DIA Options History — August 2011

In August 2011, DIA traded between $107.17 and $121.11. ATM implied volatility averaged 29.5%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.6% (HV 20d: 34.0%). Max pain ranged from $115.00 to $123.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2011-08-08: Highest Volume — 195,827 contracts
2011-08-08: Largest IV spike — 68.9% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.16	$107.17	$121.11	$121.11	$115.95
Max Pain	$118.05	$115.00	$123.00	$123.00	$115.75
ATM IV	29.5%	20.3%	49.4%	21.2%	25.4%
Expected Move	8.0%	5.8%	10.2%	6.1%	7.3%
HV 20d	34.0%	12.8%	43.5%	12.8%	42.8%
HV 60d	22.8%	13.1%	27.0%	13.1%	27.0%
IV Rank	61.3%	35.7%	100.0%	89.1%	39.2%
IV Percentile	97.4%	93.3%	100.0%	97.2%	93.3%
Term Structure	-1.4%	-5.4%	0.1%	-2.4%	-1.1%
VWIV	28.2%	21.0%	34.8%	21.5%	26.6%
Skew 25d	10.6%	5.7%	14.1%	6.0%	9.3%
Skew 10d	20.4%	11.5%	28.6%	11.6%	17.1%
Call IV 25d	23.3%	18.1%	29.0%	18.7%	21.4%
Put IV 25d	33.9%	23.8%	43.2%	24.8%	30.8%
Bid-Ask Spread %	13.61	6.03	27.18	8.53	9.57
Gamma HHI	0.04	0.02	0.10	0.05	0.04
Net GEX	-14.0M	-39.6M	12.5M	-14.5M	12.5M
Net DEX	1.09B	-61.9M	2.29B	295.7M	-61.9M
Net VEX	-11.5M	-13.0M	-10.3M	-11.6M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.48	1.71	1.28	0.94
Total Volume	89,634.913	40,018	195,827	120,199	44,149
Total OI	857,273.13	706,833	1,022,729	706,833	821,219

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
2011-08-01	$121.11	$123.00	21.2%	6.1%	12.8%	89.1%	21.5%	6.0%	-2.4%	-14.5M	295.7M	-11.6M	1.28	8.53	52,658	67,541	341,739	365,094
2011-08-02	$118.31	$123.00	23.0%	6.6%	14.9%	100.0%	22.2%	6.5%	-2.9%	-31.0M	806.4M	-11.3M	0.82	7.88	39,473	32,543	356,931	378,911
2011-08-03	$118.51	$123.00	20.3%	5.8%	14.8%	79.3%	21.0%	5.7%	-0.9%	-35.8M	797.1M	-11.5M	0.48	8.07	104,132	50,056	366,511	390,208
2011-08-04	$113.98	$123.00	30.7%	8.8%	19.0%	100.0%	28.8%	9.4%	-5.4%	-32.7M	1.49B	-11.1M	0.74	25.02	79,603	58,858	397,690	401,032
2011-08-05	$114.42	$119.75	29.3%	7.2%	19.2%	93.1%	25.7%	9.9%	-0.4%	-31.4M	1.44B	-11.4M	1.38	13.86	78,603	108,296	404,382	411,143
2011-08-08	$108.07	$118.75	49.4%	10.2%	26.6%	100.0%	32.9%	14.1%	-2.5%	-30.4M	2.19B	-10.3M	0.93	21.52	101,333	94,494	420,539	427,803
2011-08-09	$112.36	$118.00	32.0%	7.7%	31.3%	56.0%	28.0%	10.5%	-0.8%	-15.8M	1.57B	-11.6M	1.18	19.11	59,883	70,864	461,589	445,311
2011-08-10	$107.17	$118.00	47.0%	9.8%	34.5%	93.9%	34.8%	14.0%	-1.5%	-19.5M	2.15B	-10.7M	1.00	22.92	65,055	65,216	475,040	456,631
2011-08-11	$111.27	$118.00	30.8%	8.8%	38.1%	52.7%	31.6%	12.0%	-1.2%	-3.7M	1.51B	-12.2M	0.66	10.48	57,170	37,560	496,049	467,322
2011-08-12	$113.07	$118.00	27.9%	8.0%	38.7%	45.4%	32.4%	10.9%	-1.0%	-6.4M	1.25B	-12.3M	1.71	14.82	34,524	59,184	487,474	474,190
2011-08-15	$114.35	$118.00	25.2%	7.2%	39.1%	38.6%	25.3%	9.1%	0.1%	-10.2M	997.7M	-13.0M	0.78	27.18	38,753	30,174	500,155	522,574
2011-08-16	$114.08	$118.00	25.7%	7.4%	38.5%	39.8%	25.4%	9.5%	-0.7%	-7.3M	1.04B	-12.1M	1.22	13.35	22,095	26,858	488,566	502,277
2011-08-17	$114.33	$118.00	24.0%	6.9%	38.5%	35.7%	24.0%	9.0%	-0.1%	-5.2M	1.03B	-11.7M	0.93	7.96	24,480	22,671	491,381	505,827
2011-08-18	$110.07	$117.75	31.8%	9.1%	39.6%	55.3%	30.9%	13.7%	-1.1%	-23.5M	1.89B	-11.0M	1.18	14.11	53,475	63,018	485,962	497,980
2011-08-19	$108.25	$116.75	34.2%	9.8%	39.7%	61.4%	32.6%	13.6%	-1.4%	-39.6M	2.29B	-10.6M	1.34	17.40	39,133	52,456	498,927	500,923
2011-08-22	$108.40	$115.00	32.7%	9.4%	39.8%	57.7%	32.7%	13.5%	-0.4%	-18.0M	1.19B	-10.8M	1.01	10.37	19,924	20,094	366,976	383,719
2011-08-23	$111.44	$115.00	28.1%	8.0%	41.7%	45.9%	30.1%	11.2%	-0.3%	-9.0M	812.4M	-11.3M	1.13	8.64	19,283	21,808	374,867	389,790
2011-08-24	$112.95	$115.00	27.2%	7.9%	42.0%	43.6%	28.3%	10.5%	-0.6%	-3.4M	594.6M	-11.7M	0.86	13.93	23,047	19,836	378,309	394,358
2011-08-25	$111.34	$116.00	31.7%	8.9%	42.2%	55.2%	30.9%	13.0%	-2.2%	-6.8M	795.6M	-11.6M	1.45	6.03	17,110	24,799	382,750	397,051
2011-08-26	$112.70	$116.00	27.9%	8.0%	42.6%	45.6%	29.8%	11.6%	-1.9%	-2.6M	590.0M	-11.7M	1.53	8.16	23,758	36,429	387,180	404,283
2011-08-29	$115.14	$115.75	25.9%	7.4%	43.5%	40.3%	26.4%	10.4%	-1.5%	6.7M	154.7M	-11.8M	1.41	9.11	19,183	27,104	389,467	416,446
2011-08-30	$115.35	$115.75	26.5%	7.6%	42.8%	41.8%	27.1%	9.7%	-1.1%	4.9M	206.2M	-11.8M	0.91	14.99	28,798	26,122	391,230	419,476
2011-08-31	$115.95	$115.75	25.4%	7.3%	42.8%	39.2%	26.6%	9.3%	-1.1%	12.5M	-61.9M	-11.9M	0.94	9.57	22,776	21,373	397,229	423,990