DIA Options History — April 2012

In April 2012, DIA traded between $127.01 and $132.25. ATM implied volatility averaged 13.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.9% (HV 20d: 12.0%). Max pain ranged from $128.00 to $130.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2012-04-10: Highest Volume — 108,496 contracts
  • 2012-04-13: Largest IV spike — 16.2% change
  • 2012-04-13: Highest IV Rank — 13.8%
  • 2012-04-10: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.08$127.01$132.25$132.25$131.80
Max Pain$129.10$128.00$130.00$130.00$130.00
ATM IV13.9%11.0%16.1%11.7%13.3%
Expected Move4.0%3.2%4.8%3.4%3.8%
HV 20d12.0%9.0%13.9%11.0%13.7%
HV 60d9.7%8.0%10.8%8.0%10.7%
IV Rank8.0%0.6%13.8%2.4%6.1%
IV Percentile28.2%1.2%50.4%7.1%19.8%
Term Structure0.7%0.2%1.8%1.3%0.2%
VWIV14.5%11.7%16.3%12.8%13.6%
Skew 25d4.6%3.3%5.8%3.5%3.8%
Skew 10d9.0%6.1%11.2%6.1%7.2%
Call IV 25d12.2%9.8%14.1%10.1%12.0%
Put IV 25d16.8%13.1%19.9%13.6%15.8%
Bid-Ask Spread %7.115.299.047.106.21
Gamma HHI0.160.050.260.130.08
Net GEX-39.2M-183.1M65.3M55.2M42.2M
Net DEX-414.8M-999.0M460.0M-999.0M-909.8M
Net VEX-9.8M-10.3M-9.5M-9.5M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.813.542.231.38
Total Volume45,906.9516,832108,49635,11119,344
Total OI707,569.4563,247833,505658,591646,091

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$132.25$130.0011.7%3.4%11.0%2.4%12.8%3.5%1.3%55.2M-999.0M-9.5M2.237.1010,86124,250252,376406,215
2012-04-03$131.72$130.0011.0%3.2%9.0%0.6%11.7%3.3%1.8%21.5M-816.1M-9.6M1.136.5111,13212,528254,540421,008
2012-04-04$130.54$130.0011.8%3.4%9.5%2.6%12.1%3.5%1.6%-16.9M-485.3M-9.9M1.257.2313,47316,854258,312423,510
2012-04-05$130.18$130.0012.3%3.5%9.4%4.0%12.1%3.3%1.7%-24.3M-441.3M-9.9M0.817.089,2757,557260,335423,892
2012-04-09$129.12$129.0014.3%4.4%9.9%9.1%15.8%5.3%0.4%-58.0M-85.6M-9.7M3.547.9013,73048,613261,062424,936
2012-04-10$127.01$129.0015.8%4.8%11.4%13.0%16.1%5.8%0.4%-122.9M460.0M-9.9M2.328.0532,72675,770260,777461,396
2012-04-11$127.88$128.0014.7%4.6%9.9%10.3%16.1%5.7%0.5%-183.1M400.8M-10.3M1.025.7016,21816,599267,512503,879
2012-04-12$129.72$128.0013.9%4.0%11.4%8.0%14.6%5.2%0.9%-85.2M-428.1M-9.7M1.278.2618,51823,478269,398497,092
2012-04-13$128.40$128.0016.1%4.6%11.7%13.8%15.9%5.8%0.5%-165.1M205.2M-10.1M1.566.8313,92921,758271,942502,073
2012-04-16$128.88$128.0016.0%4.6%11.8%13.5%16.3%5.5%0.3%-145.1M-72.4M-9.8M1.757.1224,18742,393277,178505,721
2012-04-17$130.94$129.0014.5%4.2%13.3%9.7%15.4%5.3%0.4%-67.5M-674.1M-9.6M1.097.0331,00233,652284,954522,164
2012-04-18$130.00$129.0015.1%4.3%13.4%11.2%15.1%5.2%0.7%-97.6M-426.9M-9.9M1.149.0424,12527,401295,385530,231
2012-04-19$129.45$129.0015.2%4.4%13.4%11.5%15.0%4.9%0.4%-139.8M-274.9M-10.0M1.357.9824,76333,403301,277532,228
2012-04-20$130.15$129.0013.9%4.0%13.5%8.1%13.7%4.6%0.6%65.3M-492.3M-9.8M0.956.9026,33225,049291,317534,713
2012-04-23$129.02$129.0015.3%4.4%13.8%11.8%15.8%4.8%0.2%9.2M-307.7M-9.7M1.275.8820,86626,408217,296345,951
2012-04-24$129.85$129.0014.5%4.2%13.3%9.3%15.2%4.8%0.5%17.5M-477.2M-9.7M1.128.7219,85822,191223,897354,178
2012-04-25$130.67$129.0013.4%3.8%13.6%6.3%15.4%4.2%0.3%28.9M-640.4M-9.8M1.835.3819,46735,555234,624364,544
2012-04-26$131.92$129.0012.6%3.6%13.9%4.3%13.6%3.9%0.4%40.3M-918.0M-9.8M1.037.9623,92124,667242,267385,305
2012-04-27$132.00$130.0012.7%3.6%13.8%4.5%13.5%3.6%0.6%42.0M-912.5M-9.9M1.575.2910,21516,071250,384391,428
2012-04-30$131.80$130.0013.3%3.8%13.7%6.1%13.6%3.8%0.2%42.2M-909.8M-9.7M1.386.218,14311,201252,051394,040