DIA Options History — September 2013

In September 2013, DIA traded between $148.15 and $156.60. ATM implied volatility averaged 12.2%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.8% (HV 20d: 9.4%). Max pain ranged from $150.00 to $154.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2013-09-18: Highest Volume — 111,364 contracts
  • 2013-09-30: Largest IV spike — 21.3% change
  • 2013-09-30: Highest IV Rank — 42.1%
  • 2013-09-30: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.56$148.15$156.60$148.15$151.34
Max Pain$152.20$150.00$154.00$150.00$154.00
ATM IV12.2%10.2%16.3%14.0%16.3%
Expected Move3.5%3.2%4.1%4.0%4.1%
HV 20d9.4%8.3%10.9%8.4%9.7%
HV 60d9.2%8.3%10.5%10.4%8.4%
IV Rank22.1%12.0%42.1%30.8%42.1%
IV Percentile56.1%18.7%96.8%83.3%96.8%
Term Structure0.5%-0.2%1.0%0.2%-0.2%
VWIV12.5%11.3%14.7%14.7%13.9%
Skew 25d3.7%2.6%4.7%4.1%4.7%
Skew 10d7.2%5.3%10.2%7.7%10.2%
Call IV 25d10.7%9.8%12.2%12.2%12.1%
Put IV 25d14.4%12.8%16.8%16.3%16.8%
Bid-Ask Spread %9.344.5427.8913.785.47
Gamma HHI0.090.060.190.060.08
Net GEX52.2M-95.5M182.2M-2.7M6.1M
Net DEX-788.2M-2.44B193.3M193.3M42.3M
Net VEX-8.1M-8.5M-7.3M-8.2M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.561.821.361.20
Total Volume57,179.619,599111,36437,03077,750
Total OI576,305.65489,458676,019545,796518,688

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$148.15$150.0014.0%4.0%8.4%30.8%14.7%4.1%0.2%-2.7M193.3M-8.2M1.3613.7815,71921,311260,950284,846
2013-09-04$149.20$150.0013.2%3.8%9.0%26.9%13.5%4.0%0.6%20.1M-64.0M-8.2M1.0111.7918,45918,663264,779291,276
2013-09-05$149.14$150.0013.0%3.7%9.0%25.9%13.1%3.9%0.5%18.4M-31.7M-8.1M1.344.548,37711,222267,314294,522
2013-09-06$149.15$150.0013.0%3.7%9.0%25.7%13.7%4.2%0.4%17.4M-34.3M-8.1M0.926.2041,86738,327270,131296,980
2013-09-09$150.33$150.0012.6%3.7%9.5%23.6%12.9%3.9%0.3%41.2M-354.0M-8.0M0.8110.6433,18926,882267,839298,856
2013-09-10$151.73$151.0011.5%3.4%10.2%18.5%12.2%3.9%0.6%85.6M-819.3M-8.0M0.9520.1235,80434,152278,342307,641
2013-09-11$153.19$151.0010.2%3.2%10.9%12.0%11.8%3.6%0.6%118.1M-1.33B-8.0M1.035.7630,01131,040283,836320,998
2013-09-12$153.05$151.0011.7%3.3%10.6%19.2%12.3%3.7%0.7%96.1M-1.26B-8.5M1.115.5022,82225,431289,184328,963
2013-09-13$153.78$152.0011.4%3.3%9.2%18.0%12.0%3.8%0.6%91.1M-1.40B-8.1M1.146.4822,76626,061285,139337,307
2013-09-16$154.79$152.0011.7%3.3%9.1%19.1%12.2%3.7%0.4%113.0M-1.76B-7.6M0.8515.5247,68240,451283,494328,868
2013-09-17$155.26$153.0012.2%3.5%9.0%21.7%12.6%3.9%0.4%135.4M-1.87B-8.0M1.355.2714,43019,472302,331343,211
2013-09-18$156.60$153.0011.4%3.3%9.2%18.1%12.4%3.2%0.5%142.2M-2.42B-7.3M0.678.5166,66744,697306,175348,553
2013-09-19$156.39$153.0011.2%3.2%8.3%16.9%11.3%2.6%0.8%182.2M-2.44B-7.5M0.566.7345,98625,550321,326354,693
2013-09-20$154.45$154.0011.3%3.2%9.8%17.3%11.3%2.8%1.0%-95.5M-581.8M-8.1M0.997.6037,67337,242254,258362,461
2013-09-23$153.60$154.0011.7%3.3%10.1%19.2%12.0%3.5%0.9%38.7M-539.1M-8.4M1.715.8519,58133,418237,750251,708
2013-09-24$153.18$154.0011.8%3.4%9.9%20.1%11.7%3.4%0.8%19.3M-419.5M-8.5M1.826.4410,10218,389246,907260,634
2013-09-25$152.45$154.0011.9%3.4%9.1%20.6%11.4%3.5%0.8%8.8M-228.6M-8.4M1.366.2420,20527,580249,848262,305
2013-09-26$153.02$154.0011.6%3.3%9.1%18.9%11.9%3.5%0.7%27.8M-348.9M-8.4M1.316.4016,31521,396255,977268,588
2013-09-27$152.45$154.0013.4%3.8%9.3%27.9%12.8%4.3%0.1%-20.1M-113.8M-8.5M1.6027.8921,89835,005261,472277,963
2013-09-30$151.34$154.0016.3%4.1%9.7%42.1%13.9%4.7%-0.2%6.1M42.3M-8.2M1.205.4735,31542,435251,957266,731