DIA Options History — February 2013

In February 2013, DIA traded between $137.83 and $140.58. ATM implied volatility averaged 10.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.3% (HV 20d: 7.5%). Max pain ranged from $133.00 to $138.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.60.

Notable Days

  • 2013-02-15: Highest Volume — 83,740 contracts
  • 2013-02-04: Largest IV spike — 38.8% change
  • 2013-02-25: Highest IV Rank — 32.0%
  • 2013-02-25: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.44$137.83$140.58$139.65$140.28
Max Pain$135.53$133.00$138.00$133.00$137.00
ATM IV10.8%8.3%14.6%8.3%11.9%
Expected Move3.2%2.7%4.2%3.0%3.4%
HV 20d7.5%6.7%10.0%7.0%9.8%
HV 60d11.2%10.4%12.9%12.9%11.2%
IV Rank12.9%0.0%32.0%0.0%18.4%
IV Percentile14.5%0.0%71.8%0.0%27.4%
Term Structure0.3%-0.7%0.6%0.3%0.0%
VWIV11.5%9.3%14.3%12.2%12.1%
Skew 25d3.9%3.3%5.5%3.4%4.5%
Skew 10d7.8%5.9%11.2%5.9%9.2%
Call IV 25d9.7%8.3%12.5%9.6%10.0%
Put IV 25d13.6%11.7%18.0%13.1%14.4%
Bid-Ask Spread %4.553.017.863.756.45
Gamma HHI0.160.110.260.140.18
Net GEX82.6M7.0M148.4M119.1M85.5M
Net DEX-1.05B-1.46B-291.5M-1.43B-842.9M
Net VEX-7.5M-8.8M-6.8M-6.9M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.463.001.211.60
Total Volume51,234.94720,95583,74062,78754,782
Total OI510,371.158421,636567,701478,829567,701

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$139.65$133.008.3%3.0%7.0%0.0%12.2%3.4%0.3%119.1M-1.43B-6.9M1.213.7528,46934,318254,298224,531
2013-02-04$138.76$134.0011.6%3.3%7.7%16.5%11.9%3.9%0.2%72.8M-1.10B-7.4M1.013.4027,59227,934259,345230,483
2013-02-05$139.36$134.0011.0%3.2%7.7%13.6%11.8%3.7%0.4%104.8M-1.31B-7.2M1.163.0217,18319,976270,667230,225
2013-02-06$139.54$134.009.4%3.1%6.9%5.4%11.7%3.6%0.4%95.2M-1.35B-7.1M2.283.528,70819,815268,429236,923
2013-02-07$139.29$134.0011.1%3.2%7.0%14.0%11.5%3.8%0.3%66.2M-1.21B-7.2M3.003.4616,52549,535269,963241,400
2013-02-08$139.57$134.0010.2%2.9%6.9%9.7%10.7%3.7%0.5%61.7M-1.28B-7.2M1.023.9418,69919,030274,944267,199
2013-02-11$139.50$134.0010.8%3.1%6.9%12.7%11.0%3.7%0.3%57.1M-1.24B-7.1M1.143.169,78411,171274,906268,355
2013-02-12$140.01$135.0010.1%2.9%6.9%9.0%10.9%3.5%0.5%96.7M-1.46B-6.8M2.103.529,23719,368277,228270,375
2013-02-13$139.85$135.0010.1%2.9%7.0%9.2%10.9%3.7%0.6%64.0M-1.34B-6.8M1.263.0115,67119,689278,834276,447
2013-02-14$139.76$135.009.7%2.8%7.0%7.2%10.5%3.3%0.5%65.2M-1.30B-6.9M0.774.1727,23920,954277,900280,778
2013-02-15$139.50$137.0010.0%2.9%6.7%8.5%9.3%3.3%0.5%7.0M-740.0M-6.9M0.463.5457,22426,516245,815287,087
2013-02-19$140.01$137.009.8%2.7%6.8%7.4%10.0%3.3%0.5%147.5M-1.13B-7.2M1.643.4013,64222,319228,714192,922
2013-02-20$138.81$138.0011.2%3.2%7.2%14.8%11.1%4.0%0.3%89.9M-746.0M-7.5M1.704.2614,03123,905234,368204,953
2013-02-21$138.71$136.0011.6%3.3%7.1%16.7%12.1%4.3%0.1%75.7M-677.9M-7.7M2.645.9820,68654,548237,059209,758
2013-02-22$139.77$137.0010.9%3.1%6.8%13.3%11.7%4.2%0.2%78.9M-869.2M-8.1M0.627.8644,08627,300244,040235,679
2013-02-25$137.83$137.0014.6%4.2%8.5%32.0%14.3%5.5%-0.7%52.5M-291.5M-8.3M1.527.7226,40640,046264,681236,739
2013-02-26$138.53$137.0012.7%3.6%8.7%22.3%12.4%4.9%0.1%81.2M-481.9M-8.4M2.715.8916,86545,789276,560247,464
2013-02-27$140.58$137.0011.0%3.1%10.0%13.5%11.9%4.1%0.3%148.4M-1.08B-8.6M2.666.4317,61346,809282,963267,319
2013-02-28$140.28$137.0011.9%3.4%9.8%18.4%12.1%4.5%0.0%85.5M-842.9M-8.8M1.606.4521,07733,705282,844284,857