DIA Options History — January 2013

In January 2013, DIA traded between $133.12 and $139.33. ATM implied volatility averaged 10.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 3.5% (HV 20d: 14.2%). Max pain ranged from $130.00 to $137.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-01-02: Highest Volume — 98,317 contracts
  • 2013-01-28: Largest IV spike — 25.4% change
  • 2013-01-30: Highest IV Rank — 25.9%
  • 2013-01-04: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.89$133.12$139.33$133.77$138.56
Max Pain$133.33$130.00$137.00$130.00$136.00
ATM IV10.7%8.8%13.8%12.2%11.7%
Expected Move3.1%2.7%3.5%3.1%3.0%
HV 20d14.2%6.8%15.5%15.4%6.8%
HV 60d13.8%12.8%14.4%14.4%12.8%
IV Rank7.7%0.0%25.9%14.0%15.0%
IV Percentile8.6%0.0%58.3%16.7%17.5%
Term Structure1.2%0.4%1.7%1.4%0.9%
VWIV11.5%9.8%13.9%12.6%11.2%
Skew 25d3.1%2.4%3.5%3.1%3.1%
Skew 10d6.1%4.5%8.6%5.9%6.8%
Call IV 25d9.6%7.9%10.9%9.9%9.5%
Put IV 25d12.7%11.1%14.2%13.1%12.6%
Bid-Ask Spread %4.803.0116.1710.673.93
Gamma HHI0.120.090.170.110.11
Net GEX104.5M62.1M159.7M126.0M65.6M
Net DEX-1.11B-1.48B-717.3M-1.03B-1.09B
Net VEX-7.0M-7.5M-6.4M-7.1M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.312.401.611.38
Total Volume38,914.85720,34398,31798,31731,388
Total OI544,430.905365,072649,721562,524466,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$133.77$130.0012.2%3.1%15.4%14.0%12.6%3.1%1.4%126.0M-1.03B-7.1M1.6110.6737,66860,649252,853309,671
2013-01-03$133.66$131.0011.3%3.1%15.4%9.0%11.2%2.4%1.7%105.0M-946.4M-7.5M0.934.1620,77319,414259,914344,461
2013-01-04$133.96$132.009.7%3.5%15.3%0.3%13.1%3.4%1.0%159.7M-1.02B-7.4M1.004.5618,23218,250260,861349,432
2013-01-07$134.09$132.009.4%3.4%15.3%0.0%13.9%3.4%1.3%125.5M-963.7M-6.9M1.613.8213,93322,483256,797346,544
2013-01-08$133.12$132.0010.2%3.4%15.5%4.7%12.1%3.5%1.3%75.9M-717.3M-7.1M1.003.2916,16016,172261,982352,267
2013-01-09$133.68$132.009.2%3.3%15.5%0.0%13.2%3.3%1.5%94.1M-893.0M-7.2M2.403.199,50722,782267,240353,138
2013-01-10$134.51$132.0011.2%3.2%15.5%10.5%12.6%3.4%1.4%126.2M-1.16B-7.1M1.243.3216,26020,179269,823361,314
2013-01-11$134.75$133.0011.1%3.2%15.4%9.8%12.1%3.3%1.4%131.0M-1.21B-7.2M0.884.0111,74710,292275,397367,118
2013-01-14$134.81$133.0011.3%3.2%15.2%10.8%12.2%3.4%1.3%129.8M-1.24B-6.9M1.303.0913,24917,239273,350365,205
2013-01-15$135.04$133.0011.1%3.2%15.2%9.9%11.9%3.4%1.6%125.8M-1.32B-6.8M1.233.019,13911,204276,893368,929
2013-01-16$134.81$133.0011.0%3.2%15.0%9.4%11.6%3.4%1.5%119.6M-1.24B-6.8M1.543.689,51914,635277,839371,882
2013-01-17$135.81$133.0010.8%3.1%15.1%8.5%11.9%3.2%1.3%135.4M-1.48B-6.9M0.853.6726,04122,205275,757372,220
2013-01-18$136.06$134.009.9%2.8%14.9%3.6%10.2%2.9%1.4%118.0M-900.2M-6.7M0.664.7025,51216,926230,660379,236
2013-01-22$137.20$134.009.5%2.7%15.1%1.3%10.1%2.6%1.2%81.2M-1.02B-6.4M1.0816.1715,46616,687192,403172,669
2013-01-23$136.81$134.009.3%2.7%14.3%0.4%10.2%3.3%1.2%86.9M-1.04B-6.6M1.624.7317,00027,484198,259180,940
2013-01-24$138.11$134.009.5%2.7%14.2%1.2%9.9%2.7%1.0%77.5M-1.15B-6.6M1.323.2825,36933,494203,086192,756
2013-01-25$138.45$135.008.8%2.9%14.1%0.0%10.3%2.7%0.7%79.9M-1.19B-6.8M1.737.7113,07722,647212,987206,333
2013-01-28$138.59$135.0011.1%2.9%14.1%11.7%9.8%2.7%0.8%67.8M-1.17B-6.9M0.313.2135,81911,123212,436202,455
2013-01-29$139.33$135.0012.0%3.0%11.3%16.7%11.2%2.9%0.4%102.0M-1.36B-6.8M2.193.3712,41127,156239,843207,958
2013-01-30$138.66$137.0013.8%3.1%10.1%25.9%11.2%2.9%0.5%62.1M-1.13B-7.3M1.383.2111,72416,197245,055218,387
2013-01-31$138.56$136.0011.7%3.0%6.8%15.0%11.2%3.1%0.9%65.6M-1.09B-7.3M1.383.9313,19618,192247,646219,053