DIA Options History — February 2012

In February 2012, DIA traded between $126.77 and $129.91. ATM implied volatility averaged 13.8%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 7.0% (HV 20d: 6.8%). Max pain ranged from $121.00 to $128.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2012-02-10: Highest Volume — 115,752 contracts
  • 2012-02-09: Largest IV spike — 14.1% change
  • 2012-02-15: Highest IV Rank — 13.4%
  • 2012-02-15: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.69$126.77$129.91$126.77$129.29
Max Pain$125.00$121.00$128.00$124.00$127.00
ATM IV13.8%12.6%15.9%13.9%14.0%
Expected Move4.0%3.7%4.6%4.0%4.0%
HV 20d6.8%5.7%7.6%5.7%7.0%
HV 60d16.6%12.3%19.2%19.2%12.4%
IV Rank8.5%4.7%13.4%10.0%8.3%
IV Percentile23.7%11.1%45.6%25.4%25.0%
Term Structure0.9%0.5%1.6%1.4%0.6%
VWIV14.9%13.7%17.4%14.5%15.3%
Skew 25d4.4%3.4%5.7%3.4%4.5%
Skew 10d9.6%5.6%13.2%6.4%10.0%
Call IV 25d12.5%11.3%13.9%12.4%12.1%
Put IV 25d16.9%15.2%19.7%15.8%16.6%
Bid-Ask Spread %7.745.3812.365.3812.36
Gamma HHI0.100.080.110.110.09
Net GEX45.9M1.3M78.5M56.8M21.1M
Net DEX-1.03B-1.27B-762.1M-832.1M-884.7M
Net VEX-10.9M-12.2M-10.0M-10.5M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.363.270.970.65
Total Volume47,595.2521,806115,75236,62445,507
Total OI670,616.15589,135777,069589,135722,117

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$126.77$124.0013.9%4.0%5.7%10.0%14.5%3.4%1.4%56.8M-832.1M-10.5M0.975.3818,57318,051272,603316,532
2012-02-02$126.84$125.0013.3%3.8%5.7%8.4%13.7%3.4%1.6%59.1M-844.7M-10.5M1.157.7316,46418,939275,229318,850
2012-02-03$128.16$121.0013.0%4.1%6.4%7.7%15.0%4.3%0.6%78.5M-1.17B-10.2M1.2212.3521,06525,686275,767322,317
2012-02-06$128.02$122.0013.7%4.1%6.4%9.4%14.5%4.2%0.5%62.6M-1.06B-10.2M1.066.6911,32212,048277,058333,208
2012-02-07$128.51$121.0012.9%4.0%6.4%7.5%15.0%4.2%0.5%74.8M-1.22B-10.0M1.406.049,06912,737280,129332,809
2012-02-08$128.71$122.0012.7%4.1%6.3%6.8%14.8%4.3%0.6%74.7M-1.23B-10.0M1.186.2811,26013,274280,375335,153
2012-02-09$128.83$122.0014.4%4.1%6.3%11.3%15.0%4.4%0.8%76.8M-1.25B-10.0M1.145.5112,44514,244283,143338,484
2012-02-10$127.93$122.0015.4%4.4%7.0%12.0%17.4%5.4%0.8%53.7M-966.8M-10.4M1.769.5341,92173,831283,925344,394
2012-02-13$128.59$123.0014.4%4.1%7.1%9.4%15.1%5.0%0.7%64.6M-1.16B-11.2M1.246.0324,31030,029307,069398,371
2012-02-14$128.63$125.0014.4%4.1%7.1%9.4%15.3%5.4%0.9%62.9M-1.20B-11.6M3.276.8414,34446,939321,395412,924
2012-02-15$127.89$127.0015.9%4.6%7.2%13.4%16.5%5.7%0.8%25.7M-762.1M-12.2M0.436.8647,16220,447322,970440,086
2012-02-16$128.98$127.0014.4%4.1%7.6%9.5%14.2%5.0%1.0%60.6M-1.27B-12.0M0.365.7472,96926,228332,592444,477
2012-02-17$129.23$128.0013.5%3.9%7.3%7.2%13.8%4.2%1.3%1.3M-817.4M-11.7M0.826.3434,46128,419282,654451,431
2012-02-21$129.60$128.0013.1%3.8%7.3%6.1%13.9%4.0%1.0%20.4M-899.3M-11.3M1.316.3829,59138,729257,667393,289
2012-02-22$129.14$128.0013.9%3.8%7.4%8.1%13.8%3.7%1.0%15.1M-845.6M-11.6M1.025.8612,25412,526268,254409,342
2012-02-23$129.58$127.0012.6%3.7%7.2%4.7%14.5%4.3%0.7%24.8M-1.06B-11.2M1.579.3415,58424,456271,494411,150
2012-02-24$129.62$127.0013.0%3.7%7.2%5.8%14.7%4.3%0.8%27.9M-1.01B-11.1M2.3210.6010,67224,795271,428411,374
2012-02-27$129.66$127.0013.5%3.9%6.8%7.2%15.1%4.3%0.7%28.3M-1.03B-11.0M0.818.9719,45615,814274,764425,831
2012-02-28$129.91$127.0013.6%3.9%6.7%7.4%15.2%4.5%0.8%29.0M-1.10B-11.2M1.789.879,47016,814281,631430,037
2012-02-29$129.29$127.0014.0%4.0%7.0%8.3%15.3%4.5%0.6%21.1M-884.7M-11.3M0.6512.3627,50018,007284,266437,851