DIA Options History — April 2013

In April 2013, DIA traded between $144.60 and $148.47. ATM implied volatility averaged 10.9%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.1% (HV 20d: 8.9%). Max pain ranged from $143.00 to $145.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2013-04-17: Highest Volume — 142,685 contracts
  • 2013-04-15: Largest IV spike — 30.7% change
  • 2013-04-15: Highest IV Rank — 26.6%
  • 2013-04-15: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.44$144.60$148.47$145.39$148.07
Max Pain$144.64$143.00$145.00$143.00$145.00
ATM IV10.9%9.2%13.2%10.6%11.7%
Expected Move3.1%2.6%3.8%3.0%3.0%
HV 20d8.9%6.3%11.0%6.3%10.9%
HV 60d8.5%7.7%9.2%7.7%9.0%
IV Rank15.5%7.0%26.6%13.9%19.3%
IV Percentile22.4%3.2%52.8%15.5%35.3%
Term Structure0.8%-0.2%7.8%0.8%0.4%
VWIV11.4%10.3%13.3%11.0%11.3%
Skew 25d3.8%3.0%8.1%3.2%3.1%
Skew 10d7.2%4.5%9.9%7.4%5.1%
Call IV 25d9.4%7.5%11.7%8.9%9.4%
Put IV 25d13.2%11.3%16.3%12.1%12.5%
Bid-Ask Spread %11.784.1990.445.674.19
Gamma HHI0.110.070.240.110.08
Net GEX41.1M-93.2M113.3M68.5M85.1M
Net DEX-1.24B-2.01B-438.0M-1.11B-1.41B
Net VEX-8.3M-9.1M-7.2M-8.6M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.482.401.741.53
Total Volume66,874.90934,617142,68534,61737,253
Total OI552,445467,305661,241480,762537,664

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$145.39$143.0010.6%3.0%6.3%13.9%11.0%3.2%0.8%68.5M-1.11B-8.6M1.745.6712,65521,962233,634247,128
2013-04-02$146.22$143.0010.2%2.8%6.4%11.9%10.5%3.2%0.9%78.8M-1.35B-8.5M2.244.6814,13631,693238,264258,132
2013-04-03$145.34$143.0012.7%3.2%6.5%24.3%12.0%3.7%0.1%21.5M-1.01B-8.4M1.836.5427,78350,902239,802268,315
2013-04-04$145.72$143.0010.9%3.0%6.5%15.2%11.3%3.2%0.4%39.7M-1.24B-8.5M1.965.3415,06229,567253,173279,148
2013-04-05$145.26$145.0010.1%3.2%6.6%11.6%11.6%4.1%0.4%-1.5M-1.08B-8.2M2.406.3720,09748,171256,223284,819
2013-04-08$146.00$145.0010.8%3.1%6.7%14.9%11.7%4.0%0.5%72.6M-1.36B-8.0M1.676.2716,42827,469254,747278,800
2013-04-09$146.52$145.0010.3%2.9%6.6%12.2%11.1%3.7%0.7%88.0M-1.56B-7.6M1.794.2421,12537,856258,039287,012
2013-04-10$147.75$145.009.4%2.9%7.1%7.9%10.9%3.5%0.6%113.3M-1.98B-7.2M1.505.1943,20264,834262,948303,306
2013-04-11$148.47$145.0010.4%3.0%7.2%12.9%10.7%3.2%0.7%62.1M-2.01B-7.4M1.387.6734,99748,389260,586333,591
2013-04-12$148.29$145.0010.1%2.9%7.1%11.3%10.3%3.0%0.7%52.2M-1.98B-7.8M1.215.6126,56632,119274,530349,665
2013-04-15$145.81$145.0013.2%3.8%9.5%26.6%13.3%4.7%-0.2%-23.1M-891.1M-8.4M1.4414.0844,39563,890271,392333,449
2013-04-16$147.24$145.0011.0%3.2%9.9%16.0%11.4%3.9%0.5%53.7M-1.68B-7.8M1.205.7838,88746,673284,129334,038
2013-04-17$146.05$145.0012.6%3.6%10.4%24.0%13.1%4.5%0.1%-18.4K-1.13B-8.8M0.8414.2177,66465,021296,984340,631
2013-04-18$144.60$145.009.2%2.6%11.0%7.0%10.5%8.1%7.8%-35.1M-438.0M-9.1M2.0890.4436,66576,295295,813347,801
2013-04-19$144.94$145.0011.8%3.4%10.9%20.0%12.1%4.3%0.7%-93.2M-579.8M-8.9M1.397.5939,12754,487291,295369,946
2013-04-22$145.31$145.0011.7%3.4%10.6%19.6%11.9%4.0%0.4%37.1M-701.2M-8.6M1.345.8617,38923,265218,599248,706
2013-04-23$146.75$145.0010.4%3.0%11.0%13.2%11.3%3.4%0.5%47.1M-1.11B-8.3M1.4516.4122,11232,105223,043258,346
2013-04-24$146.50$145.0011.2%3.2%10.9%16.9%10.6%3.4%0.3%27.9M-1.01B-8.4M0.4815.5831,90515,333227,827269,180
2013-04-25$146.87$145.0010.8%3.1%10.9%14.7%11.1%3.5%0.5%50.0M-1.13B-8.4M1.0113.3722,48722,825249,813271,521
2013-04-26$146.79$145.009.6%3.0%10.8%9.0%11.0%3.2%0.6%74.3M-1.13B-8.5M2.209.6410,92324,010260,314276,800
2013-04-29$147.79$145.0011.4%3.0%11.0%17.7%11.2%3.1%0.4%86.1M-1.36B-8.5M1.194.4519,84323,681257,113267,524
2013-04-30$148.07$145.0011.7%3.0%10.9%19.3%11.3%3.1%0.4%85.1M-1.41B-8.4M1.534.1914,69822,555262,640275,024