DIA Options History — September 2012

In September 2012, DIA traded between $130.43 and $135.89. ATM implied volatility averaged 12.3%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.1% (HV 20d: 9.2%). Max pain ranged from $130.00 to $134.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2012-09-20: Highest Volume — 161,318 contracts
  • 2012-09-10: Largest IV spike — 46.1% change
  • 2012-09-11: Highest IV Rank — 22.2%
  • 2012-09-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.03$130.43$135.89$130.43$134.05
Max Pain$132.00$130.00$134.00$130.00$134.00
ATM IV12.3%10.5%16.5%14.7%11.5%
Expected Move3.4%3.0%4.3%4.2%3.4%
HV 20d9.2%6.1%10.1%6.3%9.6%
HV 60d11.7%10.5%12.7%12.7%10.5%
IV Rank7.6%1.4%22.2%15.9%4.8%
IV Percentile15.8%0.8%59.1%43.3%7.5%
Term Structure0.9%-0.2%1.6%0.3%1.0%
VWIV12.4%10.0%15.7%15.4%11.9%
Skew 25d3.4%2.7%4.7%4.7%3.2%
Skew 10d6.4%3.9%9.5%9.5%5.4%
Call IV 25d10.7%9.2%12.6%12.4%10.5%
Put IV 25d14.1%12.2%17.2%17.1%13.7%
Bid-Ask Spread %6.703.1319.2919.296.69
Gamma HHI0.140.070.230.080.07
Net GEX173.0M30.9M375.1M30.9M45.7M
Net DEX-1.38B-2.78B-255.7M-255.7M-442.5M
Net VEX-11.0M-11.7M-10.0M-11.7M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.342.500.730.98
Total Volume67,559.52628,263161,31845,75682,390
Total OI884,519.105712,5221,006,536845,644796,338

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$130.43$130.0014.7%4.2%6.3%15.9%15.4%4.7%0.3%30.9M-255.7M-11.7M0.7319.2926,46219,294368,215477,429
2012-09-05$130.43$130.0014.9%4.3%6.1%16.6%15.7%4.5%-0.2%41.6M-298.2M-11.7M0.648.8828,22018,130375,526483,422
2012-09-06$132.71$130.0012.4%3.5%8.8%8.2%12.6%3.6%0.4%165.3M-1.21B-11.7M1.976.0536,97572,804385,196489,026
2012-09-07$132.91$131.0010.5%3.1%8.8%1.7%10.8%3.2%1.0%201.4M-1.22B-11.4M1.558.0911,98618,629387,346532,918
2012-09-10$132.36$131.0015.4%3.8%8.9%18.3%13.4%4.3%0.9%91.3M-853.5M-11.7M1.725.3610,40117,862383,300528,644
2012-09-11$132.90$131.0016.5%3.7%8.9%22.2%13.1%4.3%1.0%123.3M-1.13B-11.1M0.795.0128,99822,811386,013533,090
2012-09-12$133.53$131.0012.2%3.5%9.0%7.4%12.8%4.0%0.9%178.9M-1.44B-11.1M0.889.2317,03514,933392,941540,056
2012-09-13$135.15$131.0011.9%3.4%9.9%6.2%12.3%3.4%0.7%269.4M-2.29B-10.1M0.868.0986,25774,486397,166544,856
2012-09-14$135.89$131.0012.1%3.5%10.0%7.0%12.5%2.7%0.6%260.7M-2.60B-10.4M0.356.6188,11130,973404,627555,794
2012-09-17$135.42$132.0012.2%3.5%10.1%7.4%12.7%3.0%1.1%292.5M-2.51B-10.8M0.803.6921,79517,509427,018555,752
2012-09-18$135.67$132.0011.1%3.2%10.0%3.7%12.1%2.9%1.1%297.7M-2.70B-10.0M2.505.769,31223,292426,211559,370
2012-09-19$135.65$132.0011.0%3.2%9.9%3.3%11.2%3.0%1.2%294.8M-2.67B-10.2M0.634.8829,31818,517426,735565,039
2012-09-20$135.86$132.0010.8%3.1%9.8%2.4%11.1%2.8%1.4%375.1M-2.78B-10.5M0.3410.38120,10441,214438,707567,829
2012-09-21$135.43$134.0010.5%3.0%9.6%1.4%10.0%2.9%1.6%163.2M-961.0M-10.6M1.094.0134,38037,603338,873582,483
2012-09-24$135.31$134.0010.8%3.1%9.6%2.6%10.4%2.8%1.2%135.6M-949.5M-10.8M0.663.1322,48314,910308,811403,711
2012-09-25$134.51$134.0011.2%3.2%9.7%3.9%11.8%3.2%1.3%119.9M-695.0M-10.9M1.123.3421,24023,819322,130410,491
2012-09-26$133.88$134.0012.3%3.5%9.9%7.8%13.0%3.6%0.9%76.5M-438.1M-11.2M1.373.5331,47543,219327,703419,286
2012-09-27$134.53$134.0011.0%3.2%10.0%3.2%12.8%3.0%1.1%123.8M-693.6M-11.0M2.445.3219,39247,292333,862429,949
2012-09-28$134.05$134.0011.5%3.4%9.6%4.8%11.9%3.2%1.0%45.7M-442.5M-11.2M0.986.6941,68240,708339,316457,022