DIA Options History — March 2011

In March 2011, DIA traded between $116.39 and $123.24. ATM implied volatility averaged 15.5%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.1% (HV 20d: 14.5%). Max pain ranged from $117.75 to $121.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.47.

Notable Days

2011-03-16: Highest Volume — 142,075 contracts
2011-03-29: Largest IV drop — 30.7% change
2011-03-16: Highest IV Rank — 52.1%
2011-03-16: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.63	$116.39	$123.24	$120.13	$123.02
Max Pain	$119.35	$117.75	$121.00	$117.75	$120.00
ATM IV	15.5%	11.4%	22.6%	15.8%	12.4%
Expected Move	4.4%	3.5%	6.5%	4.5%	3.5%
HV 20d	14.5%	10.6%	17.1%	11.5%	14.3%
HV 60d	10.3%	8.1%	11.7%	8.1%	11.7%
IV Rank	23.0%	5.9%	52.1%	24.2%	9.9%
IV Percentile	45.5%	4.8%	90.5%	50.0%	15.9%
Term Structure	0.6%	-1.3%	1.7%	0.1%	1.7%
VWIV	16.3%	13.8%	22.4%	13.8%	14.0%
Skew 25d	5.6%	3.9%	9.1%	5.7%	4.0%
Skew 10d	11.4%	8.6%	18.5%	12.0%	8.9%
Call IV 25d	13.2%	10.6%	18.7%	13.4%	10.6%
Put IV 25d	18.8%	14.6%	27.9%	19.1%	14.6%
Bid-Ask Spread %	8.50	5.01	13.13	10.42	5.30
Gamma HHI	0.06	0.04	0.16	0.04	0.06
Net GEX	-14.8M	-104.9M	61.3M	-16.9M	51.0M
Net DEX	-369.9M	-1.22B	1.10B	-245.8M	-1.15B
Net VEX	-10.4M	-11.1M	-9.9M	-10.3M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.82	2.37	1.37	1.26
Total Volume	62,102.652	23,361	142,075	56,959	30,331
Total OI	735,523.087	606,312	873,610	711,722	663,742

Daily Data (23 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
2011-03-01	$120.13	$117.75	15.8%	4.5%	11.5%	24.2%	13.8%	5.7%	0.1%	-16.9M	-245.8M	-10.3M	1.37	10.42	24,074	32,885	298,024	413,698
2011-03-02	$120.40	$117.75	15.4%	4.4%	10.6%	22.5%	16.0%	5.7%	0.5%	-12.6M	-326.6M	-10.5M	1.73	8.10	13,814	23,838	307,896	418,277
2011-03-03	$122.34	$117.75	13.4%	3.8%	12.0%	14.1%	15.7%	5.3%	1.0%	22.0M	-864.3M	-10.5M	1.57	9.17	27,008	42,401	311,070	423,485
2011-03-04	$121.52	$117.75	14.1%	4.0%	12.3%	17.0%	14.8%	5.2%	0.2%	-14.5M	-537.2M	-10.7M	1.64	10.70	24,935	40,852	312,158	443,419
2011-03-07	$120.79	$118.00	15.7%	4.5%	12.5%	23.6%	15.8%	5.7%	-0.1%	-27.8M	-323.1M	-10.7M	1.33	8.92	32,074	42,740	317,493	450,324
2011-03-08	$121.94	$118.00	15.0%	4.3%	12.8%	20.8%	16.7%	5.2%	0.1%	1.7M	-705.1M	-10.7M	1.77	8.21	23,909	42,201	326,024	457,116
2011-03-09	$121.80	$118.00	15.6%	4.4%	12.5%	23.1%	15.4%	5.3%	0.2%	-23.3M	-523.8M	-10.9M	1.19	10.62	26,688	31,849	329,750	480,189
2011-03-10	$119.81	$121.00	17.1%	4.9%	13.8%	29.2%	17.6%	5.8%	0.3%	-68.3M	100.0M	-11.1M	2.37	6.63	25,462	60,294	338,874	487,212
2011-03-11	$120.62	$121.00	15.6%	4.5%	14.1%	23.2%	16.2%	5.5%	0.9%	-38.5M	-278.6M	-10.8M	0.82	6.02	32,532	26,610	343,287	476,695
2011-03-14	$119.85	$120.00	16.3%	4.7%	14.1%	26.2%	17.4%	5.6%	0.5%	-60.4M	-45.2M	-10.5M	1.44	6.83	31,834	45,839	351,001	479,116
2011-03-15	$118.46	$120.00	18.9%	5.4%	14.6%	36.9%	19.1%	7.2%	-0.3%	-72.9M	423.4M	-10.4M	1.53	12.64	48,423	74,081	354,990	477,619
2011-03-16	$116.39	$120.00	22.6%	6.5%	15.7%	52.1%	22.4%	9.1%	-1.3%	-87.0M	1.10B	-10.4M	1.35	9.42	60,577	81,498	364,714	484,792
2011-03-17	$117.63	$120.00	19.2%	5.5%	16.2%	37.9%	20.4%	8.3%	-0.5%	-85.4M	633.4M	-10.6M	1.47	13.13	28,968	42,544	378,362	491,167
2011-03-18	$118.41	$120.00	18.2%	5.2%	16.4%	34.0%	18.6%	7.7%	0.1%	-104.9M	366.4M	-10.7M	1.21	9.68	44,648	53,804	375,890	497,720
2011-03-21	$120.01	$119.00	15.3%	4.4%	17.1%	21.8%	16.4%	6.3%	1.0%	3.4M	-405.3M	-10.4M	1.46	8.84	16,962	24,748	295,824	310,488
2011-03-22	$119.90	$119.00	14.9%	4.3%	16.4%	20.3%	15.9%	5.5%	1.0%	-2.0M	-375.4M	-10.4M	1.47	8.31	12,207	17,883	299,566	316,791
2011-03-23	$120.63	$120.00	13.9%	4.0%	16.3%	16.0%	15.1%	4.7%	1.2%	10.0M	-566.2M	-10.3M	1.25	8.34	18,134	22,696	303,969	318,289
2011-03-24	$121.46	$120.00	13.9%	4.0%	16.4%	16.3%	15.0%	4.5%	1.1%	27.6M	-805.9M	-10.2M	1.67	7.53	14,785	24,663	307,462	321,973
2011-03-25	$122.04	$120.00	12.8%	3.7%	16.3%	11.5%	14.4%	4.4%	1.6%	33.7M	-923.5M	-10.2M	1.34	6.99	17,397	23,258	309,170	327,925
2011-03-28	$121.53	$120.00	16.4%	4.0%	16.1%	26.7%	14.6%	4.5%	1.2%	19.4M	-774.4M	-10.0M	1.43	7.35	9,604	13,757	311,536	331,636
2011-03-29	$122.62	$120.00	11.4%	3.6%	15.3%	5.9%	13.9%	4.5%	1.6%	44.5M	-1.06B	-9.9M	1.27	7.29	16,834	21,360	312,816	336,083
2011-03-30	$123.24	$120.00	13.5%	3.6%	15.3%	14.6%	15.0%	3.9%	1.5%	61.3M	-1.22B	-9.9M	1.82	5.01	20,338	37,022	316,097	343,302
2011-03-31	$123.02	$120.00	12.4%	3.5%	14.3%	9.9%	14.0%	4.0%	1.7%	51.0M	-1.15B	-9.9M	1.26	5.30	13,397	16,934	316,775	346,967