DIA Options History — January 2012

In January 2012, DIA traded between $123.53 and $127.15. ATM implied volatility averaged 15.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.5% (HV 20d: 13.7%). Max pain ranged from $119.00 to $124.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-01-19: Highest Volume — 77,453 contracts
  • 2012-01-12: Largest IV spike — 16.1% change
  • 2012-01-13: Highest IV Rank — 18.8%
  • 2012-01-11: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.28$123.53$127.15$123.67$126.07
Max Pain$122.44$119.00$124.00$119.00$124.00
ATM IV15.2%13.3%17.4%17.1%15.0%
Expected Move4.5%3.8%5.1%4.9%4.3%
HV 20d13.7%7.3%19.9%19.9%7.3%
HV 60d22.1%19.4%23.9%23.9%19.4%
IV Rank13.2%8.5%18.8%18.1%12.8%
IV Percentile38.4%23.4%55.2%54.0%35.3%
Term Structure1.4%0.6%2.9%2.2%1.1%
VWIV16.4%13.9%19.7%17.9%15.0%
Skew 25d4.7%3.4%6.1%4.7%3.6%
Skew 10d9.3%6.4%12.3%9.0%6.4%
Call IV 25d13.8%12.0%15.3%15.2%13.2%
Put IV 25d18.5%16.0%21.4%19.9%16.9%
Bid-Ask Spread %7.434.4011.785.777.12
Gamma HHI0.100.060.260.060.10
Net GEX56.8M37.1M100.9M45.7M45.1M
Net DEX-993.0M-1.62B-641.4M-963.9M-641.4M
Net VEX-9.5M-10.6M-8.9M-9.6M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.361.710.940.69
Total Volume37,876.817,98277,45335,32528,832
Total OI625,474.4471,437721,128635,719583,417

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$123.67$119.0017.1%4.9%19.9%18.1%17.9%4.7%2.2%45.7M-963.9M-9.6M0.945.7718,18617,139285,110350,609
2012-01-04$123.93$119.0016.1%4.6%19.9%15.5%16.8%4.0%2.6%46.3M-1.00B-9.7M1.314.408,72211,427289,203358,953
2012-01-05$123.73$119.7515.5%4.4%19.8%14.0%16.9%3.8%2.9%45.8M-958.7M-9.7M1.474.7313,48819,773292,574363,234
2012-01-06$123.53$122.0014.4%5.0%19.7%11.2%18.6%6.1%0.8%49.2M-935.6M-9.6M1.147.789,38410,657297,054368,524
2012-01-09$123.66$122.0014.4%5.0%18.8%11.3%19.7%6.1%0.9%51.5M-988.0M-9.4M0.686.4619,45213,279299,847372,036
2012-01-10$124.32$122.0014.6%5.0%18.0%11.8%17.6%5.8%0.9%63.3M-1.15B-9.5M1.437.3513,49319,284308,922375,028
2012-01-11$124.30$122.0014.4%5.1%16.9%11.2%18.1%5.7%0.6%65.7M-1.15B-9.5M1.167.808,3189,664312,089378,960
2012-01-12$124.52$122.0016.7%4.8%16.7%17.1%17.8%5.6%1.2%69.1M-1.22B-9.4M1.717.409,29415,930312,868380,506
2012-01-13$124.35$123.0017.4%5.0%13.8%18.8%17.8%5.8%1.3%65.2M-1.14B-9.5M0.819.1018,66515,192313,106385,517
2012-01-17$124.67$123.0017.2%4.9%13.8%18.5%17.4%6.0%1.1%72.4M-1.24B-9.2M0.9111.7821,63119,746316,507388,027
2012-01-18$125.62$123.0015.9%4.6%13.5%15.1%16.8%5.6%1.5%76.8M-1.47B-9.1M1.117.3617,08118,903318,498395,179
2012-01-19$126.17$123.0015.5%4.5%12.9%14.1%16.7%4.9%1.4%72.7M-1.62B-9.1M0.369.1757,05320,400319,900401,228
2012-01-20$126.96$123.0013.3%3.8%9.3%8.5%14.1%4.0%2.1%100.9M-828.4M-8.9M0.548.0845,07624,296249,181409,118
2012-01-23$126.72$123.0013.7%3.9%9.4%9.4%14.4%3.9%1.7%45.0M-848.0M-9.0M1.276.7314,57918,452211,085260,352
2012-01-24$126.43$123.0014.4%4.1%9.4%11.4%13.9%4.0%1.4%37.1M-705.5M-9.0M0.708.0430,65721,398208,103267,628
2012-01-25$127.15$124.0013.9%4.0%9.2%9.9%14.5%3.7%1.4%52.5M-835.7M-9.4M1.328.1814,87519,593231,619277,471
2012-01-26$127.11$124.0014.0%4.0%9.2%10.3%14.5%3.5%1.3%47.2M-830.0M-9.5M1.466.9920,33229,643235,730287,468
2012-01-27$126.39$124.0014.6%4.2%8.2%11.7%14.5%3.5%1.3%39.0M-670.7M-10.1M1.507.6916,13524,163244,828300,128
2012-01-30$126.30$124.0015.0%4.3%7.7%12.9%15.3%3.4%1.1%44.8M-662.4M-10.2M0.826.6823,77119,573254,276305,605
2012-01-31$126.07$124.0015.0%4.3%7.3%12.8%15.0%3.6%1.1%45.1M-641.4M-10.6M0.697.1217,04011,792268,134315,283