0016.4%5.0%14.0%24.2%22.1%5.2%0.4%21.3M-352.5M-9.5M6.548.827,35048,048354,493483,395
2010-11-29$110.65$110.0016.5%5.0%13.9%24.4%18.7%5.2%0.3%20.4M-338.1M-9.5M1.654.5026,35943,562356,828515,819
2010-11-30$110.17$110.0018.5%5.7%14.0%32.9%21.1%5.4%0.1%3.9M-211.1M-9.6M2.055.5818,92538,826362,808527,779