DIA Options History — May 2011

In May 2011, DIA traded between $123.30 and $127.93. ATM implied volatility averaged 13.4%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.8% (HV 20d: 10.6%). Max pain ranged from $120.00 to $124.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2011-05-19: Highest Volume — 285,224 contracts
  • 2011-05-23: Largest IV spike — 12.9% change
  • 2011-05-23: Highest IV Rank — 22.3%
  • 2011-05-23: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.65$123.30$127.93$127.93$125.50
Max Pain$122.20$120.00$124.75$124.00$123.00
ATM IV13.4%12.0%15.4%12.2%12.8%
Expected Move3.9%3.5%4.4%3.5%3.7%
HV 20d10.6%9.7%11.6%9.8%10.6%
HV 60d12.2%11.5%12.6%12.0%11.6%
IV Rank14.1%8.5%22.3%9.2%11.7%
IV Percentile29.7%15.1%48.4%16.3%25.4%
Term Structure0.4%-0.7%1.1%0.7%0.4%
VWIV14.2%12.6%16.2%12.6%14.2%
Skew 25d4.4%3.2%5.6%3.2%4.0%
Skew 10d9.4%6.8%12.4%6.8%7.8%
Call IV 25d11.8%10.7%12.8%10.9%10.9%
Put IV 25d16.2%14.0%18.0%14.1%14.8%
Bid-Ask Spread %7.555.3812.875.798.28
Gamma HHI0.080.060.120.080.09
Net GEX33.6M-112.0M108.6M108.6M53.6M
Net DEX-957.5M-1.89B-83.6M-1.89B-744.0M
Net VEX-10.7M-12.0M-9.7M-10.9M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.061.881.030.70
Total Volume58,948.1924,990285,22452,07935,793
Total OI742,248.476614,929813,304730,375691,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$127.93$124.0012.2%3.5%9.8%9.2%12.6%3.2%0.7%108.6M-1.89B-10.9M1.035.7925,67926,400369,578360,797
2011-05-03$127.77$124.0012.0%3.5%9.9%8.5%12.7%3.2%1.1%96.0M-1.78B-11.2M1.515.3822,12133,344374,421370,244
2011-05-04$126.96$124.0012.6%3.6%10.2%11.0%13.0%3.6%1.1%77.6M-1.50B-11.8M1.885.5217,23932,459381,222378,214
2011-05-05$125.64$124.0014.2%4.1%11.0%17.6%14.7%5.6%0.2%47.1M-1.04B-12.0M1.4912.8625,42738,006376,153377,701
2011-05-06$125.99$120.0014.5%4.1%11.0%18.5%15.1%5.2%0.3%49.7M-1.12B-12.0M1.336.8424,75532,957382,504384,477
2011-05-09$126.62$120.0012.8%3.8%11.1%11.6%13.7%4.9%0.7%62.2M-1.36B-11.4M1.255.9918,46423,092381,937388,557
2011-05-10$127.31$120.0012.3%3.7%11.2%9.5%13.4%4.2%0.5%81.9M-1.61B-10.8M1.246.9914,39417,905382,998395,445
2011-05-11$126.31$120.0013.8%3.9%10.8%15.6%14.6%4.5%0.4%41.5M-1.19B-11.4M1.075.8723,76925,409385,693398,100
2011-05-12$127.06$120.0012.8%3.7%10.9%11.6%14.2%4.5%0.5%84.5M-1.53B-10.7M0.918.7717,99716,382389,030399,339
2011-05-13$125.91$120.0013.5%3.9%11.6%14.7%14.1%4.6%0.4%27.3M-1.08B-11.2M1.019.7520,72420,907389,648401,194
2011-05-16$125.47$121.0014.0%4.0%11.6%16.5%14.6%4.8%0.9%5.6M-910.3M-11.0M1.326.4913,82418,250393,533406,729
2011-05-17$124.81$121.0014.3%4.1%10.8%17.7%15.2%4.5%0.2%-21.9M-650.8M-10.8M1.827.3729,28753,158394,882408,903
2011-05-18$125.67$121.0012.9%3.7%10.9%12.1%14.1%4.4%0.4%44.0M-1.15B-10.4M1.816.5418,77834,002401,739411,565
2011-05-19$126.22$121.0012.2%3.5%9.7%9.3%14.5%4.1%0.5%62.3M-1.35B-9.7M0.066.87268,34116,883397,340405,516
2011-05-20$124.85$123.0013.6%3.9%10.5%15.1%13.8%5.2%0.2%-112.0M-123.6M-9.8M1.6312.8730,66150,113341,705409,386
2011-05-23$123.52$124.7515.4%4.4%11.1%22.3%16.2%5.1%-0.7%3.8M-196.6M-10.2M1.706.8624,67441,871300,033314,896
2011-05-24$123.30$124.7515.0%4.3%10.7%20.8%14.8%4.6%0.1%-11.5M-83.6M-10.4M1.756.039,08415,906307,933337,571
2011-05-25$123.65$124.7514.1%4.1%10.1%16.9%14.2%4.4%-0.3%-5.4M-167.5M-10.0M0.916.5813,14311,981310,256345,157
2011-05-26$124.01$123.0013.0%3.8%9.9%12.6%14.6%4.5%0.2%-400.8K-285.6M-10.0M0.869.1624,51420,996313,880349,369
2011-05-27$124.23$123.0013.3%3.8%9.7%13.8%13.6%4.1%0.4%11.0M-353.9M-10.0M0.817.6516,10813,115323,589354,318
2011-05-31$125.50$123.0012.8%3.7%10.6%11.7%14.2%4.0%0.4%53.6M-744.0M-9.7M0.708.2821,02914,764332,827358,839