DIA Options History — March 2013

In March 2013, DIA traded between $140.58 and $145.45. ATM implied volatility averaged 9.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $138.00 to $143.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2013-03-05: Highest Volume — 119,422 contracts
  • 2013-03-18: Largest IV spike — 16.9% change
  • 2013-03-25: Highest IV Rank — 15.9%
  • 2013-03-25: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.94$140.58$145.45$140.58$145.45
Max Pain$141.45$138.00$143.00$138.00$143.00
ATM IV9.8%7.8%11.0%10.9%10.1%
Expected Move2.9%2.5%3.2%3.1%2.9%
HV 20d9.0%6.2%9.8%9.8%6.2%
HV 60d10.7%8.9%11.1%11.1%8.9%
IV Rank9.0%0.0%15.9%13.3%11.3%
IV Percentile7.3%0.0%19.0%10.7%9.9%
Term Structure0.9%0.6%1.3%0.6%1.0%
VWIV10.6%9.5%11.6%11.5%10.4%
Skew 25d3.5%2.8%4.4%4.4%3.4%
Skew 10d7.0%5.0%8.7%8.7%7.0%
Call IV 25d8.7%7.9%9.6%9.6%8.3%
Put IV 25d12.2%10.7%13.9%13.9%11.7%
Bid-Ask Spread %5.403.987.565.887.34
Gamma HHI0.180.100.470.190.12
Net GEX129.8M23.0M310.6M117.4M79.1M
Net DEX-1.47B-2.72B-748.3M-993.1M-1.28B
Net VEX-8.0M-8.8M-7.0M-8.8M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.602.392.051.42
Total Volume56,148.2532,886119,42255,86638,855
Total OI549,815.75437,974656,243581,845522,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$140.58$138.0010.9%3.1%9.8%13.3%11.5%4.4%0.6%117.4M-993.1M-8.8M2.055.8818,32837,538291,580290,265
2013-03-04$141.16$138.0010.5%3.0%9.6%11.0%10.7%3.9%0.7%172.5M-1.16B-8.4M1.344.4314,44119,331286,855284,366
2013-03-05$142.26$138.0010.2%2.9%9.5%9.5%10.6%3.5%0.6%220.0M-1.61B-8.3M1.035.9658,87360,549290,557291,804
2013-03-06$142.61$139.009.3%2.8%9.5%5.2%10.1%3.4%0.7%211.3M-1.76B-8.3M0.745.4846,01634,104289,890296,234
2013-03-07$143.19$139.009.4%2.8%9.5%5.5%10.2%3.1%0.6%166.5M-1.91B-7.9M1.314.6723,32230,563296,077310,797
2013-03-08$143.68$139.008.6%2.6%9.5%1.4%9.6%2.8%0.8%178.3M-2.20B-7.8M1.166.8133,05238,368305,546321,933
2013-03-11$144.41$142.009.0%2.8%9.6%3.3%10.6%3.3%1.1%195.2M-2.37B-7.1M0.714.8931,05421,921303,755322,509
2013-03-12$144.45$142.009.0%2.8%9.5%3.4%10.3%3.4%1.1%191.0M-2.36B-7.3M1.155.3821,99325,282307,691329,192
2013-03-13$144.54$142.007.8%2.6%9.5%0.0%10.2%3.2%1.2%223.7M-2.35B-7.6M1.385.5518,41325,445313,145337,977
2013-03-14$145.33$142.008.9%2.6%9.6%5.6%9.8%2.8%1.3%310.6M-2.72B-7.0M0.604.6171,37342,588313,753342,490
2013-03-15$144.85$143.008.8%2.5%9.7%4.9%9.5%2.9%1.3%104.8M-940.0M-7.6M0.767.5634,43726,335211,762363,264
2013-03-18$144.27$143.0010.3%2.9%9.8%12.2%11.0%3.4%1.0%41.3M-922.1M-8.1M2.023.9815,99632,326199,127238,847
2013-03-19$144.32$143.0010.9%3.1%9.8%15.6%11.5%3.7%0.7%40.6M-890.2M-8.4M2.395.1918,06843,134208,022247,362
2013-03-20$144.59$143.009.7%2.8%9.1%9.6%10.5%3.5%1.1%44.8M-993.3M-8.3M1.354.9215,19520,532212,887254,918
2013-03-21$143.92$143.0010.9%3.1%9.3%15.4%11.6%3.9%0.7%23.0M-748.3M-8.7M1.865.2411,84722,034216,797259,953
2013-03-22$144.99$143.0010.5%3.0%9.3%13.7%11.4%4.0%0.8%106.0M-1.12B-8.3M1.575.4512,79120,095219,024263,465
2013-03-25$144.27$143.0011.0%3.2%7.7%15.9%11.0%3.8%0.6%46.3M-893.1M-8.2M1.314.7718,70124,481214,542260,126
2013-03-26$145.12$143.0010.0%2.9%7.7%11.0%10.5%3.4%1.0%76.5M-1.18B-8.3M1.814.7712,10421,875219,497264,776
2013-03-27$144.89$143.0010.1%2.9%6.3%11.7%10.3%3.6%1.0%47.3M-1.06B-8.3M0.835.1733,70927,896220,302272,913
2013-03-28$145.45$143.0010.1%2.9%6.2%11.3%10.4%3.4%1.0%79.1M-1.28B-8.2M1.427.3416,02922,826243,815278,500