DIA Options History — May 2013

In May 2013, DIA traded between $146.65 and $153.65. ATM implied volatility averaged 10.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.9% (HV 20d: 9.0%). Max pain ranged from $144.00 to $150.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2013-05-16: Highest Volume — 150,349 contracts
  • 2013-05-02: Largest IV drop — 34.3% change
  • 2013-05-01: Highest IV Rank — 42.0%
  • 2013-05-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.52$146.65$153.65$146.65$151.07
Max Pain$146.73$144.00$150.00$145.00$150.00
ATM IV10.9%8.9%16.3%16.3%13.0%
Expected Move3.1%2.8%3.7%3.2%3.7%
HV 20d9.0%5.9%11.9%11.2%7.7%
HV 60d9.0%8.2%9.5%9.2%8.7%
IV Rank15.2%5.5%42.0%42.0%25.8%
IV Percentile26.9%2.0%88.1%88.1%61.9%
Term Structure0.3%-0.0%0.9%0.1%-0.0%
VWIV11.4%10.0%13.5%11.8%13.5%
Skew 25d2.9%2.1%4.3%3.4%4.3%
Skew 10d5.4%3.4%8.5%5.9%8.5%
Call IV 25d9.8%9.1%11.4%10.2%11.4%
Put IV 25d12.7%11.2%15.6%13.5%15.6%
Bid-Ask Spread %6.343.0619.754.9519.75
Gamma HHI0.140.070.340.070.14
Net GEX109.3M36.3M227.3M47.7M36.3M
Net DEX-1.77B-2.75B-669.0M-988.6M-669.0M
Net VEX-8.0M-9.2M-6.8M-8.5M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.241.581.311.37
Total Volume54,59726,791150,34950,95655,622
Total OI560,710.864454,827645,114548,975555,926

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$146.65$145.0016.3%3.2%11.2%42.0%11.8%3.4%0.1%47.7M-988.6M-8.5M1.314.9522,08428,872267,797281,178
2013-05-02$147.91$145.0010.7%3.0%11.6%14.3%11.1%2.9%0.5%89.3M-1.42B-8.5M1.504.1513,79920,631271,979284,247
2013-05-03$149.31$145.009.4%2.8%11.9%7.8%10.0%2.1%0.9%114.0M-1.88B-7.9M1.3513.9030,97441,842272,824294,096
2013-05-06$149.41$144.0010.2%3.0%11.8%11.9%11.2%3.3%0.2%114.2M-1.85B-7.9M1.278.4814,49918,344278,880301,177
2013-05-07$150.25$144.0010.4%3.0%11.9%12.8%10.8%3.2%0.2%139.2M-2.08B-7.6M1.274.0717,82522,607282,036304,227
2013-05-08$150.92$144.009.2%2.9%11.6%6.8%10.9%3.1%0.3%147.7M-2.36B-7.5M0.593.9835,05320,640286,517314,226
2013-05-09$150.79$144.009.3%3.0%11.6%7.7%11.1%3.1%0.2%117.9M-2.30B-7.2M0.734.9027,61720,048279,073320,174
2013-05-10$150.97$144.008.9%2.9%11.6%5.5%11.0%3.0%0.2%139.0M-2.33B-7.5M0.905.0425,76023,206287,613325,965
2013-05-13$151.14$145.0010.5%3.1%9.5%13.5%11.4%2.8%0.3%110.9M-2.24B-7.5M0.833.8214,65012,141289,716326,562
2013-05-14$152.07$145.0010.6%3.1%9.1%13.7%11.1%2.7%0.3%153.3M-2.67B-6.8M0.753.7629,73822,158293,152329,518
2013-05-15$152.55$145.0010.7%3.0%8.4%14.4%11.4%2.6%0.3%138.6M-2.74B-7.2M0.544.1845,88224,850295,125336,163
2013-05-16$152.38$145.0010.6%3.0%7.2%13.8%11.6%2.5%0.2%186.1M-2.75B-7.4M0.244.11121,60128,748305,552339,562
2013-05-17$153.09$149.0010.2%2.9%7.2%12.0%10.8%2.4%0.3%227.3M-1.57B-7.7M0.864.5731,44826,980221,212348,974
2013-05-20$153.07$149.0010.4%3.0%7.3%13.1%11.0%2.2%0.3%94.1M-1.44B-7.8M1.023.0615,16915,401209,269245,558
2013-05-21$153.47$149.0010.9%3.1%6.8%15.3%11.4%2.1%0.3%92.1M-1.50B-8.0M0.754.0618,88914,185215,552252,317
2013-05-22$153.09$149.0011.1%3.2%6.8%16.2%11.3%2.2%0.2%90.3M-1.42B-8.1M1.0710.9639,39741,986221,112258,633
2013-05-23$152.78$149.0011.1%3.2%7.0%16.6%11.8%2.6%0.1%76.1M-1.28B-8.5M1.394.5530,27542,169232,428273,507
2013-05-24$152.91$149.0011.1%3.2%7.0%16.2%11.6%2.8%0.1%60.2M-1.31B-8.7M1.234.3018,54122,785243,689287,150
2013-05-28$153.65$149.0011.3%3.2%6.8%17.4%11.6%3.1%0.3%86.6M-1.51B-8.5M1.3212.2327,19835,858239,306278,586
2013-05-29$152.84$150.0011.7%3.4%7.3%19.4%11.9%3.3%0.3%63.2M-1.23B-8.8M1.095.8321,57023,603245,463293,090
2013-05-30$153.11$150.0011.7%3.3%5.9%19.2%13.1%3.4%0.3%80.7M-1.35B-8.8M1.584.7814,15322,336251,036295,472
2013-05-31$151.07$150.0013.0%3.7%7.7%25.8%13.5%4.3%-0.0%36.3M-669.0M-9.2M1.3719.7523,42932,193252,270303,656