DIA Options History — July 2012

In July 2012, DIA traded between $125.52 and $130.61. ATM implied volatility averaged 13.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.0% (HV 20d: 14.9%). Max pain ranged from $126.00 to $128.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-07-26: Highest Volume — 131,908 contracts
  • 2012-07-09: Largest IV spike — 15.9% change
  • 2012-07-24: Highest IV Rank — 11.7%
  • 2012-07-10: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.90$125.52$130.61$128.22$129.69
Max Pain$126.95$126.00$128.00$126.00$127.00
ATM IV13.9%12.5%15.4%13.3%15.4%
Expected Move4.0%3.7%4.5%3.8%4.4%
HV 20d14.9%13.3%17.1%17.1%13.4%
HV 60d14.8%14.2%15.3%15.3%15.1%
IV Rank7.7%4.0%11.7%6.0%11.6%
IV Percentile22.9%8.3%40.5%15.9%40.5%
Term Structure0.8%-0.4%1.5%1.0%-0.4%
VWIV14.4%12.6%15.7%12.9%15.2%
Skew 25d4.1%3.4%4.8%3.4%3.5%
Skew 10d7.7%6.2%9.3%6.9%6.5%
Call IV 25d12.5%11.2%14.3%11.6%14.3%
Put IV 25d16.6%14.6%18.4%15.0%17.8%
Bid-Ask Spread %5.152.908.404.158.24
Gamma HHI0.090.060.130.080.10
Net GEX36.3M-63.6M153.4M31.9M102.1M
Net DEX-400.6M-1.19B292.2M-477.0M-859.1M
Net VEX-10.4M-11.9M-9.7M-9.8M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.451.390.490.45
Total Volume63,124.71433,753131,90852,66557,308
Total OI782,609.429691,761911,492703,476740,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$128.22$126.0013.3%3.8%17.1%6.0%12.9%3.4%1.0%31.9M-477.0M-9.8M0.494.1535,27117,394256,451447,025
2012-07-03$129.15$126.0012.9%3.7%17.1%5.0%13.6%3.5%0.9%55.2M-714.9M-9.8M0.943.8718,99117,827277,642449,563
2012-07-05$128.62$126.0013.1%3.7%15.6%5.5%13.8%3.7%1.1%41.8M-589.0M-9.9M0.985.3520,85820,370285,405457,532
2012-07-06$127.57$127.0012.5%4.1%15.9%4.0%15.1%4.7%1.0%17.5M-325.4M-9.9M1.114.9825,35328,204287,873463,751
2012-07-09$127.24$127.0014.4%4.3%15.8%9.1%15.7%4.6%0.6%4.7M-228.8M-9.8M1.174.6718,33821,414292,527468,964
2012-07-10$126.35$127.0015.2%4.5%15.4%11.0%15.7%4.8%0.6%-26.7M66.4M-9.7M1.154.8031,19035,902295,946473,406
2012-07-11$125.83$127.0014.4%4.3%14.6%8.9%14.9%4.4%0.7%-39.9M195.9M-10.1M1.044.6233,47134,884309,634487,246
2012-07-12$125.52$127.0015.0%4.3%14.4%10.7%15.4%4.5%0.7%-43.7M292.2M-10.3M0.763.8738,31929,025321,785496,238
2012-07-13$127.60$127.0013.5%3.9%15.0%6.7%14.1%4.1%0.9%38.7M-435.5M-10.5M1.064.2827,13528,721330,091504,653
2012-07-16$126.90$127.0014.3%4.1%14.9%8.8%14.5%3.9%0.7%-12.3M-164.6M-10.3M1.363.7214,32019,433333,156516,034
2012-07-17$127.86$127.0013.6%3.9%15.1%6.8%14.0%3.9%0.8%37.9M-462.3M-10.2M1.124.3322,35224,963335,864516,875
2012-07-18$129.06$127.0013.3%3.8%15.3%6.0%13.4%3.7%0.8%84.9M-881.8M-10.1M0.954.3949,70247,343337,653525,019
2012-07-19$129.20$127.0013.0%3.7%15.3%5.2%12.8%3.5%1.1%98.0M-973.4M-10.4M0.865.1035,73730,787360,153551,339
2012-07-20$127.97$127.0013.0%3.7%13.9%5.4%12.6%4.1%1.5%-63.6M-112.7M-10.4M0.618.4048,29429,349329,345556,643
2012-07-23$126.75$127.0014.5%4.2%14.2%9.3%15.0%4.5%1.0%32.3M-44.2M-10.6M1.172.9025,47129,719303,031388,730
2012-07-24$126.29$127.0015.4%4.4%13.6%11.7%15.2%4.4%0.6%3.4M155.8M-10.4M0.495.3156,35327,800311,869396,963
2012-07-25$126.67$127.0014.6%4.2%13.6%9.6%15.7%4.8%0.9%35.6M-75.4M-10.9M1.047.1831,37432,780309,868401,505
2012-07-26$128.54$127.0013.3%3.8%14.3%6.2%13.4%4.1%0.9%80.3M-553.8M-11.1M0.657.1579,72052,188312,538412,251
2012-07-27$130.61$128.0012.9%3.7%15.2%5.0%14.1%3.8%0.9%153.4M-1.19B-11.7M1.396.4236,83151,020348,512433,048
2012-07-30$130.30$128.0014.8%4.3%13.3%10.1%15.1%3.6%0.1%130.0M-1.04B-11.9M1.244.3817,88122,227355,469452,717
2012-07-31$129.69$127.0015.4%4.4%13.4%11.6%15.2%3.5%-0.4%102.1M-859.1M-11.2M0.458.2439,44217,866318,513421,971