DIA Options History — November 2013

In November 2013, DIA traded between $155.69 and $160.78. ATM implied volatility averaged 10.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.3% (HV 20d: 8.8%). Max pain ranged from $130.00 to $159.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-11-15: Highest Volume — 98,960 contracts
  • 2013-11-29: Largest IV spike — 8.9% change
  • 2013-11-07: Highest IV Rank — 15.3%
  • 2013-11-27: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.44$155.69$160.78$155.69$160.72
Max Pain$148.58$130.00$159.00$156.00$150.00
ATM IV10.2%9.6%10.9%10.3%10.6%
Expected Move4.2%2.9%5.0%2.9%4.8%
HV 20d8.8%6.2%12.5%12.5%6.2%
HV 60d10.4%9.9%10.9%10.8%9.9%
IV Rank11.8%8.9%15.3%12.3%13.7%
IV Percentile20.3%10.7%35.3%22.2%33.7%
Term Structure0.5%0.1%1.0%0.5%0.6%
VWIV15.4%9.8%19.8%10.8%16.8%
Skew 25d2.8%2.5%3.0%2.7%2.9%
Skew 10d5.3%4.4%6.2%4.9%6.2%
Call IV 25d9.2%8.4%10.0%9.3%9.5%
Put IV 25d12.0%10.9%12.8%12.0%12.4%
Bid-Ask Spread %11.536.1426.3526.358.33
Gamma HHI0.150.100.230.110.17
Net GEX148.4M88.1M193.8M135.1M155.2M
Net DEX-1.77B-2.39B-1.26B-1.59B-1.86B
Net VEX-7.5M-8.0M-6.8M-7.9M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.471.880.990.92
Total Volume46,220.9518,95798,96059,79723,211
Total OI583,586.2509,666631,565621,762573,977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$155.69$156.0010.3%2.9%12.5%12.3%10.8%2.7%0.5%135.1M-1.59B-7.9M0.9926.3530,11929,678299,832321,930
2013-11-04$155.98$153.0010.4%3.0%11.7%12.9%10.2%2.9%0.8%162.8M-1.63B-7.7M0.486.9825,46212,246292,185304,445
2013-11-05$155.82$153.0010.5%3.0%10.9%13.5%11.2%3.0%0.7%166.4M-1.61B-7.9M1.309.9615,03619,515304,609305,502
2013-11-06$157.17$154.0010.2%2.9%11.1%12.1%9.8%2.5%0.8%176.0M-2.04B-7.1M1.1111.0025,06627,903290,993308,654
2013-11-07$155.93$154.0010.9%3.1%9.8%15.3%10.7%2.8%0.7%134.9M-1.52B-7.5M1.609.4130,26048,511298,898317,357
2013-11-08$157.30$155.0010.2%2.9%9.7%12.1%11.3%2.5%1.0%191.9M-2.09B-7.3M1.0614.3222,61323,965307,236324,329
2013-11-11$157.54$0.0010.2%4.7%9.7%11.9%17.5%2.6%0.8%165.2M-2.03B-7.1M1.017.4712,18912,294295,393314,531
2013-11-12$157.34$130.0010.7%4.9%8.9%14.2%14.9%2.9%0.6%162.5M-1.93B-7.2M0.8510.9116,26513,789298,143319,814
2013-11-13$158.05$159.0010.2%4.5%8.4%12.1%18.1%2.8%0.8%167.2M-2.24B-6.8M0.6217.9033,65220,736302,112322,359
2013-11-14$158.68$130.009.8%4.6%8.4%10.2%18.8%2.6%0.6%193.8M-2.39B-6.9M0.476.1465,19930,559299,025321,899
2013-11-15$159.17$150.009.6%4.8%8.4%8.9%18.1%2.5%0.7%133.7M-1.37B-6.9M0.636.2860,78338,177226,071328,920
2013-11-18$159.41$130.0010.1%4.5%8.4%11.6%17.0%2.8%0.2%126.0M-1.54B-7.5M1.2813.9220,63326,379243,610266,056
2013-11-19$159.32$150.0010.4%4.7%8.3%13.0%16.0%3.0%0.2%97.9M-1.45B-7.8M1.2812.8415,66320,075250,600278,295
2013-11-20$158.72$150.0010.1%4.8%8.3%11.5%19.8%3.0%0.2%88.1M-1.26B-8.0M1.5110.7221,76232,851256,343286,515
2013-11-21$159.73$149.0010.0%4.6%8.3%11.1%15.6%2.9%0.2%132.6M-1.61B-7.7M1.8810.5310,74120,148263,307291,223
2013-11-22$160.30$150.009.7%4.8%7.6%9.3%17.8%2.6%0.1%140.6M-1.79B-7.6M0.8910.1324,33321,682265,844301,061
2013-11-25$160.47$150.0010.0%4.9%6.9%11.0%17.2%2.7%0.1%143.3M-1.81B-7.6M0.6614.0719,98113,280262,148291,629
2013-11-26$160.60$150.009.7%4.8%6.6%9.2%19.2%2.7%0.7%147.1M-1.82B-7.8M0.899.7510,9289,778269,660295,462
2013-11-27$160.78$150.009.7%5.0%6.3%9.5%16.4%2.8%0.6%148.0M-1.87B-7.8M1.0413.639,2879,670272,185299,572
2013-11-29$160.72$150.0010.6%4.8%6.2%13.7%16.8%2.9%0.6%155.2M-1.86B-7.7M0.928.3312,06011,151272,662301,315