DIA Options History — February 2011

In February 2011, DIA traded between $120.08 and $123.64. ATM implied volatility averaged 12.4%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.5% (HV 20d: 8.9%). Max pain ranged from $115.00 to $120.75. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.25.

Notable Days

  • 2011-02-17: Highest Volume — 271,407 contracts
  • 2011-02-22: Largest IV spike — 36.7% change
  • 2011-02-24: Highest IV Rank — 25.3%
  • 2011-02-24: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.68$120.08$123.64$120.09$122.08
Max Pain$117.68$115.00$120.75$118.00$117.75
ATM IV12.4%10.0%16.1%12.5%13.7%
Expected Move3.6%3.1%4.6%3.6%3.9%
HV 20d8.9%8.2%10.7%8.5%9.7%
HV 60d9.2%7.5%10.1%10.1%7.5%
IV Rank9.3%0.0%25.3%8.7%15.2%
IV Percentile16.0%0.0%53.2%13.5%32.5%
Term Structure0.4%-0.0%1.0%0.6%0.0%
VWIV13.5%11.6%17.8%13.5%14.0%
Skew 25d4.3%3.5%6.4%3.6%5.0%
Skew 10d9.2%6.4%13.5%6.9%10.6%
Call IV 25d11.0%9.6%13.5%11.0%11.4%
Put IV 25d15.3%13.4%19.7%14.6%16.4%
Bid-Ask Spread %5.964.1111.464.909.51
Gamma HHI0.060.040.120.050.05
Net GEX37.3M-3.3M78.4M18.7M20.6M
Net DEX-1.35B-2.14B-324.5M-1.08B-836.3M
Net VEX-9.4M-10.6M-8.5M-9.4M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.132.360.751.44
Total Volume64,464.10535,593271,40764,78545,895
Total OI771,810644,663869,295723,097708,341

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$120.09$118.0012.5%3.6%8.5%8.7%13.5%3.6%0.6%18.7M-1.08B-9.4M0.754.9036,95627,829319,847403,250
2011-02-02$120.08$118.0012.2%3.5%8.6%7.6%13.0%3.7%0.8%27.2M-1.17B-10.0M1.317.3215,43220,161343,581410,712
2011-02-03$120.31$118.7511.8%3.4%8.5%5.7%12.7%3.5%1.0%29.0M-1.26B-9.0M1.734.3617,83730,858335,502414,324
2011-02-04$120.67$115.0010.5%3.4%8.4%0.3%12.5%4.1%0.4%27.3M-1.34B-9.0M2.364.2212,56229,595339,874423,177
2011-02-07$121.33$115.7510.7%3.3%8.4%1.2%12.9%3.9%0.4%44.2M-1.61B-8.5M1.634.4119,73432,083342,373436,321
2011-02-08$122.18$115.7510.7%3.3%8.4%1.3%12.4%3.6%0.3%49.7M-1.79B-8.8M0.864.1132,78828,092352,551445,425
2011-02-09$122.28$116.7510.0%3.2%8.4%0.0%12.2%3.7%0.3%51.4M-1.86B-9.0M1.094.5828,31431,004359,874452,358
2011-02-10$122.14$117.0011.7%3.4%8.3%7.3%13.7%3.9%0.4%53.6M-1.81B-9.0M2.264.8018,36741,556361,445465,354
2011-02-11$122.60$117.0011.1%3.2%8.2%4.8%12.1%3.9%0.5%62.4M-1.96B-8.9M1.255.9422,92028,671364,546475,184
2011-02-14$122.45$117.7511.5%3.3%8.2%6.4%12.9%4.0%0.4%43.7M-1.86B-8.8M0.734.9926,45819,282358,666483,561
2011-02-15$122.25$117.7512.2%3.5%8.3%9.1%13.0%4.3%0.3%45.2M-1.81B-9.1M1.405.7717,25224,121370,655489,782
2011-02-16$122.83$118.0011.9%3.4%8.3%7.9%12.7%4.0%0.4%67.2M-2.05B-8.8M1.054.2823,19824,307369,968493,944
2011-02-17$123.09$118.0011.9%3.4%8.3%8.2%13.5%3.8%0.5%78.4M-2.14B-9.4M0.134.45241,17530,232370,401498,894
2011-02-18$123.64$120.0010.9%3.1%8.3%3.8%11.6%3.8%0.9%70.0M-1.19B-9.4M1.026.6926,52526,990281,178509,861
2011-02-22$121.77$120.0014.9%4.3%9.9%20.2%15.6%5.3%0.0%19.5M-676.8M-10.2M1.906.2825,57648,630274,833369,830
2011-02-23$120.86$120.7516.0%4.6%10.3%24.8%16.2%6.4%0.0%824.4K-443.7M-10.5M1.265.4326,50033,399281,329384,963
2011-02-24$120.27$117.0016.1%4.6%10.5%25.3%17.8%6.0%-0.0%-3.3M-324.5M-10.6M1.1411.4630,70235,098290,902391,571
2011-02-25$121.04$117.0014.5%4.2%10.7%18.8%14.2%5.4%-0.0%3.3M-511.9M-10.5M0.479.7430,39214,327292,651397,362
2011-02-28$122.08$117.7513.7%3.9%9.7%15.2%14.0%5.0%0.0%20.6M-836.3M-10.5M1.449.5118,78427,111306,956401,385