DIA Options History — December 2011

In December 2011, DIA traded between $117.36 and $122.67. ATM implied volatility averaged 20.7%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.9% (HV 20d: 24.6%). Max pain ranged from $114.00 to $119.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2011-12-14: Highest Volume — 109,407 contracts
  • 2011-12-09: Largest IV drop — 23.1% change
  • 2011-12-08: Highest IV Rank — 43.4%
  • 2011-12-08: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.72$117.36$122.67$120.06$121.85
Max Pain$116.68$114.00$119.00$114.75$119.00
ATM IV20.7%16.7%27.1%22.4%18.0%
Expected Move5.8%4.8%7.1%6.4%5.2%
HV 20d24.6%19.2%27.3%27.3%19.3%
HV 60d25.6%23.9%26.8%26.8%23.9%
IV Rank27.1%17.0%43.4%31.5%20.3%
IV Percentile63.0%53.2%83.7%67.5%56.0%
Term Structure1.3%-0.4%2.4%0.2%2.4%
VWIV21.2%17.6%25.9%22.9%18.1%
Skew 25d5.8%4.7%7.2%6.3%4.8%
Skew 10d11.3%8.9%15.8%12.6%9.9%
Call IV 25d18.0%14.7%22.2%19.8%15.8%
Put IV 25d23.8%19.5%28.1%26.1%20.6%
Bid-Ask Spread %7.504.8415.387.294.84
Gamma HHI0.080.050.240.050.24
Net GEX35.3M-24.7M91.6M22.3M91.6M
Net DEX-621.3M-1.16B301.5M-599.0M-815.1M
Net VEX-10.5M-11.3M-9.7M-11.2M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.502.260.930.80
Total Volume46,779.09521,199109,40735,42331,982
Total OI809,004.429706,376937,942790,965764,527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$120.06$114.7522.4%6.4%27.3%31.5%22.9%6.3%0.2%22.3M-599.0M-11.2M0.937.2918,39917,024358,422432,543
2011-12-02$120.05$114.7522.3%6.4%26.6%31.2%24.0%6.4%0.1%22.0M-595.1M-11.2M0.507.7038,78919,538360,866435,177
2011-12-05$120.72$114.0022.3%6.4%26.6%31.2%23.2%6.3%0.3%37.1M-781.6M-11.1M0.866.2027,35923,661381,322439,046
2011-12-06$121.39$114.7522.9%6.6%26.6%32.7%25.5%5.9%0.2%50.1M-915.4M-11.1M1.146.5618,11420,566392,615444,893
2011-12-07$122.15$115.0023.4%6.7%26.5%34.0%25.0%5.6%0.1%60.2M-1.13B-11.2M1.307.3619,43725,253396,394449,907
2011-12-08$120.21$116.0027.1%7.1%24.3%43.4%25.9%5.9%-0.4%32.8M-624.6M-11.3M1.295.7826,33833,898401,809460,317
2011-12-09$122.16$116.0020.8%6.0%24.7%27.5%22.6%4.9%0.4%74.7M-1.16B-10.9M1.3810.9517,82924,686409,479463,794
2011-12-12$120.24$115.0022.7%6.3%24.2%32.4%22.7%7.2%1.4%36.5M-643.0M-10.6M0.917.0828,22725,679412,258469,918
2011-12-13$121.27$116.0023.3%5.8%24.3%33.7%22.0%5.7%1.7%57.0M-855.9M-9.9M1.727.5628,19248,440417,548476,825
2011-12-14$118.39$116.0021.9%6.4%25.8%30.4%22.0%7.1%1.4%-8.4M-88.4M-10.6M2.237.2533,87175,536419,977493,653
2011-12-15$119.03$116.0021.0%6.0%25.3%27.9%21.3%6.8%1.8%-6.6M-236.8M-10.6M1.216.3617,76621,528428,346509,596
2011-12-16$118.21$117.0021.0%6.0%25.2%28.1%20.6%6.6%1.7%-24.7M301.5M-10.5M1.138.8934,81439,388398,531515,502
2011-12-19$117.36$118.0021.3%6.1%25.3%28.9%20.3%6.1%1.6%-24.5M220.3M-10.2M1.006.8926,92327,006300,092406,284
2011-12-20$120.68$118.0018.8%5.4%25.8%22.5%19.5%5.7%1.8%19.2M-485.7M-10.3M1.425.9321,33730,375304,107410,516
2011-12-21$120.79$118.0017.7%5.1%25.7%19.7%18.4%5.0%2.0%23.4M-504.5M-9.9M1.127.4711,28712,592308,804415,589
2011-12-22$121.53$118.0017.2%4.9%24.1%18.4%18.0%4.7%1.9%40.0M-685.2M-10.0M0.996.6011,73711,618312,460415,211
2011-12-23$122.63$118.0016.7%4.8%24.1%17.0%17.6%4.8%2.4%63.5M-961.2M-9.7M1.2815.3814,59218,696313,488417,332
2011-12-27$122.67$118.0017.1%4.9%22.7%18.1%18.2%4.9%2.0%62.3M-937.2M-9.7M1.939.797,22913,970315,935426,865
2011-12-28$121.25$119.0018.8%5.4%23.3%22.3%18.9%5.3%2.0%51.6M-614.6M-9.8M2.266.029,38821,193317,833432,351
2011-12-29$122.52$119.0017.3%4.9%19.2%18.5%18.3%4.9%2.4%61.9M-933.4M-9.8M1.295.6612,27615,828320,636438,325
2011-12-30$121.85$119.0018.0%5.2%19.3%20.3%18.1%4.8%2.4%91.6M-815.1M-9.8M0.804.8417,79414,188323,605440,922