DIA Options History — July 2011

In July 2011, DIA traded between $121.13 and $127.24. ATM implied volatility averaged 15.5%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.4% (HV 20d: 13.1%). Max pain ranged from $122.00 to $124.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-07-29: Highest Volume — 102,112 contracts
  • 2011-07-11: Largest IV spike — 32.2% change
  • 2011-07-29: Highest IV Rank — 97.0%
  • 2011-07-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.97$121.13$127.24$125.58$121.13
Max Pain$123.55$122.00$124.00$122.00$124.00
ATM IV15.5%11.7%22.2%11.7%22.2%
Expected Move4.5%3.3%6.4%3.3%6.4%
HV 20d13.1%11.5%14.3%13.4%14.0%
HV 60d12.7%12.2%13.3%12.5%13.3%
IV Rank43.9%11.7%97.0%11.7%97.0%
IV Percentile56.1%9.5%99.2%9.5%99.2%
Term Structure-0.1%-3.8%1.5%1.5%-3.8%
VWIV16.3%13.0%21.8%13.0%21.8%
Skew 25d5.2%2.7%8.4%2.7%8.4%
Skew 10d10.2%5.2%13.5%5.2%13.3%
Call IV 25d13.7%11.1%17.7%11.1%17.7%
Put IV 25d18.9%13.8%26.1%13.8%26.1%
Bid-Ask Spread %8.534.8837.455.1237.45
Gamma HHI0.070.050.100.080.05
Net GEX38.7M-4.6M67.5M65.5M-4.6M
Net DEX-686.2M-1.41B145.1M-1.05B145.1M
Net VEX-10.5M-11.6M-9.6M-9.9M-11.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.551.820.901.26
Total Volume54,822.325,218102,11260,666102,112
Total OI613,262.3537,935677,399591,967677,399

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$125.58$122.0011.7%3.3%13.4%11.7%13.0%2.7%1.5%65.5M-1.05B-9.9M0.905.1231,85128,815289,130302,837
2011-07-05$125.71$122.0012.3%3.8%13.3%15.7%13.7%4.2%0.5%55.3M-1.02B-9.9M0.896.9918,63216,563289,886311,045
2011-07-06$126.14$122.0012.2%3.9%13.2%17.9%14.5%4.2%0.5%60.2M-1.14B-9.6M0.987.5423,90023,517290,642316,044
2011-07-07$127.10$123.0011.9%3.8%13.2%15.0%13.8%4.1%0.6%67.5M-1.41B-9.7M0.7510.6824,07717,954299,281325,048
2011-07-08$126.60$123.0011.9%3.8%13.4%15.0%14.1%4.1%0.5%62.9M-1.24B-9.9M1.256.0620,57025,613301,686327,214
2011-07-11$124.95$123.0015.7%4.4%13.2%45.2%15.7%5.4%0.2%46.8M-826.8M-10.2M1.826.4218,95834,414302,985331,326
2011-07-12$124.53$124.0016.6%4.6%13.3%52.7%16.0%5.7%0.3%40.9M-612.5M-10.4M1.337.1018,75524,937303,710332,319
2011-07-13$124.64$124.0015.2%4.6%12.9%41.4%16.8%5.4%0.3%46.6M-658.4M-10.4M1.066.1725,85427,337307,192336,327
2011-07-14$124.23$124.0016.9%4.8%11.5%54.5%17.4%5.6%-0.1%38.7M-546.5M-10.3M0.557.0961,73234,185312,341338,994
2011-07-15$124.76$124.0015.3%4.4%11.5%42.4%16.7%5.7%0.7%35.6M-446.7M-10.3M1.005.5533,44633,289294,032342,525
2011-07-18$123.62$124.0016.4%4.7%12.2%51.0%17.1%6.1%0.3%22.7M-353.7M-10.6M1.186.3423,64428,016265,198272,737
2011-07-19$125.40$124.0015.7%4.5%12.9%45.0%16.1%5.5%0.2%39.6M-706.7M-10.8M0.987.7920,27919,915278,747284,439
2011-07-20$125.46$124.0015.7%4.5%12.8%45.2%15.7%5.2%0.1%31.9M-674.5M-10.8M1.228.4611,36513,853278,760290,391
2011-07-21$127.24$124.0014.6%4.2%13.2%36.6%15.0%4.5%-0.1%48.0M-1.00B-10.7M0.885.0126,45923,349282,481294,747
2011-07-22$126.60$124.0014.4%4.1%13.3%34.9%15.0%4.3%0.0%40.6M-861.3M-10.8M1.224.8812,45215,169286,550303,903
2011-07-25$125.75$124.0015.9%4.6%13.1%47.1%16.1%5.0%-0.4%36.1M-712.5M-10.8M0.8414.4630,64725,710289,584306,267
2011-07-26$124.83$124.0016.8%4.8%13.3%54.0%17.4%5.3%-0.5%26.5M-496.6M-11.0M1.255.4525,82532,234296,878312,273
2011-07-27$122.74$124.0019.4%5.6%14.3%74.3%19.7%6.3%-1.6%13.2M-120.4M-11.3M1.475.4836,29253,335308,750319,416
2011-07-28$122.31$124.0020.3%5.8%14.2%81.9%19.7%6.8%-1.8%299.4K16.9M-11.6M1.366.5421,74329,648321,688340,474
2011-07-29$121.13$124.0022.2%6.4%14.0%97.0%21.8%8.4%-3.8%-4.6M145.1M-11.6M1.2637.4545,18456,928329,056348,343