DIA Options History — January 2011

In January 2011, DIA traded between $116.20 and $119.64. ATM implied volatility averaged 12.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 7.1% (HV 20d: 5.1%). Max pain ranged from $112.75 to $118.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2011-01-20: Highest Volume — 188,050 contracts
  • 2011-01-28: Largest IV spike — 23.7% change
  • 2011-01-28: Highest IV Rank — 16.4%
  • 2011-01-28: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.82$116.20$119.64$116.41$118.60
Max Pain$115.74$112.75$118.00$112.75$118.00
ATM IV12.2%11.0%14.3%12.0%13.6%
Expected Move3.6%3.3%4.1%3.4%3.9%
HV 20d5.1%4.0%7.8%4.1%7.8%
HV 60d10.3%10.0%10.5%10.5%10.5%
IV Rank7.3%2.2%16.4%6.6%13.2%
IV Percentile8.3%0.8%32.9%4.0%25.4%
Term Structure1.0%0.0%2.0%2.0%0.5%
VWIV13.4%12.4%15.2%12.8%14.6%
Skew 25d3.6%2.4%5.3%2.6%5.3%
Skew 10d7.7%4.6%11.8%4.6%10.1%
Call IV 25d11.3%10.2%12.5%11.3%11.5%
Put IV 25d14.9%13.2%17.3%13.9%16.8%
Bid-Ask Spread %5.183.2213.463.563.89
Gamma HHI0.070.050.080.080.05
Net GEX17.6M-14.2M38.1M18.8M141.3K
Net DEX-913.4M-1.38B-421.9M-842.8M-628.3M
Net VEX-8.4M-9.4M-7.8M-8.2M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.372.151.741.16
Total Volume55,379.222,655188,05027,87956,205
Total OI744,723.8577,098864,263734,123699,527

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$116.41$112.7512.0%3.4%4.1%6.6%12.8%2.6%2.0%18.8M-842.8M-8.2M1.743.5610,16017,719297,079437,044
2011-01-04$116.64$112.7512.0%3.4%4.0%6.6%12.5%2.7%1.9%21.0M-869.2M-8.3M1.393.8810,15114,153298,886444,898
2011-01-05$117.04$112.7511.7%3.4%4.0%5.4%12.4%2.4%1.9%24.3M-942.1M-8.4M1.203.2210,45212,594304,030451,866
2011-01-06$116.78$112.7512.0%3.4%4.2%6.7%12.5%2.8%2.0%21.8M-891.3M-8.4M0.843.5317,09714,302306,897456,009
2011-01-07$116.57$114.7511.4%3.9%4.3%4.1%15.2%4.0%0.8%15.8M-820.2M-8.5M1.953.8511,04921,509311,219461,645
2011-01-10$116.20$115.0012.1%4.0%4.5%6.9%14.8%4.1%0.8%9.3M-747.8M-8.5M2.154.229,71920,937310,262467,422
2011-01-11$116.55$115.0011.2%3.8%4.6%3.0%14.2%3.9%1.0%22.1M-877.0M-8.2M1.474.529,18113,474312,712469,176
2011-01-12$117.40$115.7511.0%3.6%4.9%2.2%13.8%3.5%0.8%28.5M-1.08B-8.1M1.813.4912,39422,401313,050472,792
2011-01-13$117.20$115.7513.1%3.7%5.0%11.0%13.3%3.2%0.7%23.1M-1.02B-8.0M1.185.4713,80516,221315,252479,768
2011-01-14$117.69$115.7512.1%3.5%5.1%6.9%12.8%3.1%0.8%36.3M-1.16B-7.8M1.363.8620,49227,777319,386482,121
2011-01-18$118.23$116.0011.9%3.4%5.0%6.3%12.4%3.4%1.1%38.1M-1.38B-7.8M1.6313.4618,85230,638324,988491,911
2011-01-19$118.16$116.0012.8%3.7%5.0%9.9%13.6%3.6%0.9%14.6M-1.22B-8.0M1.845.0428,90053,091326,306497,810
2011-01-20$118.12$116.7513.1%3.7%4.8%11.0%14.2%4.5%0.7%16.0M-1.16B-8.3M0.376.46137,42750,623339,712524,551
2011-01-21$118.46$116.7512.6%3.6%4.8%8.9%13.5%4.2%0.8%16.2M-697.4M-8.3M0.965.5435,32533,804294,498537,138
2011-01-24$119.56$116.7511.8%3.4%5.6%5.7%12.9%3.7%0.9%18.5M-865.2M-8.2M1.214.4128,67034,832242,665334,433
2011-01-25$119.49$117.7511.7%3.4%5.5%5.4%12.8%3.9%0.7%14.9M-849.9M-8.6M1.494.1219,17628,579259,534354,625
2011-01-26$119.61$117.7511.7%3.4%5.5%5.3%12.5%3.4%0.7%15.5M-904.7M-8.6M0.945.0937,21235,004266,510362,349
2011-01-27$119.64$118.0011.6%3.3%5.5%4.9%12.4%3.5%0.7%11.8M-899.8M-8.8M0.736.3024,60117,845277,139374,336
2011-01-28$118.02$118.0014.3%4.1%7.7%16.4%14.6%4.8%0.0%-14.2M-421.9M-9.4M1.649.7449,63781,576294,221380,709
2011-01-31$118.60$118.0013.6%3.9%7.8%13.2%14.6%5.3%0.5%141.3K-628.3M-9.3M1.163.8926,07930,126306,687392,840