DIA Options History — June 2011

In June 2011, DIA traded between $119.04 and $123.83. ATM implied volatility averaged 16.0%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.6% (HV 20d: 13.4%). Max pain ranged from $122.00 to $124.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2011-06-23: Highest Volume — 84,479 contracts
  • 2011-06-29: Largest IV drop — 26.5% change
  • 2011-06-27: Highest IV Rank — 45.4%
  • 2011-06-24: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.79$119.04$123.83$122.70$123.83
Max Pain$122.77$122.00$124.00$123.00$122.00
ATM IV16.0%11.7%21.0%14.9%11.7%
Expected Move4.4%3.3%5.0%4.3%3.3%
HV 20d13.4%12.2%14.8%13.1%13.2%
HV 60d11.8%11.3%12.5%12.5%12.2%
IV Rank25.1%10.2%45.4%20.4%10.2%
IV Percentile58.1%9.1%93.7%48.0%9.1%
Term Structure0.4%-0.3%2.0%0.1%2.0%
VWIV15.7%13.1%18.1%13.9%13.1%
Skew 25d4.9%3.5%6.5%4.8%3.5%
Skew 10d9.8%7.5%14.5%9.7%7.9%
Call IV 25d13.4%10.4%15.0%13.3%10.4%
Put IV 25d18.3%13.9%21.3%18.1%13.9%
Bid-Ask Spread %7.075.2812.2012.206.86
Gamma HHI0.070.060.130.070.08
Net GEX-46.4M-99.2M57.0M-25.7M57.0M
Net DEX366.7M-764.2M1.09B62.3M-764.2M
Net VEX-9.6M-10.1M-8.9M-9.7M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.792.450.791.07
Total Volume53,321.77335,40184,47956,62567,666
Total OI697,245.364561,740803,002695,478651,160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$122.70$123.0014.9%4.3%13.1%20.4%13.9%4.8%0.1%-25.7M62.3M-9.7M0.7912.2031,58825,037333,963361,515
2011-06-02$122.31$123.0015.4%4.4%13.0%22.3%15.5%4.7%-0.3%-26.9M145.4M-9.7M1.637.3222,95437,454343,371365,855
2011-06-03$121.15$123.0015.2%4.4%12.9%21.6%15.6%4.3%-0.1%-59.9M484.0M-9.7M2.4510.2723,31657,177347,674380,342
2011-06-06$120.73$123.0015.4%4.4%12.8%22.2%15.0%4.0%-0.2%-70.6M600.4M-10.0M1.838.0516,50430,191353,570391,126
2011-06-07$120.49$123.0015.4%4.4%12.5%22.4%14.3%4.0%0.2%-72.5M605.2M-9.7M0.956.9418,18617,326356,718395,818
2011-06-08$120.30$123.0015.6%4.5%12.2%23.1%15.8%3.8%-0.1%-79.6M725.7M-9.9M1.408.2218,60826,086362,046398,360
2011-06-09$121.08$124.0014.9%4.3%12.4%20.3%14.8%4.3%0.5%-63.8M421.8M-9.5M1.276.2015,68919,920365,914401,777
2011-06-10$119.35$124.0015.8%4.5%12.8%24.1%15.4%4.6%0.2%-92.6M965.5M-9.3M1.205.2926,08031,273366,730404,841
2011-06-13$119.50$124.0016.2%4.6%12.7%25.5%15.8%4.8%0.4%-96.0M929.2M-9.2M1.155.9023,09526,606372,615408,889
2011-06-14$120.83$124.0014.5%4.2%13.6%18.7%14.9%4.3%0.7%-74.0M478.1M-9.1M0.995.2820,28220,028374,692408,579
2011-06-15$119.04$123.0016.7%4.8%14.3%27.7%16.9%5.7%0.4%-99.2M1.09B-8.9M1.378.9327,19537,236375,254411,610
2011-06-16$119.60$123.0017.3%5.0%14.1%30.2%18.1%6.5%0.3%-78.4M835.7M-9.5M1.756.3926,74646,794377,465406,746
2011-06-17$119.74$123.0017.0%4.9%14.0%29.1%16.8%6.3%0.4%-84.8M798.1M-9.8M1.266.6734,85643,957380,974422,028
2011-06-20$120.52$122.0015.6%4.5%14.0%23.2%16.4%5.6%0.7%-23.0M160.6M-9.6M1.096.1017,72819,307258,480303,260
2011-06-21$121.32$122.0015.9%4.6%13.8%24.4%16.4%5.0%0.5%-12.4M-1.0M-9.8M1.229.8719,17223,458268,795313,385
2011-06-22$120.65$122.0014.8%4.3%13.9%20.1%15.0%4.7%1.1%-27.5M166.2M-9.8M1.145.8216,71519,021272,213319,426
2011-06-23$120.32$122.0016.0%4.6%13.9%24.9%16.4%5.3%0.6%-34.1M268.2M-9.7M1.025.3241,80642,673275,391319,623
2011-06-24$119.24$122.0019.4%5.0%14.0%38.8%17.6%5.5%0.0%-40.4M441.7M-9.8M1.575.7413,75621,645284,675327,164
2011-06-27$120.34$122.0021.0%4.9%14.5%45.4%16.8%5.7%-0.0%-23.2M180.9M-9.7M0.925.5820,58018,951288,272326,951
2011-06-28$121.85$122.0018.8%4.3%14.8%36.3%16.3%5.5%0.7%-2.6M-157.9M-9.9M0.966.1020,29819,582292,571332,879
2011-06-29$122.52$122.0013.8%3.6%12.7%21.9%14.1%4.4%1.6%8.3M-369.1M-9.8M1.156.4330,99235,545298,030338,651
2011-06-30$123.83$122.0011.7%3.3%13.2%10.2%13.1%3.5%2.0%57.0M-764.2M-10.1M1.076.8632,67034,996308,786342,374