DIA Options History — May 2012

In May 2012, DIA traded between $123.25 and $132.53. ATM implied volatility averaged 16.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.1% (HV 20d: 11.7%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2012-05-18: Highest Volume — 107,647 contracts
2012-05-30: Largest IV spike — 16.1% change
2012-05-18: Highest IV Rank — 22.8%
2012-05-18: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.05	$123.25	$132.53	$132.53	$123.70
Max Pain	$126.86	$125.00	$130.00	$130.00	$126.00
ATM IV	16.8%	12.2%	19.7%	12.2%	19.2%
Expected Move	4.8%	3.5%	5.6%	3.5%	5.5%
HV 20d	11.7%	9.5%	14.2%	13.8%	11.8%
HV 60d	11.3%	10.6%	12.4%	10.6%	12.0%
IV Rank	15.2%	3.4%	22.8%	3.4%	21.4%
IV Percentile	48.0%	8.7%	59.9%	8.7%	57.9%
Term Structure	0.4%	-0.4%	1.2%	0.6%	-0.4%
VWIV	16.8%	13.3%	19.4%	13.4%	18.8%
Skew 25d	5.6%	3.4%	7.0%	3.4%	6.9%
Skew 10d	11.3%	7.0%	13.5%	7.4%	12.5%
Call IV 25d	14.4%	11.3%	16.6%	11.4%	16.5%
Put IV 25d	20.0%	14.8%	23.6%	14.8%	23.4%
Bid-Ask Spread %	7.02	4.93	12.58	5.49	6.16
Gamma HHI	0.08	0.05	0.29	0.08	0.08
Net GEX	1.6M	-84.0M	50.6M	50.6M	23.4M
Net DEX	16.7M	-1.02B	1.05B	-1.02B	329.3M
Net VEX	-9.8M	-10.1M	-9.3M	-9.7M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.60	1.68	1.68	0.88
Total Volume	51,636.545	33,383	107,647	44,706	49,812
Total OI	708,082.364	629,772	767,816	655,883	748,664

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-05-01	$132.53	$130.00	12.2%	3.5%	13.8%	3.4%	13.4%	3.4%	0.6%	50.6M	-1.02B	-9.7M	1.68	5.49	16,663	28,043	255,774	400,109
2012-05-02	$132.32	$130.00	13.2%	3.8%	13.8%	5.9%	13.3%	3.7%	0.4%	43.3M	-977.4M	-9.8M	0.64	6.62	27,254	17,480	260,561	406,370
2012-05-03	$131.81	$130.00	13.2%	3.8%	13.4%	5.7%	13.8%	4.0%	0.5%	40.9M	-841.0M	-9.9M	1.51	6.63	14,353	21,648	278,357	407,860
2012-05-04	$130.09	$127.00	14.9%	4.3%	14.2%	10.3%	14.9%	5.0%	0.4%	3.8M	-371.4M	-10.1M	1.40	8.46	24,172	33,954	282,681	412,528
2012-05-07	$129.90	$127.00	15.6%	4.3%	13.9%	12.1%	15.5%	5.0%	0.3%	10.6M	-368.0M	-10.0M	1.11	5.59	19,452	21,658	287,859	414,365
2012-05-08	$129.04	$127.00	16.3%	4.4%	12.7%	14.0%	15.6%	4.9%	0.4%	-5.9M	-148.9M	-10.0M	0.93	7.67	29,153	27,142	290,792	417,202
2012-05-09	$128.34	$127.00	17.4%	4.7%	12.7%	16.9%	16.7%	5.3%	0.3%	-16.5M	12.6M	-10.0M	0.91	6.26	32,698	29,894	293,110	417,167
2012-05-10	$128.44	$127.00	16.0%	4.6%	11.6%	13.1%	15.9%	5.2%	0.3%	-360.9K	-120.1M	-9.9M	0.60	5.81	23,053	13,924	299,729	418,875
2012-05-11	$128.26	$127.00	16.3%	4.7%	11.0%	14.0%	16.1%	5.1%	0.2%	-9.9M	-17.6M	-9.9M	0.82	6.05	18,795	15,323	302,014	419,977
2012-05-14	$126.89	$127.00	17.4%	5.0%	11.5%	16.9%	17.4%	5.7%	0.3%	-35.5M	322.3M	-9.6M	0.83	5.98	21,593	17,926	306,252	421,819
2012-05-15	$126.38	$127.00	17.8%	5.1%	9.7%	17.8%	18.0%	5.7%	0.4%	-39.7M	428.3M	-9.6M	0.87	5.87	24,862	21,674	311,749	422,508
2012-05-16	$126.18	$127.00	17.6%	5.0%	9.5%	17.3%	18.2%	5.6%	0.8%	-47.4M	509.9M	-9.5M	1.38	6.03	22,127	30,506	313,822	425,852
2012-05-17	$124.57	$127.00	18.7%	5.4%	10.3%	20.1%	19.3%	6.7%	0.6%	-81.7M	875.4M	-9.3M	1.19	12.58	41,450	49,296	316,200	437,874
2012-05-18	$123.25	$126.00	19.7%	5.6%	10.4%	22.8%	18.6%	6.9%	1.0%	-84.0M	1.05B	-9.3M	0.77	10.96	60,847	46,800	323,036	444,780
2012-05-21	$124.81	$125.00	16.9%	4.9%	11.5%	15.5%	17.5%	5.7%	1.1%	24.2M	94.6M	-9.4M	1.02	6.15	24,636	25,246	259,742	370,030
2012-05-22	$124.83	$125.00	17.3%	5.0%	11.1%	16.6%	19.4%	5.6%	0.5%	25.2M	99.2M	-9.5M	1.37	5.44	30,976	42,507	268,010	379,900
2012-05-23	$124.64	$125.00	17.5%	4.9%	10.6%	17.1%	17.8%	5.5%	1.2%	22.0M	141.4M	-9.8M	0.90	4.93	30,905	27,739	278,414	405,886
2012-05-24	$125.12	$126.00	17.3%	5.1%	10.0%	16.5%	18.2%	6.5%	0.2%	30.3M	-31.7M	-9.9M	0.86	7.02	21,274	18,253	286,317	413,163
2012-05-25	$124.26	$126.00	18.4%	5.3%	10.0%	19.4%	16.1%	6.6%	-0.1%	20.0M	225.4M	-10.1M	0.60	11.49	22,141	13,245	293,113	420,855
2012-05-29	$125.81	$126.00	16.7%	4.8%	11.4%	14.9%	17.2%	6.3%	0.2%	43.9M	-154.5M	-9.8M	0.90	7.72	23,231	20,916	301,090	424,546
2012-05-30	$123.99	$126.00	19.4%	5.6%	11.8%	21.9%	19.0%	7.0%	-0.3%	18.7M	331.4M	-9.9M	0.65	5.49	20,226	13,157	307,757	431,103
2012-05-31	$123.70	$126.00	19.2%	5.5%	11.8%	21.4%	18.8%	6.9%	-0.4%	23.4M	329.3M	-9.9M	0.88	6.16	26,504	23,308	315,333	433,331