DIA Options History — August 2012

In August 2012, DIA traded between $128.57 and $132.35. ATM implied volatility averaged 12.3%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.1% (HV 20d: 11.2%). Max pain ranged from $128.00 to $131.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2012-08-16: Highest Volume — 121,781 contracts
2012-08-16: Largest IV spike — 17.4% change
2012-08-30: Highest IV Rank — 15.3%
2012-08-01: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$131.16	$128.57	$132.35	$129.50	$130.88
Max Pain	$129.74	$128.00	$131.00	$128.00	$130.00
ATM IV	12.3%	10.1%	16.1%	16.1%	13.8%
Expected Move	3.7%	3.3%	4.6%	4.6%	3.9%
HV 20d	11.2%	6.2%	14.3%	13.2%	6.2%
HV 60d	14.5%	12.6%	15.5%	15.1%	12.7%
IV Rank	6.5%	0.0%	15.3%	13.5%	12.7%
IV Percentile	13.3%	0.0%	46.0%	46.0%	30.6%
Term Structure	0.5%	-0.5%	1.1%	-0.5%	0.6%
VWIV	13.3%	11.6%	16.5%	16.0%	14.8%
Skew 25d	3.8%	2.4%	4.9%	3.3%	4.5%
Skew 10d	7.6%	4.1%	9.8%	5.8%	9.7%
Call IV 25d	11.4%	9.9%	14.3%	14.3%	12.1%
Put IV 25d	15.2%	13.3%	17.6%	17.6%	16.6%
Bid-Ask Spread %	5.55	2.87	27.50	3.47	27.50
Gamma HHI	0.11	0.08	0.17	0.08	0.09
Net GEX	120.6M	31.2M	197.6M	107.1M	87.5M
Net DEX	-970.5M	-1.73B	-156.2M	-766.6M	-457.7M
Net VEX	-11.8M	-12.4M	-11.3M	-12.2M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.48	2.42	1.09	2.34
Total Volume	53,180.783	16,738	121,781	47,868	97,037
Total OI	843,175	704,967	954,444	843,660	819,662

Daily Data (23 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
2012-08-01	$129.50	$128.00	16.1%	4.6%	13.2%	13.5%	16.0%	3.3%	-0.5%	107.1M	-766.6M	-12.2M	1.09	3.47	22,899	24,969	382,532	461,128
2012-08-02	$128.57	$128.00	13.7%	3.9%	13.4%	7.1%	14.1%	3.3%	0.8%	74.1M	-336.8M	-11.8M	1.17	4.28	36,214	42,512	385,729	463,744
2012-08-03	$130.82	$128.00	12.0%	3.4%	14.3%	2.8%	12.5%	2.4%	1.1%	178.3M	-1.29B	-11.9M	1.33	3.67	32,773	43,573	394,061	464,925
2012-08-06	$130.98	$129.00	12.5%	3.8%	14.3%	4.1%	13.5%	3.9%	0.3%	173.1M	-1.27B	-11.6M	1.89	3.72	15,386	29,084	391,995	472,520
2012-08-07	$131.49	$129.00	12.9%	3.9%	13.9%	5.0%	14.1%	3.7%	0.2%	189.7M	-1.45B	-11.6M	1.30	4.01	19,001	24,689	393,044	477,349
2012-08-08	$131.56	$129.00	11.3%	3.6%	13.8%	1.1%	13.3%	3.6%	0.3%	188.1M	-1.45B	-11.8M	2.42	4.11	13,947	33,695	399,140	487,770
2012-08-09	$131.66	$129.00	10.6%	3.5%	13.7%	0.0%	13.3%	3.7%	0.3%	177.0M	-1.43B	-11.6M	1.56	4.63	12,782	19,958	396,982	496,577
2012-08-10	$131.99	$129.00	10.1%	3.5%	12.6%	0.0%	11.9%	3.5%	0.3%	194.1M	-1.58B	-11.4M	0.49	4.05	49,082	24,099	397,213	502,018
2012-08-13	$131.66	$129.00	11.1%	3.5%	12.4%	3.6%	12.1%	3.5%	0.4%	170.3M	-1.43B	-11.3M	0.63	3.21	34,553	21,799	409,039	508,380
2012-08-14	$131.60	$130.00	11.0%	3.6%	12.3%	3.3%	13.0%	3.6%	0.4%	159.5M	-1.38B	-11.3M	0.76	4.10	30,267	22,927	417,457	513,144
2012-08-15	$131.66	$130.00	10.3%	3.5%	11.9%	0.7%	13.0%	3.5%	0.4%	160.4M	-1.41B	-11.5M	1.33	4.03	18,754	24,963	424,806	521,481
2012-08-16	$131.70	$130.00	12.0%	3.5%	11.9%	6.9%	12.0%	4.0%	0.7%	197.6M	-1.73B	-11.6M	0.55	11.87	78,633	43,148	426,651	527,793
2012-08-17	$132.35	$131.00	11.7%	3.3%	11.3%	5.5%	11.6%	3.4%	0.7%	59.0M	-1.10B	-11.5M	0.88	3.73	28,363	24,914	371,989	542,717
2012-08-20	$132.26	$131.00	11.5%	3.3%	10.6%	4.8%	12.1%	3.5%	0.7%	93.0M	-913.9M	-11.4M	0.82	2.90	15,542	12,765	304,140	400,827
2012-08-21	$131.91	$131.00	11.8%	3.4%	10.5%	6.1%	12.5%	3.9%	0.7%	83.7M	-817.5M	-11.8M	1.13	3.16	22,362	25,245	315,084	407,595
2012-08-22	$131.49	$131.00	12.4%	3.6%	10.7%	8.1%	11.6%	3.6%	0.7%	74.5M	-681.2M	-12.0M	0.48	6.50	44,037	20,990	322,588	415,271
2012-08-23	$130.80	$131.00	12.2%	3.5%	9.8%	7.2%	13.0%	3.8%	0.7%	52.0M	-358.8M	-12.1M	1.54	5.42	23,720	36,616	351,856	421,814
2012-08-24	$131.52	$131.00	11.8%	3.3%	8.2%	5.9%	12.7%	3.8%	0.7%	96.7M	-732.6M	-12.4M	1.33	2.87	20,568	27,334	360,888	433,022
2012-08-27	$131.00	$130.00	13.2%	3.8%	8.3%	10.7%	13.3%	4.3%	0.8%	85.6M	-589.9M	-12.0M	1.38	4.59	7,247	9,972	360,044	432,868
2012-08-28	$130.80	$130.00	13.6%	3.9%	8.1%	12.2%	13.4%	4.6%	0.6%	71.3M	-500.4M	-12.1M	1.77	4.71	6,053	10,685	363,589	437,320
2012-08-29	$130.80	$130.00	13.9%	4.0%	8.1%	13.1%	14.6%	4.7%	0.8%	70.0M	-480.7M	-12.1M	1.53	5.73	8,419	12,855	365,386	440,076
2012-08-30	$129.76	$130.00	14.5%	4.2%	8.2%	15.3%	16.5%	4.9%	0.6%	31.2M	-156.2M	-11.9M	1.96	5.48	16,440	32,287	367,335	443,476
2012-08-31	$130.88	$130.00	13.8%	3.9%	6.2%	12.7%	14.8%	4.5%	0.6%	87.5M	-457.7M	-11.9M	2.34	27.50	29,060	67,977	369,872	449,790