DIA Options History — December 2013

In December 2013, DIA traded between $157.39 and $165.57. ATM implied volatility averaged 10.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.1% (HV 20d: 8.7%). Max pain ranged from $150.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2013-12-18: Highest Volume — 105,625 contracts
  • 2013-12-18: Largest IV drop — 17.2% change
  • 2013-12-12: Highest IV Rank — 24.0%
  • 2013-12-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.87$157.39$165.57$159.98$165.57
Max Pain$150.00$150.00$150.00$150.00$150.00
ATM IV10.8%9.6%12.6%10.8%10.5%
Expected Move4.7%4.5%4.8%4.8%4.5%
HV 20d8.7%6.6%10.6%6.6%10.5%
HV 60d10.1%9.8%10.4%10.0%10.0%
IV Rank15.3%8.8%24.0%14.9%21.7%
IV Percentile37.8%10.7%72.2%39.3%36.1%
Term Structure0.4%-0.0%1.0%0.1%0.4%
VWIV17.7%14.6%21.0%20.4%15.7%
Skew 25d3.3%2.5%4.1%3.4%3.0%
Skew 10d6.9%5.0%8.6%7.6%5.7%
Call IV 25d9.7%8.4%11.3%10.0%9.7%
Put IV 25d13.0%11.0%15.4%13.4%12.7%
Bid-Ask Spread %8.585.8519.235.859.05
Gamma HHI0.170.080.320.180.16
Net GEX126.2M31.2M309.9M136.6M132.7M
Net DEX-1.40B-2.20B-575.8M-1.55B-1.92B
Net VEX-6.9M-7.7M-6.0M-7.5M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.381.581.090.97
Total Volume51,563.66722,927105,62526,13560,755
Total OI559,016.905465,654616,433557,934511,223

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$159.98$150.0010.8%4.8%6.6%14.9%20.4%3.4%0.1%136.6M-1.55B-7.5M1.095.8512,48313,652265,122292,812
2013-12-03$159.96$150.0010.3%4.8%6.6%12.7%19.2%2.5%0.6%149.2M-1.42B-7.3M1.278.8522,15628,232267,953296,428
2013-12-04$158.75$150.0011.1%4.7%7.3%16.6%21.0%3.9%0.4%118.6M-1.21B-7.7M1.0719.2324,84126,496273,113300,131
2013-12-05$158.11$150.0011.7%4.8%6.9%19.5%14.6%3.9%0.3%86.6M-971.1M-7.7M0.749.1023,58517,554277,402303,152
2013-12-06$160.17$150.0010.3%4.7%7.5%12.2%16.8%3.3%0.6%185.1M-1.78B-7.3M1.559.4926,46641,060285,660307,095
2013-12-09$160.20$150.0010.3%4.7%7.0%12.4%16.8%2.8%0.7%150.8M-1.69B-7.0M1.086.8711,01611,911275,165310,141
2013-12-10$159.76$150.0010.3%4.7%7.1%12.7%17.8%3.2%0.7%134.9M-1.49B-7.1M1.588.809,60215,138276,579314,639
2013-12-11$158.37$150.0011.9%4.8%7.8%20.4%18.6%3.6%0.3%85.6M-921.5M-7.4M1.117.5821,57223,977278,117317,906
2013-12-12$157.39$150.0012.6%4.8%8.0%24.0%20.1%3.9%-0.0%50.6M-611.3M-7.5M0.617.9751,63931,397283,534319,326
2013-12-13$157.59$150.0012.3%4.8%7.9%22.4%16.6%3.6%0.1%31.2M-575.8M-7.4M1.259.2416,85021,089268,723327,763
2013-12-16$158.84$150.0012.6%4.8%8.3%23.9%18.8%4.1%0.3%73.4M-1.06B-7.1M0.828.6021,06617,315261,126316,210
2013-12-17$158.74$150.0012.4%4.8%8.3%22.9%16.2%4.1%0.3%69.7M-1.02B-7.0M1.357.5315,69821,253263,517320,246
2013-12-18$161.68$150.0010.3%4.7%10.6%12.3%17.1%3.3%0.9%121.0M-2.05B-6.0M0.8310.3057,68547,940264,956322,999
2013-12-19$161.81$150.0010.2%4.7%10.5%12.2%15.1%3.3%0.1%125.7M-2.20B-6.3M0.697.7746,15032,042279,840336,593
2013-12-20$162.08$150.0010.2%4.7%10.3%11.7%17.1%3.3%0.2%96.3M-1.08B-6.5M0.717.5243,24830,814213,420344,774
2013-12-23$162.52$150.009.7%4.7%10.2%9.2%17.4%3.3%0.9%112.6M-1.20B-6.5M1.096.1918,42620,012202,049263,605
2013-12-24$163.16$150.009.7%4.6%10.3%9.2%19.2%2.8%1.0%118.0M-1.34B-6.6M0.4010.3218,5127,463207,920273,545
2013-12-26$164.48$150.009.6%4.6%10.6%8.8%18.3%2.6%0.3%179.0M-1.77B-6.2M0.386.1455,67621,378219,663277,109
2013-12-27$164.42$150.009.6%4.6%10.6%9.1%16.6%2.7%0.3%309.9M-1.79B-6.2M0.417.4346,21118,735233,287284,678
2013-12-30$164.59$150.0010.2%4.6%10.6%12.0%18.1%3.0%0.5%183.1M-1.67B-6.3M1.316.4413,71518,027221,770280,064
2013-12-31$165.57$150.0010.5%4.5%10.5%21.7%15.7%3.0%0.4%132.7M-1.92B-6.2M0.979.0530,77629,979224,531286,692