DIA Options History — October 2013

In October 2013, DIA traded between $147.56 and $156.50. ATM implied volatility averaged 12.8%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.9% (HV 20d: 11.9%). Max pain ranged from $145.00 to $156.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.00.

Notable Days

2013-10-03: Highest Volume — 107,467 contracts
2013-10-16: Largest IV drop — 19.5% change
2013-10-08: Highest IV Rank — 43.5%
2013-10-08: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.60	$147.56	$156.50	$151.68	$155.43
Max Pain	$152.14	$145.00	$156.00	$153.00	$155.00
ATM IV	12.8%	9.6%	16.6%	13.6%	10.9%
Expected Move	3.6%	2.8%	4.7%	3.7%	3.1%
HV 20d	11.9%	9.7%	13.2%	9.7%	12.5%
HV 60d	9.8%	8.2%	10.8%	8.3%	10.8%
IV Rank	24.9%	9.1%	43.5%	28.6%	15.3%
IV Percentile	58.7%	11.1%	97.6%	78.2%	33.3%
Term Structure	0.3%	-0.5%	1.0%	0.4%	0.4%
VWIV	13.7%	10.1%	21.6%	13.7%	10.3%
Skew 25d	4.4%	2.8%	7.5%	4.4%	2.9%
Skew 10d	8.5%	4.8%	13.6%	9.1%	5.2%
Call IV 25d	11.3%	9.1%	15.4%	11.3%	9.6%
Put IV 25d	15.7%	12.4%	22.9%	15.6%	12.5%
Bid-Ask Spread %	15.35	4.96	26.58	6.64	10.92
Gamma HHI	0.11	0.05	0.17	0.07	0.11
Net GEX	81.0M	-44.0M	219.4M	21.0M	127.1M
Net DEX	-755.2M	-2.03B	666.6M	-165.7M	-1.44B
Net VEX	-8.4M	-9.6M	-7.0M	-8.3M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.61	1.70	0.79	0.85
Total Volume	60,589.826	23,206	107,467	38,294	51,849
Total OI	586,255.565	498,951	661,776	498,951	604,807

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$151.68	$153.00	13.6%	3.7%	9.7%	28.6%	13.7%	4.4%	0.4%	21.0M	-165.7M	-8.3M	0.79	6.64	21,424	16,870	249,231	249,720
2013-10-02	$150.66	$153.00	15.2%	4.0%	9.9%	36.9%	14.1%	5.0%	0.2%	3.8M	55.5M	-8.5M	0.87	14.14	26,421	22,896	260,317	254,560
2013-10-03	$149.58	$0.00	15.0%	4.3%	10.2%	35.7%	18.6%	5.7%	-0.2%	-33.0M	337.4M	-8.3M	1.13	20.87	50,491	56,976	261,766	258,827
2013-10-04	$150.44	$150.00	14.7%	4.2%	10.4%	34.4%	16.5%	5.3%	-0.3%	1.9M	53.0M	-8.7M	1.70	11.35	17,242	29,337	275,231	273,963
2013-10-07	$149.02	$150.00	16.1%	4.6%	10.6%	41.4%	21.6%	6.9%	0.2%	-22.8M	345.8M	-8.5M	1.50	13.23	23,443	35,275	259,212	269,588
2013-10-08	$147.56	$145.00	16.6%	4.7%	10.5%	43.5%	19.8%	7.5%	0.3%	-44.0M	666.6M	-8.6M	1.10	21.32	40,995	45,288	265,980	285,856
2013-10-09	$147.76	$145.00	16.1%	4.6%	9.7%	41.3%	20.1%	7.0%	0.3%	-42.9M	624.4M	-8.7M	1.11	4.96	33,435	37,170	280,259	295,538
2013-10-10	$150.77	$0.00	14.1%	4.1%	12.4%	31.6%	14.6%	5.3%	-0.3%	31.6M	-249.9M	-9.0M	0.81	16.45	44,782	36,399	293,131	304,017
2013-10-11	$152.19	$150.00	13.0%	3.7%	12.8%	25.9%	12.2%	5.0%	-0.3%	100.4M	-752.4M	-9.0M	0.78	22.83	55,580	43,320	305,688	312,531
2013-10-14	$152.78	$151.00	13.1%	3.7%	12.7%	26.5%	13.4%	4.9%	0.3%	93.3M	-889.0M	-9.1M	0.86	16.55	35,875	30,807	314,072	311,621
2013-10-15	$151.37	$151.00	15.7%	4.5%	12.9%	39.0%	15.2%	5.5%	-0.5%	46.1M	-377.3M	-9.6M	1.12	17.63	30,887	34,590	321,214	323,651
2013-10-16	$152.96	$151.00	12.6%	3.6%	13.1%	23.8%	13.2%	4.4%	0.3%	106.0M	-990.5M	-8.9M	0.94	17.00	47,198	44,180	328,362	328,977
2013-10-17	$153.42	$151.00	11.6%	3.3%	13.2%	18.9%	11.8%	3.2%	0.1%	119.1M	-1.16B	-8.6M	0.86	13.19	44,396	38,377	326,409	335,367
2013-10-18	$153.51	$152.00	10.6%	3.0%	12.5%	13.9%	10.9%	3.2%	-0.0%	126.1M	-963.9M	-8.5M	0.74	24.72	42,699	31,671	314,361	339,960
2013-10-21	$153.49	$154.00	11.1%	3.2%	12.3%	16.2%	11.0%	3.1%	0.8%	128.0M	-1.16B	-8.4M	1.02	9.47	16,389	16,658	282,103	286,452
2013-10-22	$154.30	$154.00	11.2%	3.2%	12.4%	16.7%	11.4%	2.8%	0.7%	149.3M	-1.46B	-8.3M	1.04	13.79	30,875	32,196	287,506	292,633
2013-10-23	$153.80	$154.00	10.9%	3.1%	12.4%	15.4%	11.5%	2.9%	0.8%	120.0M	-1.21B	-8.4M	1.55	9.62	13,373	20,701	289,258	304,504
2013-10-24	$154.87	$154.00	10.4%	3.0%	12.5%	13.2%	10.7%	2.8%	-0.0%	158.8M	-1.56B	-8.2M	0.91	10.65	18,443	16,846	287,856	304,742
2013-10-25	$156.50	$154.00	9.6%	2.8%	12.9%	9.1%	10.1%	4.7%	0.0%	219.4M	-2.03B	-7.0M	0.84	26.58	16,884	14,222	287,310	310,542
2013-10-28	$155.35	$156.00	10.8%	3.1%	12.9%	14.9%	13.3%	2.8%	1.0%	147.9M	-1.55B	-7.7M	0.85	10.84	12,574	10,632	277,170	297,801
2013-10-29	$156.46	$156.00	10.8%	3.1%	13.1%	15.0%	10.8%	2.8%	0.8%	169.6M	-1.88B	-7.5M	0.61	14.82	27,590	16,875	281,961	301,642
2013-10-30	$155.79	$156.00	10.7%	3.1%	12.9%	14.6%	11.0%	2.8%	0.9%	137.1M	-1.60B	-7.7M	0.99	25.53	29,792	29,643	280,539	307,643
2013-10-31	$155.43	$155.00	10.9%	3.1%	12.5%	15.3%	10.3%	2.9%	0.4%	127.1M	-1.44B	-7.8M	0.85	10.92	27,958	23,891	287,176	317,631