DIA Options History — October 2012

In October 2012, DIA traded between $130.59 and $135.83. ATM implied volatility averaged 12.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.9% (HV 20d: 9.0%). Max pain ranged from $134.00 to $136.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2012-10-19: Highest Volume — 138,027 contracts
  • 2012-10-04: Largest IV drop — 20.8% change
  • 2012-10-31: Highest IV Rank — 27.8%
  • 2012-10-31: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.53$130.59$135.83$134.78$130.60
Max Pain$135.10$134.00$136.00$134.00$135.00
ATM IV12.9%9.6%15.2%13.0%15.2%
Expected Move3.7%3.3%4.4%3.4%4.4%
HV 20d9.0%6.7%12.0%9.3%11.5%
HV 60d9.9%9.3%10.4%10.4%9.3%
IV Rank15.3%0.0%27.8%10.0%27.8%
IV Percentile28.9%0.0%62.7%25.8%62.7%
Term Structure0.5%-0.9%1.1%0.8%-0.9%
VWIV13.4%11.2%17.3%11.9%15.7%
Skew 25d3.6%2.3%4.5%3.1%3.6%
Skew 10d7.2%4.8%10.0%5.1%8.7%
Call IV 25d11.6%10.3%14.4%10.9%14.4%
Put IV 25d15.2%12.6%18.0%13.9%18.0%
Bid-Ask Spread %4.922.799.336.562.79
Gamma HHI0.080.060.170.080.08
Net GEX53.5M-124.5M165.1M89.0M-5.3M
Net DEX-354.9M-1.28B507.5M-780.5M507.5M
Net VEX-10.8M-11.9M-9.9M-11.5M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.432.150.971.03
Total Volume53,647.33330,204138,02750,13339,596
Total OI832,995.19732,204901,998780,095799,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$134.78$134.0013.0%3.4%9.3%10.0%11.9%3.1%0.8%89.0M-780.5M-11.5M0.976.5625,42924,704337,400442,695
2012-10-02$134.55$134.0012.8%3.3%9.2%9.6%12.1%3.0%1.1%81.6M-726.5M-11.4M1.245.9216,18019,997345,171450,819
2012-10-03$134.73$134.0014.0%3.3%9.2%15.8%11.2%2.7%1.0%88.0M-781.8M-11.3M0.433.2451,60422,219351,769457,630
2012-10-04$135.47$134.0011.1%3.3%7.3%4.6%11.5%2.3%1.0%136.1M-1.12B-11.9M1.206.2315,76718,923372,553464,771
2012-10-05$135.83$136.009.6%3.4%7.3%0.0%12.3%3.6%1.1%165.1M-1.28B-11.3M1.353.1919,54126,452366,121472,343
2012-10-08$135.51$136.0011.3%3.5%7.1%8.3%12.8%3.6%0.8%135.1M-1.06B-11.1M1.565.2911,80718,397367,541474,155
2012-10-09$134.65$136.0012.9%3.7%7.5%16.0%13.3%3.9%0.7%79.9M-653.3M-11.3M1.584.6515,89925,188373,537478,947
2012-10-10$133.16$136.0012.7%3.8%8.4%15.2%13.4%4.0%0.7%16.5M-81.5M-11.0M0.834.6334,41728,585378,415481,724
2012-10-11$133.13$136.0012.9%3.7%7.1%16.3%13.1%3.6%0.8%10.5M-45.1M-10.8M1.005.1125,61625,533388,920486,125
2012-10-12$133.00$135.0013.2%3.8%6.7%17.7%13.5%3.8%0.6%-14.8M27.4M-10.8M1.299.3318,44123,842397,135493,153
2012-10-15$134.06$135.0012.6%3.6%7.4%14.5%13.1%3.7%0.7%85.3M-494.8M-10.5M0.874.8318,79616,397396,760494,688
2012-10-16$135.09$135.0012.3%3.5%7.9%13.5%12.8%3.6%0.7%149.7M-945.1M-10.2M1.235.7325,68831,566395,664494,210
2012-10-17$135.39$135.0012.3%3.5%7.9%13.5%11.9%3.4%0.8%129.0M-1.00B-10.4M0.852.9224,80821,004396,614505,384
2012-10-18$135.15$135.0012.1%3.5%7.9%12.0%13.6%3.2%0.8%102.1M-878.4M-10.4M1.105.8434,05137,426386,899507,100
2012-10-19$132.75$136.0012.9%3.7%10.1%16.1%12.6%4.2%0.7%-124.5M413.2M-10.3M1.015.4568,58969,438367,842512,906
2012-10-22$133.23$135.0013.1%3.8%10.2%17.3%14.4%4.1%0.4%36.5M-253.2M-10.6M1.983.5619,85339,238319,911412,293
2012-10-23$130.70$135.0015.0%4.3%12.0%26.8%15.3%4.5%-0.1%-6.6M453.3M-10.4M1.104.3431,24634,419327,871421,929
2012-10-24$130.59$135.0014.6%4.2%12.0%24.6%17.3%4.1%0.0%-5.6M470.1M-10.4M2.153.7218,05438,879336,548428,927
2012-10-25$130.79$135.0014.5%4.2%11.8%24.2%14.9%4.0%-0.1%-7.4M389.9M-10.4M1.224.7318,73222,778343,372453,905
2012-10-26$130.88$135.0013.3%4.2%11.8%18.0%14.6%3.9%-0.2%-17.1M385.8M-10.5M0.935.2624,59922,896349,762460,125
2012-10-31$130.60$135.0015.2%4.4%11.5%27.8%15.7%3.6%-0.9%-5.3M507.5M-9.9M1.032.7919,46620,130345,714453,551