DIA Options History — September 2011

In September 2011, DIA traded between $107.17 and $114.86. ATM implied volatility averaged 30.1%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.1% (HV 20d: 29.0%). Max pain ranged from $111.00 to $115.75. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-09-09: Highest Volume — 87,337 contracts
  • 2011-09-09: Largest IV spike — 23.1% change
  • 2011-09-30: Highest IV Rank — 65.3%
  • 2011-09-30: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.59$107.17$114.86$114.64$108.93
Max Pain$113.31$111.00$115.75$115.75$112.00
ATM IV30.1%25.0%35.7%25.9%35.7%
Expected Move8.6%7.2%10.2%7.4%10.2%
HV 20d29.0%24.1%41.3%40.7%28.5%
HV 60d28.7%27.1%30.4%27.1%30.4%
IV Rank51.1%38.2%65.3%40.4%65.3%
IV Percentile95.2%88.5%99.2%94.0%99.2%
Term Structure-1.0%-2.6%0.6%-1.2%-1.4%
VWIV30.5%24.1%36.2%24.1%35.2%
Skew 25d10.5%9.0%12.2%9.0%10.7%
Skew 10d20.1%17.1%22.8%18.0%20.7%
Call IV 25d25.3%20.9%31.2%22.0%31.2%
Put IV 25d35.8%30.4%41.9%31.1%41.9%
Bid-Ask Spread %10.856.0224.169.3424.16
Gamma HHI0.040.030.060.040.03
Net GEX-12.5M-29.4M16.2M5.0M-22.1M
Net DEX672.8M217.3M1.19B234.0M994.3M
Net VEX-10.7M-11.6M-9.7M-11.6M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.542.331.951.58
Total Volume60,574.71430,21887,33760,89648,853
Total OI786,639.286632,295911,296823,334771,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$114.64$115.7525.9%7.4%40.7%40.4%24.1%9.0%-1.2%5.0M234.0M-11.6M1.959.3420,64940,247397,494425,840
2011-09-02$112.28$115.7527.8%8.0%41.3%45.3%27.7%9.3%-1.2%-19.1M864.6M-11.2M1.2122.0529,83735,979401,476438,958
2011-09-06$111.21$115.7530.8%8.8%35.8%53.0%30.9%11.0%-2.2%-20.3M991.6M-10.8M1.718.6028,79449,169411,188436,995
2011-09-07$113.94$115.7527.1%7.8%34.1%43.5%27.5%9.6%-1.2%25.9K372.5M-11.2M0.948.6218,22117,163416,593446,063
2011-09-08$112.86$115.7528.0%8.2%29.4%45.7%27.8%9.5%-1.9%-11.1M631.4M-10.9M1.166.6113,96816,250416,071446,189
2011-09-09$109.82$115.7534.4%9.7%28.1%62.1%32.5%11.2%-2.6%-29.4M1.19B-10.6M2.0010.3129,15358,184418,628448,991
2011-09-12$110.51$113.0032.7%8.8%27.6%57.7%33.4%11.5%-1.2%-27.4M1.12B-10.4M1.6710.4520,66734,435426,409458,036
2011-09-13$110.92$112.0029.5%8.6%27.3%49.6%31.4%10.7%-0.7%-27.5M1.09B-10.6M1.267.9118,49123,336429,469466,152
2011-09-14$112.45$112.0027.0%8.3%27.8%43.1%29.0%9.9%-0.3%-13.2M743.0M-10.7M0.8311.8736,71130,487430,581469,460
2011-09-15$114.45$112.0026.7%7.7%28.5%42.5%27.8%9.9%0.1%16.2M233.0M-11.0M1.197.7726,54531,506437,406473,890
2011-09-16$114.86$113.0025.0%7.2%24.8%38.2%26.3%9.6%0.6%-1.4M345.2M-10.8M0.548.0754,29329,495409,876479,292
2011-09-19$113.86$113.0026.6%7.6%24.1%42.1%27.7%9.8%0.0%-4.8M237.6M-10.6M1.407.3617,03823,925295,717336,578
2011-09-20$113.85$113.0027.0%7.7%24.1%43.1%27.0%9.9%-0.1%-5.8M217.3M-10.7M0.8219.0721,08917,320300,175344,967
2011-09-21$110.95$113.0029.5%8.5%24.2%49.7%29.8%10.5%-0.9%-15.6M671.0M-10.3M1.979.8015,58830,704308,051347,853
2011-09-22$107.17$113.0034.2%9.8%26.5%61.3%33.2%11.7%-1.0%-21.9M1.08B-9.7M1.3519.7236,40749,039309,595351,835
2011-09-23$107.45$112.0034.8%10.0%26.2%63.1%34.8%11.9%-1.8%-16.5M972.5M-10.0M1.298.4026,95034,745319,213351,284
2011-09-26$110.24$112.0032.6%9.3%27.5%57.3%33.9%11.4%-1.5%-13.9M622.3M-10.5M1.346.0228,22637,928331,696367,083
2011-09-27$111.71$111.0030.4%8.7%26.8%51.8%31.2%11.0%-0.7%-5.1M385.9M-10.8M1.546.6932,25749,837337,772378,393
2011-09-28$109.83$112.0034.2%9.8%27.3%61.4%36.2%12.2%-1.4%-15.6M655.6M-10.8M2.338.4220,31847,424344,127384,342
2011-09-29$111.38$112.0032.1%9.2%27.8%56.1%32.2%10.7%-1.0%-13.0M479.2M-11.1M0.976.5636,01834,823347,222406,716
2011-09-30$108.93$112.0035.7%10.2%28.5%65.3%35.2%10.7%-1.4%-22.1M994.3M-10.7M1.5824.1618,93629,917360,360411,389