DIA Options History — December 2010

In December 2010, DIA traded between $112.67 and $115.79. ATM implied volatility averaged 13.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.2% (HV 20d: 12.2%). Max pain ranged from $110.00 to $112.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2010-12-16: Highest Volume — 151,383 contracts
  • 2010-12-31: Largest IV spike — 24.6% change
  • 2010-12-13: Highest IV Rank — 23.1%
  • 2010-12-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.72$112.67$115.79$112.67$115.63
Max Pain$110.83$110.00$112.75$110.00$112.75
ATM IV13.4%10.4%16.2%15.9%13.0%
Expected Move3.9%3.4%4.7%4.7%3.7%
HV 20d12.2%3.5%16.4%16.1%3.5%
HV 60d11.5%10.4%12.1%12.0%10.4%
IV Rank11.5%0.0%23.1%21.8%10.8%
IV Percentile17.3%0.0%44.4%38.9%14.3%
Term Structure1.2%0.6%2.0%0.8%1.9%
VWIV14.5%12.2%18.4%18.4%15.0%
Skew 25d3.5%2.5%4.8%4.8%3.4%
Skew 10d8.0%5.6%10.7%9.1%8.4%
Call IV 25d12.1%10.8%14.3%14.3%11.6%
Put IV 25d15.5%14.3%19.1%19.1%15.1%
Bid-Ask Spread %4.062.445.613.745.61
Gamma HHI0.220.110.800.130.11
Net GEX87.1M30.1M473.2M39.6M30.1M
Net DEX-965.7M-1.47B-307.5M-840.7M-685.8M
Net VEX-8.3M-9.4M-7.8M-9.4M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.502.851.441.10
Total Volume40,592.54511,560151,38355,17924,838
Total OI870,154.591710,780979,673914,992807,743

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$112.67$110.0015.9%4.7%16.1%21.8%18.4%4.8%0.8%39.6M-840.7M-9.4M1.443.7422,60032,579366,121548,871
2010-12-02$113.74$110.0014.8%4.4%16.4%17.5%17.2%4.1%0.6%57.4M-1.10B-9.2M1.033.6918,76519,415363,707557,902
2010-12-03$113.94$110.0013.4%4.0%15.0%11.6%14.3%3.3%0.9%67.1M-1.17B-8.7M0.844.8620,05016,875366,077555,219
2010-12-06$113.74$110.0013.6%4.1%15.0%12.2%13.9%3.3%0.7%76.8M-1.14B-8.7M0.623.9615,4539,548376,075560,068
2010-12-07$113.73$110.0013.8%4.1%14.9%12.9%14.7%3.0%0.7%76.7M-1.12B-8.6M1.144.3815,18517,265376,448562,312
2010-12-08$113.89$110.0013.3%4.0%14.9%11.0%16.1%2.9%0.8%78.0M-1.20B-8.5M1.364.748,25711,255380,404566,491
2010-12-09$113.92$110.0013.1%3.9%14.9%10.2%15.3%2.5%1.0%89.2M-1.21B-8.2M1.115.2318,35420,321378,366565,114
2010-12-10$114.29$110.0014.1%4.0%14.7%14.3%15.2%2.6%0.9%96.4M-1.31B-8.2M0.504.3429,73514,909384,447572,366
2010-12-13$114.49$110.0016.2%4.2%14.4%23.1%14.8%3.5%0.8%115.3M-1.35B-8.0M0.543.9030,58816,474382,490576,746
2010-12-14$115.01$110.0015.2%4.1%14.4%19.0%15.3%3.5%0.7%146.4M-1.47B-8.0M1.143.7525,42328,902385,196581,610
2010-12-15$114.89$110.0014.1%4.0%13.0%14.3%15.0%3.8%0.9%153.8M-1.44B-8.1M0.823.9527,14522,148392,208587,465
2010-12-16$115.24$110.0013.6%3.9%13.0%12.3%14.0%3.9%1.3%136.0M-1.45B-7.9M0.614.7493,92857,455382,586592,479
2010-12-17$114.95$111.0012.7%3.7%12.1%8.5%13.2%3.7%1.5%473.2M-307.5M-7.8M0.933.9230,87728,862317,521628,681
2010-12-20$114.75$111.0012.5%3.6%12.1%7.6%13.6%3.6%1.6%34.2M-575.9M-7.8M1.774.0312,60922,368285,690425,090
2010-12-21$115.31$112.0012.8%3.7%12.1%9.0%13.2%3.7%1.4%34.1M-643.2M-7.9M1.473.1611,28216,547284,486439,261
2010-12-22$115.58$112.0011.8%3.4%10.9%4.7%12.2%3.5%1.7%31.3M-684.0M-7.8M0.792.4410,1238,016287,073446,561
2010-12-23$115.73$112.0012.2%3.5%10.1%6.4%13.4%3.4%1.8%32.4M-710.2M-8.1M1.404.318,32511,662291,135448,143
2010-12-27$115.54$112.0013.0%3.7%9.0%9.5%13.8%3.7%1.7%35.3M-676.2M-7.9M1.253.5021,73127,138295,535454,819
2010-12-28$115.79$112.0012.7%3.7%9.0%8.6%13.8%3.4%1.9%34.1M-704.0M-8.4M1.082.9512,43013,409309,315476,437
2010-12-29$115.65$111.7512.6%3.6%8.7%8.0%13.6%3.4%1.8%39.2M-752.5M-8.3M1.073.155,5835,977309,315476,437
2010-12-30$115.45$111.7510.4%3.6%4.7%0.0%13.3%3.4%2.0%40.7M-701.8M-8.4M2.855.067,42821,202315,262484,129
2010-12-31$115.63$112.7513.0%3.7%3.5%10.8%15.0%3.4%1.9%30.1M-685.8M-8.6M1.105.6111,83513,003311,103496,640