DIA Options History — June 2012

In June 2012, DIA traded between $120.78 and $128.45. ATM implied volatility averaged 16.4%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.6% (HV 20d: 17.0%). Max pain ranged from $124.00 to $126.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2012-06-14: Highest Volume — 118,133 contracts
  • 2012-06-11: Largest IV spike — 30.0% change
  • 2012-06-01: Highest IV Rank — 28.6%
  • 2012-06-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.26$120.78$128.45$120.96$128.45
Max Pain$125.38$124.00$126.00$126.00$126.00
ATM IV16.4%13.5%21.9%21.9%13.5%
Expected Move4.9%3.9%6.3%6.3%3.9%
HV 20d17.0%13.2%18.9%13.6%17.1%
HV 60d13.9%12.6%15.3%12.7%15.3%
IV Rank14.1%6.6%28.6%28.6%6.6%
IV Percentile39.6%17.9%63.9%63.9%17.9%
Term Structure0.4%-0.9%1.2%-0.7%1.2%
VWIV17.4%14.1%21.1%20.3%14.1%
Skew 25d5.6%3.7%7.3%7.3%3.7%
Skew 10d10.2%6.5%13.5%13.5%6.5%
Call IV 25d14.6%11.4%18.8%18.8%11.5%
Put IV 25d20.1%15.2%26.1%26.1%15.2%
Bid-Ask Spread %10.074.2122.1510.0414.56
Gamma HHI0.080.060.120.060.09
Net GEX37.0M-19.0M132.8M-10.1M57.1M
Net DEX-39.7M-863.0M1.01B898.8M-863.0M
Net VEX-10.0M-10.4M-9.4M-9.6M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.652.461.471.29
Total Volume67,727.8129,761118,133106,37884,143
Total OI789,519.524664,894910,156761,700766,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$120.96$126.0021.9%6.3%13.6%28.6%20.3%7.3%-0.7%-10.1M898.8M-9.6M1.4710.0443,13363,245323,685438,015
2012-06-04$120.78$126.0021.4%6.1%13.2%27.2%21.1%6.7%-0.6%-19.0M1.01B-9.4M0.736.1534,10224,995333,274468,648
2012-06-05$121.09$126.0020.9%6.0%13.4%25.8%19.9%6.0%-0.5%-5.1M839.3M-9.6M0.758.4421,85516,335340,192474,215
2012-06-06$123.93$126.0018.4%5.3%16.3%19.4%18.8%5.8%-0.6%54.5M89.3M-10.0M1.317.5427,87136,423347,102477,966
2012-06-07$124.74$126.0014.5%5.1%16.5%9.2%17.4%5.9%-0.9%54.5M-18.0M-9.9M0.9210.1939,13035,895344,622491,427
2012-06-08$125.43$126.0013.7%5.0%16.7%7.1%17.8%5.1%-0.6%75.3M-382.0M-10.0M0.7416.6539,57629,410346,997496,548
2012-06-11$123.98$124.0017.8%5.4%17.1%17.8%19.4%6.8%0.3%40.0M285.1M-9.7M1.3912.6430,47042,272366,507505,851
2012-06-12$125.82$124.0014.0%5.0%17.7%7.8%18.4%6.7%0.6%96.3M-325.7M-9.9M1.345.8828,94638,884369,399517,560
2012-06-13$124.89$125.0015.0%5.4%17.8%10.5%19.7%7.2%0.4%48.7M52.2M-10.1M1.4312.3635,89751,364372,312529,525
2012-06-14$126.37$125.0018.0%5.2%18.4%18.4%18.9%6.6%0.4%132.8M-681.7M-10.3M1.1815.0154,25263,881375,929534,227
2012-06-15$127.34$125.0016.9%4.8%17.9%15.4%16.7%6.3%0.5%80.0M-350.4M-10.3M0.6522.1552,56934,233335,894549,731
2012-06-18$127.29$125.0015.2%4.4%17.3%11.0%15.7%5.5%1.0%41.0M-412.1M-9.9M1.1812.8628,99734,349259,936404,958
2012-06-19$128.06$125.0014.6%4.2%16.9%9.6%14.8%5.1%0.9%50.0M-571.8M-10.2M1.194.9622,74127,112269,833423,126
2012-06-20$127.96$125.0013.6%3.9%17.0%6.9%16.2%4.7%1.2%53.2M-578.3M-10.2M2.4615.2723,72558,455277,303437,211
2012-06-21$125.44$126.0016.2%4.6%18.5%13.6%15.7%5.3%1.1%2.9M87.5M-10.4M1.2514.3326,13532,720281,575442,532
2012-06-22$126.23$125.0014.7%4.2%18.6%9.8%15.3%4.3%1.1%12.8M-71.4M-10.1M0.935.0024,05522,380280,816444,298
2012-06-25$124.75$126.0016.2%4.6%18.9%13.6%16.0%4.5%0.8%-10.0M244.8M-10.0M1.434.2119,38227,670287,141444,853
2012-06-26$125.08$125.0016.2%4.6%18.4%13.5%15.5%4.5%0.6%25776.4M-10.0M0.744.2517,07812,683289,125444,817
2012-06-27$126.06$125.0015.5%4.4%17.8%11.9%15.5%4.3%1.1%19.1M-129.9M-10.0M0.784.6921,27716,696293,921447,016
2012-06-28$125.71$126.0015.4%4.4%17.8%11.6%17.3%4.4%0.9%3.1M-30.0M-10.0M1.814.2727,71850,230293,757451,995
2012-06-29$128.45$126.0013.5%3.9%17.1%6.6%14.1%3.7%1.2%57.1M-863.0M-9.8M1.2914.5636,76547,378295,247470,824