DIA Options History — March 2012

In March 2012, DIA traded between $127.39 and $132.41. ATM implied volatility averaged 12.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.8% (HV 20d: 9.5%). Max pain ranged from $127.00 to $130.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2012-03-23: Highest Volume — 73,757 contracts
  • 2012-03-06: Largest IV spike — 24.6% change
  • 2012-03-06: Highest IV Rank — 12.7%
  • 2012-03-06: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.62$127.39$132.41$129.68$131.80
Max Pain$128.36$127.00$130.00$127.00$130.00
ATM IV12.3%10.9%15.7%12.8%11.1%
Expected Move3.6%3.2%4.5%3.7%3.2%
HV 20d9.5%5.9%11.0%6.9%11.0%
HV 60d10.2%8.0%12.8%12.4%8.0%
IV Rank4.0%0.5%12.7%5.2%0.9%
IV Percentile11.5%0.4%43.3%12.7%2.0%
Term Structure1.3%0.5%2.3%0.8%1.6%
VWIV13.1%11.6%15.4%15.0%11.7%
Skew 25d4.0%3.4%5.3%4.0%3.6%
Skew 10d8.4%7.1%11.3%8.8%7.6%
Call IV 25d10.9%9.4%13.3%11.4%9.7%
Put IV 25d14.9%12.9%18.6%15.4%13.3%
Bid-Ask Spread %7.834.3110.198.259.15
Gamma HHI0.110.080.220.090.12
Net GEX38.6M-18.7M139.9M40.3M54.7M
Net DEX-1.05B-2.10B-192.6M-1.07B-1.15B
Net VEX-10.3M-11.3M-9.7M-11.2M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.355.431.540.83
Total Volume38,016.90918,36273,75728,28027,182
Total OI726,898.045594,290821,565741,630733,643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$129.68$127.0012.8%3.7%6.9%5.2%15.0%4.0%0.8%40.3M-1.07B-11.2M1.548.2511,11717,163300,763440,867
2012-03-02$129.61$127.0012.4%3.6%6.9%4.3%13.7%3.7%1.0%34.0M-1.06B-11.0M1.018.5210,06710,161301,668446,230
2012-03-05$129.55$127.0012.6%3.6%5.9%4.7%13.2%4.0%1.1%26.1M-992.0M-10.9M1.328.437,90410,458303,233447,188
2012-03-06$127.39$127.0015.7%4.5%8.6%12.7%15.4%5.3%0.5%-18.7M-192.6M-11.3M1.3310.1919,44525,773304,649449,311
2012-03-07$128.39$127.0014.1%4.0%8.9%8.7%14.1%4.7%0.8%11.0M-590.0M-11.0M1.159.3216,31518,725308,915447,293
2012-03-08$129.04$127.0013.3%3.8%9.1%6.7%13.9%4.3%0.7%20.5M-881.1M-10.7M2.487.6315,64338,773307,192449,994
2012-03-09$129.22$127.0011.7%3.7%9.1%2.6%13.0%3.5%0.7%21.2M-967.5M-10.7M1.499.2610,87916,255310,749470,007
2012-03-12$129.56$128.0010.9%3.6%8.7%0.5%13.8%4.9%1.6%30.1M-1.09B-10.2M1.757.2811,29119,731312,758475,098
2012-03-13$131.68$128.0012.7%3.5%10.2%5.1%13.4%4.3%1.4%81.5M-1.85B-9.7M0.996.8129,82929,597315,597483,383
2012-03-14$131.88$128.0011.4%3.6%10.2%1.8%13.2%4.2%1.6%74.1M-1.87B-9.8M0.418.6547,79219,832317,252492,874
2012-03-15$132.41$128.0012.3%3.5%9.9%4.0%12.2%3.6%1.9%139.9M-2.10B-9.8M0.358.0450,46817,844326,817494,748
2012-03-16$132.01$129.0011.6%3.3%9.7%2.1%11.6%4.0%2.3%80.4M-1.02B-9.9M1.048.3419,03319,763257,985499,175
2012-03-19$132.05$129.0012.1%3.5%9.7%3.4%12.5%3.9%1.7%41.4M-1.01B-10.0M1.059.2517,42218,374233,803360,487
2012-03-20$131.45$129.0012.7%3.6%9.9%5.0%14.0%4.0%1.4%30.1M-909.7M-10.3M2.217.3213,95430,806244,735367,626
2012-03-21$130.99$129.0012.3%3.5%9.9%4.0%12.6%4.0%1.3%19.0M-835.9M-10.4M1.046.1912,26712,795251,134383,867
2012-03-22$130.34$129.0012.7%3.6%10.1%5.1%13.3%4.0%1.2%3.4M-615.2M-10.5M1.157.6815,45617,850252,569387,413
2012-03-23$130.60$129.0011.6%3.3%10.1%2.1%12.5%3.7%1.4%9.9M-749.4M-10.5M5.434.3111,47162,286257,969393,417
2012-03-26$132.09$129.0011.1%3.2%10.8%0.9%11.6%3.4%1.1%56.5M-1.27B-9.7M0.867.4013,07211,225261,122445,557
2012-03-27$131.69$130.0011.9%3.4%10.9%3.1%12.6%3.6%1.1%38.6M-1.06B-10.0M1.376.647,81810,693264,264449,461
2012-03-28$130.98$130.0011.8%3.4%10.9%2.8%12.1%3.5%1.4%22.8M-835.6M-10.1M0.916.4014,49713,140266,158454,045
2012-03-29$131.13$130.0011.9%3.4%10.9%2.9%12.0%3.6%1.3%33.4M-928.9M-9.9M0.577.2420,46911,737268,409452,332
2012-03-30$131.80$130.0011.1%3.2%11.0%0.9%11.7%3.6%1.6%54.7M-1.15B-9.8M0.839.1514,87012,312280,426453,217