DIA Options History — October 2011

In October 2011, DIA traded between $106.36 and $122.04. ATM implied volatility averaged 26.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.5% (HV 20d: 26.8%). Max pain ranged from $111.00 to $116.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2011-10-04: Highest Volume — 107,198 contracts
  • 2011-10-31: Largest IV spike — 23.9% change
  • 2011-10-03: Highest IV Rank — 74.3%
  • 2011-10-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.98$106.36$122.04$106.36$119.34
Max Pain$112.90$111.00$116.00$112.00$116.00
ATM IV26.3%19.4%39.3%39.3%24.1%
Expected Move7.6%5.6%11.3%11.3%6.9%
HV 20d26.8%22.9%29.6%28.8%22.9%
HV 60d31.7%30.7%32.6%30.7%31.9%
IV Rank41.5%24.0%74.3%74.3%35.8%
IV Percentile84.0%73.4%99.2%99.2%79.0%
Term Structure-0.2%-2.5%0.5%-2.5%-0.3%
VWIV27.5%20.2%38.1%38.1%23.9%
Skew 25d8.7%5.5%10.7%10.1%7.3%
Skew 10d16.9%11.8%20.8%17.8%16.0%
Call IV 25d22.7%16.9%34.6%34.6%20.8%
Put IV 25d31.5%22.4%44.7%44.7%28.0%
Bid-Ask Spread %12.246.8140.249.0612.38
Gamma HHI0.050.030.110.030.04
Net GEX10.8M-24.1M48.8M-23.0M13.2M
Net DEX-86.5M-962.4M1.08B1.08B-433.7M
Net VEX-10.6M-11.0M-10.0M-10.0M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.822.422.041.54
Total Volume57,548.57131,132107,19897,62243,037
Total OI722,504623,410796,114681,900679,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$106.36$112.0039.3%11.3%28.8%74.3%38.1%10.1%-2.5%-23.0M1.08B-10.0M2.049.0632,12465,498314,329367,571
2011-10-04$107.72$111.0034.9%10.0%29.2%63.3%35.8%8.2%-1.0%-24.1M956.5M-10.5M2.019.8835,57171,627320,901385,317
2011-10-05$109.28$111.0032.5%9.3%28.2%57.2%33.6%6.9%-0.7%-19.9M752.5M-10.8M1.766.8120,53936,240323,998394,416
2011-10-06$110.97$111.0030.2%8.7%28.7%51.3%30.7%7.1%0.1%-9.1M420.1M-11.0M1.097.1521,55623,598327,484400,878
2011-10-07$111.25$111.0029.3%8.7%27.0%49.1%29.9%10.1%-0.5%-7.5M374.8M-10.9M1.8410.2325,01546,057327,716400,074
2011-10-10$114.19$111.0026.5%7.8%28.4%41.9%28.7%9.6%0.0%12.8M-116.4M-10.9M1.958.7819,54838,118333,024405,363
2011-10-11$113.75$112.0024.8%7.7%28.5%37.7%28.7%9.6%-0.0%4.7M-21.4M-10.9M2.049.3510,25620,876336,301420,650
2011-10-12$114.99$112.0023.2%7.1%28.3%33.5%26.1%8.9%0.2%16.2M-196.6M-10.6M1.628.5520,27332,920337,851417,537
2011-10-13$114.66$112.0024.4%7.0%27.7%36.5%24.7%9.3%0.4%13.8M-118.1M-10.6M1.7416.8912,32821,407339,062421,780
2011-10-14$116.34$112.0023.0%6.6%28.1%33.1%24.3%8.8%0.2%31.3M-443.8M-10.5M1.4620.0016,20923,612341,878424,176
2011-10-17$113.90$113.0026.7%7.7%29.0%42.5%27.0%10.3%-0.8%2.3M103.2M-10.3M1.2113.5123,42628,251344,588431,769
2011-10-18$115.74$113.0024.6%7.0%29.6%37.1%26.1%10.7%0.2%25.7M-327.0M-10.4M1.4140.2431,45044,282346,989431,735
2011-10-19$115.00$113.0026.9%7.7%28.0%42.9%28.6%10.1%-0.3%24.8M-203.7M-10.6M1.6214.4519,26131,259351,503440,213
2011-10-20$115.25$113.0027.7%7.9%24.5%44.9%28.7%10.4%-0.7%40.7M-266.4M-10.7M1.6017.4821,82834,935352,224443,890
2011-10-21$117.85$113.0024.0%6.9%25.4%35.7%25.8%9.0%0.5%48.8M-545.4M-10.7M0.829.3944,08636,155329,050448,156
2011-10-24$118.59$114.0022.6%6.5%24.1%32.1%24.7%8.1%0.4%10.7M-411.9M-10.5M1.417.8816,29923,035279,020344,390
2011-10-25$117.05$115.0025.2%7.2%24.5%38.7%26.3%9.0%-0.4%3.0M-149.4M-10.7M2.429.6814,56935,311284,663350,478
2011-10-26$118.41$115.0023.7%6.8%23.6%34.7%24.4%8.2%-0.6%10.1M-366.5M-10.7M1.287.8315,96820,421289,517357,496
2011-10-27$121.94$115.0019.8%5.7%25.1%24.9%21.7%6.3%0.3%26.9M-962.4M-10.4M1.1510.5935,85141,318295,589364,188
2011-10-28$122.04$116.0019.4%5.6%23.1%24.0%20.2%5.5%0.4%26.1M-944.2M-10.4M0.986.9527,48126,925299,557367,410
2011-10-31$119.34$116.0024.1%6.9%22.9%35.8%23.9%7.3%-0.3%13.2M-433.7M-10.7M1.5412.3816,97526,062309,104370,749