DIA Options History — November 2011

In November 2011, DIA traded between $112.14 and $121.58. ATM implied volatility averaged 25.6%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.5% (HV 20d: 26.1%). Max pain ranged from $114.75 to $118.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2011-11-01: Highest Volume — 116,215 contracts
  • 2011-11-09: Largest IV spike — 49.9% change
  • 2011-11-09: Highest IV Rank — 50.2%
  • 2011-11-23: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.89$112.14$121.58$116.38$120.19
Max Pain$116.52$114.75$118.00$116.00$114.75
ATM IV25.6%19.9%29.8%28.9%22.7%
Expected Move7.3%6.1%8.4%8.3%6.5%
HV 20d26.1%24.1%27.8%25.2%27.8%
HV 60d26.7%25.7%30.1%30.1%27.2%
IV Rank39.7%25.1%50.2%48.0%32.4%
IV Percentile80.5%68.7%90.9%89.3%68.7%
Term Structure-0.2%-2.6%0.4%-2.6%0.1%
VWIV26.2%22.4%28.8%28.1%22.4%
Skew 25d8.6%6.7%11.2%9.6%6.7%
Skew 10d17.3%13.0%22.4%21.2%13.0%
Call IV 25d21.9%18.4%25.2%23.6%19.8%
Put IV 25d30.5%26.4%34.2%33.2%26.5%
Bid-Ask Spread %8.745.6616.939.137.22
Gamma HHI0.040.030.050.030.05
Net GEX6.2M-23.4M32.0M1.7M24.3M
Net DEX-201.3M-912.9M761.5M-81.6M-648.1M
Net VEX-11.1M-11.7M-10.4M-11.0M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.792.271.280.79
Total Volume53,032.95230,640116,215116,21568,199
Total OI754,122.714681,055807,227686,510776,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$116.38$116.0028.9%8.3%25.2%48.0%28.1%9.6%-2.6%1.7M-81.6M-11.0M1.289.1351,03565,180313,545372,965
2011-11-02$118.13$116.0026.3%7.5%25.2%41.4%26.7%8.8%-0.9%8.0M-248.3M-11.4M0.849.1216,66313,977327,835392,027
2011-11-03$120.19$116.0023.9%6.8%25.3%35.3%25.8%7.7%-0.3%20.4M-612.7M-11.3M1.5211.0918,83628,680329,780395,296
2011-11-04$119.60$116.0023.4%6.7%25.5%34.0%24.0%9.1%-0.0%13.0M-521.1M-11.4M1.418.1314,20720,048331,363405,362
2011-11-07$120.45$116.0023.5%6.7%24.1%34.3%24.1%8.9%-0.1%19.0M-661.4M-11.1M0.945.6620,87219,634333,462409,441
2011-11-08$121.58$116.0019.9%6.1%24.1%25.1%24.7%8.0%0.3%30.6M-912.9M-11.1M0.976.6330,74429,888341,538414,443
2011-11-09$117.68$116.0029.8%7.9%27.1%50.2%28.7%11.2%-0.4%-171.1K-87.3M-11.7M1.408.9929,73541,743352,899425,742
2011-11-10$118.89$116.7525.4%7.3%27.2%39.1%25.5%10.3%-0.1%11.2M-354.8M-11.5M1.156.5921,19324,293356,740425,863
2011-11-11$121.47$117.0023.3%6.7%27.8%33.9%25.3%8.7%-0.0%32.0M-908.5M-11.4M1.249.0724,90830,971357,056431,934
2011-11-14$120.71$117.7524.0%6.9%26.6%35.5%24.6%8.9%0.4%21.7M-773.0M-11.2M1.198.0914,56517,381356,896437,308
2011-11-15$120.87$117.7524.1%6.9%26.1%36.0%26.0%9.0%-0.0%20.5M-758.9M-11.2M2.136.7713,54528,848359,847439,200
2011-11-16$119.10$118.0026.1%7.5%26.6%40.9%26.8%9.4%-0.1%8.2M-350.6M-11.2M0.918.3129,94927,185361,887439,569
2011-11-17$117.83$118.0027.1%7.8%27.0%43.6%27.2%9.2%-0.5%7.2M-82.2M-11.0M1.128.5534,14438,398369,754437,473
2011-11-18$117.73$118.0025.6%7.3%25.8%39.7%25.8%8.5%0.2%9.4M43.5M-11.0M0.886.4825,70222,515358,739441,361
2011-11-21$115.16$118.0027.9%8.0%26.8%45.4%27.0%8.2%-0.1%-12.3M298.7M-10.6M1.1511.4724,50828,150311,595369,460
2011-11-22$114.74$117.7526.6%7.6%26.5%42.2%28.1%7.7%-0.1%-16.3M433.7M-10.5M1.628.5523,72738,340320,578377,168
2011-11-23$112.33$117.0029.0%8.4%27.0%48.3%28.8%8.1%-0.7%-23.4M721.8M-10.6M1.5412.6917,60427,148332,858391,265
2011-11-25$112.14$114.7528.4%8.2%24.2%46.8%27.6%8.2%0.4%-22.8M761.5M-10.4M2.2716.939,77022,135335,966393,519
2011-11-28$115.06$114.7526.5%7.6%26.4%41.8%26.9%7.8%-0.1%-11.5M303.8M-10.7M0.846.9327,11522,717340,737404,922
2011-11-29$115.56$114.7525.3%7.2%25.5%38.8%26.0%7.5%0.2%-10.0M210.4M-11.0M1.727.1418,14931,291347,992414,671
2011-11-30$120.19$114.7522.7%6.5%27.8%32.4%22.4%6.7%0.1%24.3M-648.1M-11.2M0.797.2238,02930,170353,162423,359