DIA Options History — August 2013

In August 2013, DIA traded between $147.55 and $156.13. ATM implied volatility averaged 11.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 5.3% (HV 20d: 6.2%). Max pain ranged from $151.00 to $154.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-08-15: Highest Volume — 128,763 contracts
  • 2013-08-15: Largest IV spike — 22.5% change
  • 2013-08-30: Highest IV Rank — 31.7%
  • 2013-08-30: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.72$147.55$156.13$155.77$147.94
Max Pain$151.50$151.00$154.00$154.00$151.00
ATM IV11.5%8.5%14.2%10.9%14.2%
Expected Move3.4%2.6%4.1%3.1%4.1%
HV 20d6.2%3.7%8.7%5.8%8.3%
HV 60d10.9%10.6%11.3%10.6%10.7%
IV Rank18.4%3.6%31.7%15.4%31.7%
IV Percentile42.9%0.8%84.1%30.6%84.1%
Term Structure0.2%-0.0%1.4%0.6%0.4%
VWIV12.2%9.8%15.1%11.4%15.1%
Skew 25d3.7%1.9%4.4%2.4%4.4%
Skew 10d7.0%3.4%8.9%5.0%8.7%
Call IV 25d10.6%8.3%12.3%10.0%12.3%
Put IV 25d14.3%10.2%16.6%12.4%16.6%
Bid-Ask Spread %7.003.1822.8913.9522.89
Gamma HHI0.080.050.210.070.21
Net GEX1.7M-183.6M122.5M86.6M-89.6M
Net DEX-303.4M-1.41B585.7M-1.21B309.8M
Net VEX-7.5M-8.4M-6.7M-7.1M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.612.111.021.19
Total Volume59,261.13632,818128,76360,98049,736
Total OI515,828.182442,170578,512486,560542,901

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$155.77$154.0010.9%3.1%5.8%15.4%11.4%2.4%0.6%86.6M-1.21B-7.1M1.0213.9530,17730,803231,390255,170
2013-08-02$156.13$154.008.5%2.6%5.0%3.6%9.8%1.9%1.4%122.5M-1.41B-7.0M1.0520.7424,45625,648241,096266,612
2013-08-05$155.80$151.009.2%2.9%4.8%6.7%11.0%3.0%0.2%83.2M-1.26B-6.7M1.883.1811,40421,414237,617260,550
2013-08-06$154.96$151.0010.1%3.1%5.2%11.2%12.1%3.3%0.2%41.5M-969.9M-7.0M2.113.5121,46445,225240,409268,336
2013-08-07$154.65$151.009.3%3.1%5.3%7.7%12.0%3.4%0.2%38.8M-848.9M-7.1M1.163.5725,25829,230245,307272,862
2013-08-08$154.77$151.009.2%3.1%3.7%6.9%11.4%3.5%0.2%45.4M-909.5M-6.9M1.353.8930,22640,682248,936278,562
2013-08-09$154.09$151.009.7%3.2%4.0%9.7%11.7%3.8%0.2%-17.3M-562.6M-7.4M1.114.0330,74033,976254,571296,283
2013-08-12$154.11$152.0010.3%3.3%3.9%12.3%11.8%3.7%0.1%8.7M-633.2M-7.2M1.334.1517,54023,342249,068294,716
2013-08-13$154.35$152.009.1%3.2%3.9%6.5%11.4%3.6%0.1%13.4M-732.9M-7.0M1.113.2732,30535,958253,488301,877
2013-08-14$153.35$152.0010.2%3.3%4.3%12.1%11.4%3.9%0.1%-60.2M-244.2M-7.3M0.784.1737,57529,337250,405310,841
2013-08-15$151.08$152.0012.5%3.6%6.6%23.5%12.7%4.1%0.0%-183.6M460.9M-7.3M1.424.3853,14575,618255,251310,207
2013-08-16$150.31$152.0012.4%3.6%6.7%23.0%12.3%4.0%0.1%-75.2M585.7M-7.4M1.194.4945,89654,623262,792315,720
2013-08-19$149.92$151.0012.6%3.6%6.7%23.7%12.3%4.2%0.1%-16.2M-9.5M-7.5M0.9510.5519,53318,574205,329236,841
2013-08-20$149.79$151.0012.5%3.6%6.6%23.5%12.5%4.0%0.1%-12.3M-3.6M-7.5M0.866.7018,45515,864213,095241,159
2013-08-21$148.42$151.0013.7%3.9%7.0%29.3%13.0%4.3%0.1%-20.9M258.8M-7.6M0.8610.8449,11042,341219,571244,993
2013-08-22$149.40$151.0012.9%3.7%7.7%25.2%12.1%4.0%-0.0%7.9M-4.8M-7.8M0.744.5523,85717,683234,549251,692
2013-08-23$149.88$151.0011.8%3.4%7.9%20.0%11.6%3.8%-0.0%56.5M-140.3M-7.8M0.613.7929,31917,943241,808257,734
2013-08-26$149.19$151.0012.8%3.6%7.9%24.6%11.8%3.7%0.1%18.3M-50.2M-8.0M0.643.6123,82315,164246,101254,389
2013-08-27$147.55$151.0013.6%3.9%8.5%28.7%12.6%4.4%0.3%-11.6M328.6M-8.0M0.776.7039,49830,585250,734257,898
2013-08-28$148.10$151.0013.5%3.9%8.7%28.5%14.8%4.3%0.4%-601.0K214.1M-8.1M1.825.5516,59830,222254,556263,602
2013-08-29$148.29$151.0014.1%4.0%8.5%31.2%14.0%4.3%0.3%2.8M153.2M-8.3M1.575.3715,31224,086255,258273,944
2013-08-30$147.94$151.0014.2%4.1%8.3%31.7%15.1%4.4%0.4%-89.6M309.8M-8.4M1.1922.8922,75526,981258,863284,038