DIA Options History — April 2011

In April 2011, DIA traded between $121.79 and $128.04. ATM implied volatility averaged 11.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.2% (HV 20d: 10.6%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2011-04-29: Highest Volume — 72,003 contracts
  • 2011-04-12: Largest IV spike — 14.6% change
  • 2011-04-12: Highest IV Rank — 16.6%
  • 2011-04-12: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.11$121.79$128.04$123.54$128.04
Max Pain$122.50$120.00$124.00$120.00$124.00
ATM IV11.9%10.8%14.0%11.1%11.5%
Expected Move3.6%3.1%4.2%3.2%3.3%
HV 20d10.6%8.2%14.1%14.1%9.8%
HV 60d11.9%11.6%12.4%11.7%12.0%
IV Rank8.0%3.3%16.6%4.8%6.3%
IV Percentile11.2%2.0%31.3%3.6%6.7%
Term Structure0.9%-0.0%2.1%2.1%0.6%
VWIV13.2%11.7%14.4%12.6%11.7%
Skew 25d4.3%2.9%5.3%3.5%3.0%
Skew 10d9.0%5.9%11.6%6.7%6.2%
Call IV 25d10.9%9.6%12.3%10.2%10.2%
Put IV 25d15.2%12.5%17.6%13.7%13.2%
Bid-Ask Spread %8.116.8810.0610.069.50
Gamma HHI0.070.050.090.060.08
Net GEX50.0M-429.2K102.4M52.5M102.4M
Net DEX-1.04B-1.89B-420.1M-1.10B-1.89B
Net VEX-9.9M-10.4M-9.6M-9.9M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.522.591.250.52
Total Volume47,455.2522,46972,00342,25972,003
Total OI640,440.7541,944697,879618,572697,879

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$123.54$120.0011.1%3.2%14.1%4.8%12.6%3.5%2.1%52.5M-1.10B-9.9M1.2510.0618,81823,441297,073321,499
2011-04-04$123.80$121.0011.9%3.9%13.9%7.9%13.8%5.0%1.1%60.0M-1.15B-9.7M1.637.068,54213,927302,459326,788
2011-04-05$123.65$121.0011.0%3.8%13.6%4.3%13.1%4.9%1.2%46.3M-1.09B-9.7M1.357.2420,73927,993303,351330,878
2011-04-06$123.99$122.0011.1%3.8%13.6%4.5%13.9%4.6%0.3%65.9M-1.21B-9.8M2.597.6111,48929,736312,664336,362
2011-04-07$123.85$122.0011.0%3.8%12.0%4.1%14.0%4.8%1.3%61.8M-1.15B-9.8M2.008.8014,28028,614313,373339,630
2011-04-08$123.63$122.0011.6%3.8%11.9%6.7%14.3%5.1%1.3%42.6M-1.05B-10.0M2.208.229,47620,855316,576344,620
2011-04-11$123.60$122.0012.2%3.8%11.5%9.3%14.4%5.1%1.3%41.7M-1.01B-9.8M2.507.748,69121,758317,840350,652
2011-04-12$122.30$122.0014.0%4.2%11.4%16.6%14.4%5.3%0.5%-429.2K-623.7M-9.9M2.257.4020,50146,098318,673355,997
2011-04-13$122.42$123.0012.9%4.1%8.8%12.0%14.3%5.2%0.6%14.2M-662.1M-9.8M2.117.6210,75022,725322,564352,484
2011-04-14$122.69$123.0012.7%3.6%8.3%11.1%13.6%5.0%1.0%19.6M-762.8M-9.8M1.717.7517,12929,337323,678358,365
2011-04-15$123.30$123.0012.3%3.5%8.2%9.5%13.0%4.8%1.1%52.3M-712.6M-9.6M1.578.2824,30938,230304,908364,069
2011-04-18$121.79$123.0013.0%3.7%8.6%12.6%13.8%4.8%0.8%13.1M-420.1M-9.8M0.799.9539,84031,652268,083273,861
2011-04-19$122.39$122.0012.5%3.6%8.7%10.3%12.9%4.4%0.9%29.6M-594.1M-10.0M1.008.5212,64812,607294,282283,828
2011-04-20$124.24$122.0011.7%3.4%9.8%7.3%12.1%3.9%0.7%48.4M-958.4M-9.9M0.657.7128,39118,386295,064290,021
2011-04-21$124.79$123.0010.8%3.1%9.7%3.3%11.7%3.5%1.5%64.7M-1.07B-10.0M1.186.9615,91618,816302,847295,365
2011-04-25$124.56$123.0011.6%3.3%9.7%6.6%13.0%3.9%1.0%54.4M-1.00B-10.0M2.577.4711,62129,876305,967306,526
2011-04-26$125.48$124.0012.5%3.6%9.7%10.4%12.4%3.6%-0.0%48.5M-1.16B-10.2M0.807.6439,27431,248310,258327,075
2011-04-27$126.69$124.0011.5%3.3%9.8%6.5%12.8%3.4%0.7%81.5M-1.49B-10.4M0.866.8834,59229,636328,885334,770
2011-04-28$127.38$124.0011.3%3.2%9.8%5.3%11.7%2.9%0.9%101.3M-1.74B-10.0M1.639.7220,94034,221340,141339,459
2011-04-29$128.04$124.0011.5%3.3%9.8%6.3%11.7%3.0%0.6%102.4M-1.89B-10.3M0.529.5047,33524,668346,769351,110