DIA Options History — November 2012

In November 2012, DIA traded between $125.50 and $132.33. ATM implied volatility averaged 14.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.5% (HV 20d: 15.4%). Max pain ranged from $129.00 to $135.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2012-11-07: Highest Volume — 91,639 contracts
2012-11-05: Largest IV spike — 26.6% change
2012-11-06: Highest IV Rank — 57.7%
2012-11-14: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.78	$125.50	$132.33	$132.00	$130.10
Max Pain	$130.95	$129.00	$135.00	$135.00	$129.00
ATM IV	14.9%	12.3%	21.3%	14.9%	13.2%
Expected Move	4.1%	3.5%	4.6%	4.1%	3.8%
HV 20d	15.4%	12.3%	17.0%	12.3%	15.5%
HV 60d	11.7%	9.6%	12.7%	9.6%	12.5%
IV Rank	26.9%	13.6%	57.7%	26.3%	20.4%
IV Percentile	51.8%	17.9%	88.1%	59.1%	36.9%
Term Structure	-0.2%	-0.9%	0.4%	-0.9%	0.0%
VWIV	14.5%	12.2%	16.2%	14.4%	13.1%
Skew 25d	3.7%	3.0%	4.8%	3.4%	3.6%
Skew 10d	7.3%	6.1%	10.0%	6.1%	6.6%
Call IV 25d	12.7%	11.2%	14.3%	13.0%	11.8%
Put IV 25d	16.4%	14.4%	18.8%	16.4%	15.4%
Bid-Ask Spread %	3.89	2.82	6.50	2.97	3.90
Gamma HHI	0.07	0.05	0.12	0.10	0.07
Net GEX	148.0K	-107.2M	90.7M	35.5M	83.0M
Net DEX	508.3M	-437.7M	1.74B	-2.8M	-403.2M
Net VEX	-8.9M	-10.2M	-8.0M	-10.1M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.39	3.13	1.21	1.25
Total Volume	50,416.333	23,503	91,639	52,761	33,343
Total OI	806,204.762	672,526	897,620	813,157	806,453

Daily Data (21 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
2012-11-01	$132.00	$135.00	14.9%	4.1%	12.3%	26.3%	14.4%	3.4%	-0.9%	35.5M	-2.8M	-10.1M	1.21	2.97	23,874	28,887	353,318	459,839
2012-11-02	$130.25	$135.00	16.6%	4.4%	13.0%	34.3%	15.0%	3.0%	-0.9%	-18.0M	596.3M	-9.8M	0.99	4.19	27,441	27,136	359,742	466,082
2012-11-05	$130.85	$132.00	21.0%	4.2%	13.0%	56.3%	15.6%	4.7%	-0.2%	-2.6M	388.9M	-10.0M	0.92	4.79	16,802	15,382	361,634	467,517
2012-11-06	$132.33	$132.00	21.3%	4.1%	13.7%	57.7%	14.7%	4.4%	-0.3%	36.8M	-113.2M	-10.2M	1.07	3.50	17,799	19,004	367,902	475,732
2012-11-07	$129.07	$132.00	16.9%	4.6%	16.1%	36.0%	16.2%	4.8%	-0.4%	-50.9M	986.0M	-9.6M	0.93	3.53	47,522	44,117	370,427	480,440
2012-11-08	$128.12	$132.00	15.5%	4.5%	16.1%	28.9%	15.4%	4.5%	-0.2%	-69.6M	1.26B	-9.3M	1.09	4.69	25,648	28,069	378,685	486,147
2012-11-09	$127.96	$132.00	15.8%	4.5%	15.8%	30.8%	15.8%	4.4%	0.1%	-99.7M	1.30B	-9.2M	0.89	4.96	35,078	31,064	385,610	493,526
2012-11-12	$128.25	$131.00	14.9%	4.2%	15.8%	26.3%	15.4%	3.6%	-0.2%	-34.9M	1.12B	-8.8M	1.52	3.02	12,653	19,181	390,799	484,763
2012-11-13	$127.55	$131.00	15.1%	4.1%	15.9%	28.1%	14.7%	3.5%	-0.2%	-53.8M	1.31B	-8.6M	0.83	2.84	24,282	20,208	393,087	489,535
2012-11-14	$125.50	$131.00	15.8%	4.6%	16.2%	31.8%	15.5%	3.7%	-0.2%	-107.2M	1.74B	-8.3M	1.04	3.08	25,427	26,421	398,433	491,580
2012-11-15	$125.59	$131.00	15.5%	4.4%	15.7%	30.4%	15.8%	3.7%	-0.3%	-62.9M	1.65B	-8.0M	1.31	6.50	33,622	44,073	397,413	483,644
2012-11-16	$125.60	$130.00	14.4%	4.1%	15.7%	24.7%	14.7%	3.7%	-0.1%	-74.0M	1.56B	-8.0M	1.45	5.68	28,622	41,369	409,613	488,007
2012-11-19	$127.45	$130.00	13.5%	3.9%	17.0%	20.0%	13.4%	3.3%	-0.1%	27.9M	199.9M	-8.2M	0.70	3.25	21,276	14,990	302,487	370,039
2012-11-20	$127.72	$130.00	12.7%	3.6%	16.1%	15.9%	13.2%	3.4%	-0.3%	37.6M	156.1M	-8.2M	0.47	2.97	21,937	10,235	308,980	376,067
2012-11-21	$128.15	$130.00	12.9%	3.7%	16.1%	16.9%	15.7%	3.3%	-0.1%	52.6M	43.9M	-8.3M	3.13	2.87	13,164	41,186	311,513	379,577
2012-11-23	$129.89	$130.00	12.3%	3.5%	15.6%	13.6%	13.6%	3.1%	-0.3%	63.1M	-308.2M	-8.6M	1.08	5.04	16,289	17,576	314,321	410,942
2012-11-26	$129.47	$130.00	13.0%	3.8%	15.6%	17.4%	13.6%	3.1%	-0.4%	49.3M	-161.1M	-8.5M	1.06	2.82	11,408	12,095	311,726	413,296
2012-11-27	$128.73	$129.00	13.0%	3.7%	15.7%	17.2%	12.6%	3.3%	0.4%	29.4M	36.2M	-8.5M	0.39	3.55	44,754	17,289	316,309	419,264
2012-11-28	$129.67	$129.00	12.6%	3.6%	16.0%	15.8%	14.2%	3.3%	0.4%	71.0M	-234.5M	-8.7M	1.11	3.89	25,518	28,203	347,546	428,970
2012-11-29	$130.23	$129.00	12.5%	3.6%	16.0%	16.4%	12.2%	3.2%	0.3%	90.7M	-437.7M	-8.7M	0.74	3.64	37,748	28,051	349,019	430,316
2012-11-30	$130.10	$129.00	13.2%	3.8%	15.5%	20.4%	13.1%	3.6%	0.0%	83.0M	-403.2M	-9.0M	1.25	3.90	14,825	18,518	361,864	444,589