DIA Options History — June 2013

In June 2013, DIA traded between $146.30 and $153.05. ATM implied volatility averaged 14.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.6% (HV 20d: 12.4%). Max pain ranged from $149.00 to $151.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-06-21: Highest Volume — 181,475 contracts
  • 2013-06-20: Largest IV spike — 20.8% change
  • 2013-06-24: Highest IV Rank — 44.0%
  • 2013-06-24: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.21$146.30$153.05$152.31$148.71
Max Pain$149.85$149.00$151.00$150.00$149.00
ATM IV14.1%11.6%16.7%13.0%13.8%
Expected Move4.0%3.5%4.8%3.7%3.8%
HV 20d12.4%7.5%16.6%7.5%16.1%
HV 60d10.5%8.8%12.1%8.8%12.1%
IV Rank31.2%18.7%44.0%25.6%29.8%
IV Percentile76.3%41.7%98.0%60.7%77.8%
Term Structure0.1%-0.6%0.8%-0.1%0.8%
VWIV14.2%12.7%16.2%13.9%13.7%
Skew 25d4.5%3.6%5.6%4.0%4.0%
Skew 10d8.5%7.1%10.4%8.9%7.1%
Call IV 25d12.2%10.7%14.2%11.3%12.0%
Put IV 25d16.7%14.3%19.8%15.4%16.0%
Bid-Ask Spread %11.674.3023.445.858.29
Gamma HHI0.110.040.180.130.06
Net GEX35.9M-65.9M92.4M73.2M35.5M
Net DEX-547.4M-1.43B572.4M-1.06B-318.5M
Net VEX-8.9M-9.5M-8.5M-8.9M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.702.091.331.21
Total Volume84,628.844,095181,47578,43355,228
Total OI590,404.4490,133677,409548,709548,682

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$152.31$150.0013.0%3.7%7.5%25.6%13.9%4.0%-0.1%73.2M-1.06B-8.9M1.335.8533,65744,776251,901296,808
2013-06-04$151.70$150.0013.1%3.8%7.7%26.3%13.2%4.0%-0.1%61.2M-963.4M-9.4M1.365.6124,06532,742261,822311,932
2013-06-05$149.55$150.0014.3%4.1%9.2%32.3%14.4%4.3%-0.6%29.1M-283.6M-9.5M1.0012.5549,21249,376266,421317,734
2013-06-06$150.30$150.0014.5%4.0%9.2%33.4%15.2%4.3%-0.6%47.2M-550.0M-9.3M1.046.9935,24136,788267,019315,168
2013-06-07$152.10$150.0011.6%3.5%10.1%18.7%13.6%3.6%0.1%92.4M-1.24B-8.9M1.6715.7640,25867,059273,268320,191
2013-06-10$152.23$150.0013.2%3.6%10.1%26.6%12.7%4.0%0.5%57.4M-1.13B-8.8M1.4211.6718,24225,853263,129331,113
2013-06-11$151.38$150.0014.7%3.9%10.4%34.2%14.0%4.4%0.3%39.6M-783.7M-9.1M2.0912.4921,26144,539267,437336,239
2013-06-12$149.76$150.0015.4%4.3%10.8%37.7%14.7%5.0%0.0%15.4M-290.3M-9.4M1.2210.5540,09048,995272,628344,590
2013-06-13$151.75$150.0013.2%3.8%11.8%26.9%13.9%4.5%0.5%83.9M-1.02B-9.0M1.0311.3831,26932,058280,313346,137
2013-06-14$150.57$150.0013.8%4.0%12.1%30.0%14.0%4.6%0.4%12.4M-565.7M-9.1M0.9612.1534,46332,961283,704350,787
2013-06-17$151.81$150.0013.8%3.9%12.4%29.6%14.2%4.5%0.2%67.8M-1.03B-8.6M1.2512.3224,56830,713277,665343,204
2013-06-18$153.05$150.0013.3%3.8%12.7%27.2%13.9%4.5%0.4%83.0M-1.43B-8.5M1.1211.5049,56755,403279,019348,175
2013-06-19$151.18$151.0013.5%3.9%13.4%28.2%13.3%4.7%0.3%38.3M-741.9M-8.7M0.7914.4359,47946,710292,901368,507
2013-06-20$147.83$151.0016.3%4.7%15.5%42.1%15.9%5.6%-0.5%-65.9M572.4M-8.8M1.1717.1380,04893,464294,536367,020
2013-06-21$147.70$150.0015.2%4.4%15.5%36.9%15.0%5.0%-0.2%-63.4M569.9M-8.6M0.8423.4498,51782,958309,223368,186
2013-06-24$146.30$149.0016.7%4.8%15.7%44.0%16.2%5.2%-0.5%-1.9M258.1M-8.5M0.8513.8054,57346,147241,984248,149
2013-06-25$147.37$149.0015.6%4.5%15.8%38.9%14.9%4.9%-0.1%17.3M10.4M-8.5M0.7011.3626,70818,767254,468257,004
2013-06-26$148.79$149.0013.7%3.9%16.3%29.2%14.3%4.3%0.6%40.2M-304.2M-8.7M1.064.3033,17835,315258,653259,668
2013-06-27$149.84$149.0013.2%3.8%16.6%26.8%13.5%4.0%0.8%55.9M-647.5M-8.8M1.0311.8528,70329,625263,340269,363
2013-06-28$148.71$149.0013.8%3.8%16.1%29.8%13.7%4.0%0.8%35.5M-318.5M-8.8M1.218.2924,98530,243271,321277,361