DIA Options History — December 2012

In December 2012, DIA traded between $128.15 and $133.43. ATM implied volatility averaged 14.7%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.1% (HV 20d: 10.6%). Max pain ranged from $129.00 to $131.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2012-12-21: Highest Volume — 100,167 contracts
  • 2012-12-28: Largest IV spike — 83.3% change
  • 2012-12-28: Highest IV Rank — 100.0%
  • 2012-12-28: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.35$128.15$133.43$129.59$130.70
Max Pain$129.46$129.00$131.00$129.00$130.00
ATM IV14.7%12.3%28.0%13.4%20.2%
Expected Move4.0%3.7%5.4%3.8%4.3%
HV 20d10.6%8.3%14.9%14.9%13.2%
HV 60d12.3%11.9%13.6%12.6%13.6%
IV Rank33.8%18.9%100.0%21.7%57.4%
IV Percentile51.8%19.4%100.0%41.3%97.6%
Term Structure0.1%-3.6%0.8%0.3%-0.5%
VWIV14.5%13.3%18.3%13.7%16.5%
Skew 25d4.0%3.0%5.7%3.6%5.0%
Skew 10d7.9%5.7%11.5%7.1%9.8%
Call IV 25d12.6%11.7%16.4%12.3%12.8%
Put IV 25d16.6%14.9%22.2%15.9%17.7%
Bid-Ask Spread %6.712.9922.938.682.99
Gamma HHI0.090.050.130.060.07
Net GEX114.7M6.3M216.5M59.2M82.3M
Net DEX-644.3M-1.50B336.7M-151.3M-312.2M
Net VEX-8.2M-9.0M-7.5M-8.8M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.442.341.321.15
Total Volume47,280.319,379100,16731,40479,536
Total OI793,201.05637,628874,966804,778658,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$129.59$129.0013.4%3.8%14.9%21.7%13.7%3.6%0.3%59.2M-151.3M-8.8M1.328.6813,52317,881359,548445,230
2012-12-04$129.40$129.0014.4%4.1%14.8%27.6%14.7%3.9%-0.3%50.6M-99.1M-8.8M1.4814.3411,82717,554362,390453,089
2012-12-05$130.32$129.0014.0%4.0%14.4%24.8%14.4%3.4%0.0%85.9M-415.4M-8.8M0.814.1623,37719,023366,222457,783
2012-12-06$130.70$129.0013.7%3.9%11.2%23.0%13.3%3.3%0.1%103.3M-545.5M-9.0M1.703.9212,60921,400372,295463,093
2012-12-07$131.50$129.0013.5%3.9%11.0%22.2%14.3%3.1%-0.0%139.4M-828.1M-8.7M1.073.3720,20521,674372,101465,070
2012-12-10$131.93$129.0012.9%3.8%10.9%18.9%14.0%3.0%0.1%144.2M-922.7M-8.4M0.783.8922,56817,512367,475461,425
2012-12-11$132.78$129.0013.6%3.7%11.1%22.7%13.7%3.1%0.5%198.8M-1.30B-8.4M1.203.2420,54924,633378,532465,934
2012-12-12$132.53$129.0012.3%3.7%10.8%19.6%13.6%3.3%0.7%175.1M-1.08B-8.4M0.443.4152,18722,717379,947470,536
2012-12-13$131.65$129.0013.4%3.8%9.1%27.7%13.9%3.3%0.6%113.7M-749.6M-8.3M1.543.9417,33926,661370,236476,343
2012-12-14$131.58$129.0013.6%3.9%9.2%29.0%14.2%3.7%0.6%81.5M-698.6M-8.4M1.2116.5413,83016,776374,140479,264
2012-12-17$132.63$129.0013.1%3.7%9.3%27.8%13.8%3.5%0.6%177.3M-1.14B-7.9M0.793.0722,40017,774371,128471,543
2012-12-18$133.43$129.7512.9%3.7%8.3%26.5%13.3%3.3%0.6%216.5M-1.50B-8.0M0.626.3836,63722,534379,086477,137
2012-12-19$132.71$129.7513.7%3.9%8.8%32.6%14.1%3.8%0.4%183.0M-1.21B-8.4M1.028.4025,63126,218390,867483,177
2012-12-20$133.36$129.7513.8%4.0%8.8%34.1%14.6%4.2%0.3%202.5M-1.36B-8.1M1.106.9122,16924,338385,302489,664
2012-12-21$131.73$130.0013.5%3.9%9.1%31.4%14.0%4.7%0.8%6.3M-163.4M-7.9M1.394.7341,99958,168334,219498,035
2012-12-24$130.97$130.0014.6%4.2%9.3%40.3%14.9%5.3%0.4%93.1M-321.2M-8.0M1.164.118,97710,402286,008351,620
2012-12-26$130.66$131.0014.8%4.3%9.1%42.4%15.4%5.2%0.7%87.2M-263.2M-7.8M2.344.267,58217,754289,197355,524
2012-12-27$130.67$130.0015.3%4.4%8.7%45.6%16.3%4.7%0.3%79.3M-167.3M-7.7M1.294.9124,30831,446289,123354,618
2012-12-28$128.15$130.0028.0%5.4%11.1%100.0%18.3%5.7%-3.6%14.6M336.7M-7.5M1.3322.9323,13030,758295,267363,416
2012-12-31$130.70$130.0020.2%4.3%13.2%57.4%16.5%5.0%-0.5%82.3M-312.2M-7.5M1.152.9937,04042,496294,915363,522