DIA Options History — July 2013

In July 2013, DIA traded between $149.07 and $155.34. ATM implied volatility averaged 12.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.7% (HV 20d: 11.4%). Max pain ranged from $149.00 to $154.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-07-18: Highest Volume — 104,281 contracts
  • 2013-07-29: Largest IV spike — 22.1% change
  • 2013-07-31: Highest IV Rank — 37.1%
  • 2013-07-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.65$149.07$155.34$149.21$155.04
Max Pain$151.68$149.00$154.00$149.00$154.00
ATM IV12.1%10.3%15.3%15.1%15.3%
Expected Move3.3%2.9%3.8%3.8%3.2%
HV 20d11.4%5.8%15.8%15.8%5.8%
HV 60d11.4%10.7%12.2%12.1%10.7%
IV Rank21.5%12.2%37.1%36.1%37.1%
IV Percentile48.6%18.3%92.5%89.3%92.5%
Term Structure0.7%0.3%1.2%0.6%0.5%
VWIV12.1%10.7%13.5%13.4%11.4%
Skew 25d3.0%2.4%3.9%3.7%3.0%
Skew 10d5.8%4.3%7.2%7.2%6.3%
Call IV 25d10.3%8.8%11.6%11.5%9.7%
Put IV 25d13.4%11.6%15.3%15.2%12.7%
Bid-Ask Spread %12.284.2727.5814.8813.91
Gamma HHI0.080.060.130.070.07
Net GEX83.2M47.7M132.9M58.9M75.5M
Net DEX-1.22B-1.91B-406.9M-482.9M-1.04B
Net VEX-7.4M-8.6M-6.8M-8.6M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.541.801.431.53
Total Volume46,909.27322,925104,28140,66358,884
Total OI496,385.955402,654556,815488,672474,432

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$149.21$149.0015.1%3.8%15.8%36.1%13.4%3.7%0.6%58.9M-482.9M-8.6M1.4314.8816,76423,899248,586240,086
2013-07-02$149.07$149.0014.3%3.8%15.8%32.2%13.5%3.7%0.9%47.7M-406.9M-8.6M1.6112.9914,37023,098250,570244,766
2013-07-03$149.54$149.0013.7%3.6%15.0%29.1%13.5%3.7%1.0%62.3M-559.2M-8.6M1.8015.3910,87319,558253,175248,955
2013-07-05$151.05$150.0010.7%3.6%15.3%14.5%12.9%3.9%0.6%95.7M-1.01B-8.2M0.9018.8939,50135,669254,881254,388
2013-07-08$152.04$150.0012.5%3.5%14.9%23.5%12.8%3.6%0.5%114.0M-1.20B-7.9M1.644.9321,18434,752251,848253,792
2013-07-09$152.69$150.0012.9%3.4%15.0%25.3%12.8%3.4%0.4%111.2M-1.38B-7.7M1.4612.6818,47726,905255,425265,736
2013-07-10$152.71$150.0011.5%3.4%14.8%18.4%12.8%3.7%0.3%100.9M-1.37B-7.6M1.5616.2715,83224,743257,930275,050
2013-07-11$154.37$151.0012.1%3.5%14.7%21.4%12.4%3.0%0.5%132.9M-1.86B-7.3M1.2211.5931,70838,526260,451277,900
2013-07-12$154.13$151.0012.1%3.5%14.0%21.2%12.4%2.7%0.6%108.5M-1.73B-7.4M1.3118.6424,77132,405260,263285,838
2013-07-15$154.59$151.0011.9%3.4%13.7%20.3%12.5%2.8%0.6%105.3M-1.82B-7.1M1.7011.9110,77718,277260,970281,740
2013-07-16$154.34$151.0012.4%3.5%13.4%22.7%12.7%2.9%0.4%85.2M-1.74B-7.2M1.154.7518,22620,891263,541288,028
2013-07-17$154.80$151.0011.6%3.3%13.2%19.1%12.6%2.9%0.5%100.5M-1.91B-6.8M0.7227.5830,90422,313265,898290,917
2013-07-18$155.24$152.0011.5%3.3%12.3%18.4%11.7%2.7%0.7%99.6M-1.86B-6.8M0.5414.0367,55136,730257,680293,394
2013-07-19$155.32$153.0010.8%3.1%8.6%14.7%11.5%2.6%1.1%58.0M-1.08B-7.0M1.1010.6918,35420,248212,832305,099
2013-07-22$155.11$153.0010.3%2.9%8.6%12.2%10.9%2.5%1.1%66.2M-1.05B-6.8M1.495.7311,37416,940189,931212,723
2013-07-23$155.34$153.0010.5%3.0%7.4%13.4%10.9%2.4%0.9%70.5M-1.08B-7.0M1.026.4715,43315,802196,329220,765
2013-07-24$155.27$154.0010.5%3.0%7.3%13.6%10.7%2.5%1.0%65.5M-1.04B-7.3M1.064.2726,22827,836201,424227,952
2013-07-25$155.08$154.0010.4%3.0%6.9%13.0%10.9%2.5%1.1%67.1M-998.4M-7.4M1.374.3617,30423,628216,874236,468
2013-07-26$155.22$154.0010.3%2.9%6.7%12.7%11.0%2.8%1.2%63.2M-1.08B-7.1M1.3215.6118,33324,110222,205242,335
2013-07-29$155.03$154.0012.6%3.0%5.8%24.1%11.0%2.8%0.9%68.9M-1.02B-7.2M1.4411.879,41313,512217,978238,081
2013-07-30$155.14$154.0013.7%3.1%5.8%29.1%11.2%3.0%0.5%72.1M-1.05B-7.2M1.2912.6915,69120,210221,151242,104
2013-07-31$155.04$154.0015.3%3.2%5.8%37.1%11.4%3.0%0.5%75.5M-1.04B-7.1M1.5313.9123,28235,602227,593246,839