DIA Options History — January 2014

In January 2014, DIA traded between $156.88 and $164.85. ATM implied volatility averaged 11.7%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 10.1%). Max pain ranged from $149.00 to $150.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-01-24: Highest Volume — 164,490 contracts
  • 2014-01-24: Largest IV spike — 31.7% change
  • 2014-01-31: Highest IV Rank — 82.1%
  • 2014-01-24: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.10$156.88$164.85$164.17$156.88
Max Pain$149.95$149.00$150.00$150.00$150.00
ATM IV11.7%10.0%15.1%11.2%15.1%
Expected Move4.6%4.5%4.8%4.5%4.8%
HV 20d10.1%8.1%11.6%11.1%11.0%
HV 60d9.3%8.5%10.0%9.9%10.0%
IV Rank44.4%25.0%82.1%38.5%82.1%
IV Percentile54.6%17.1%94.8%56.3%94.8%
Term Structure0.1%-0.3%0.8%0.2%-0.1%
VWIV17.5%15.3%19.6%17.5%16.8%
Skew 25d3.8%2.5%5.6%3.3%5.6%
Skew 10d7.0%5.5%10.9%6.2%8.2%
Call IV 25d10.2%8.6%13.1%10.0%13.1%
Put IV 25d14.0%11.5%18.8%13.2%18.8%
Bid-Ask Spread %13.255.7537.196.5413.39
Gamma HHI0.130.060.340.160.13
Net GEX32.1M-94.9M151.3M75.0M-94.9M
Net DEX-569.4M-1.57B759.1M-1.31B759.1M
Net VEX-7.3M-9.0M-6.4M-6.5M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.582.060.641.13
Total Volume69,695.1939,507164,49064,123108,711
Total OI512,422.19397,104583,178481,247583,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$164.17$150.0011.2%4.5%11.1%38.5%17.5%3.3%0.2%75.0M-1.31B-6.5M0.646.5439,17124,952210,072271,175
2014-01-03$164.39$150.0011.1%4.6%10.6%37.1%17.7%3.2%0.2%89.5M-1.40B-6.6M0.847.7622,52218,990217,156279,570
2014-01-06$163.98$150.0010.9%4.5%10.5%35.5%18.4%3.1%0.2%87.8M-1.25B-6.6M1.048.0422,59323,593213,743274,386
2014-01-07$164.85$149.0010.5%4.5%9.8%30.8%16.8%3.0%0.2%112.3M-1.57B-6.4M2.067.0616,45833,907223,245284,136
2014-01-08$164.51$150.0010.3%4.5%9.8%28.5%15.3%3.0%0.2%53.1M-1.34B-6.7M0.729.9440,96629,468226,177304,225
2014-01-09$164.19$150.0010.6%4.5%9.8%32.1%16.4%2.9%0.1%60.1M-1.25B-6.9M1.025.7519,55919,948232,461311,190
2014-01-10$164.14$150.0010.0%4.5%9.1%25.0%17.4%2.5%0.4%48.2M-1.25B-6.8M1.106.9019,89621,938237,480315,324
2014-01-13$162.24$150.0011.5%4.6%9.9%41.4%17.9%3.1%0.0%22.7M-667.1M-7.0M1.188.9428,07132,984230,755293,811
2014-01-14$163.30$150.0010.8%4.5%10.0%33.5%17.5%3.2%0.1%81.2M-997.3M-6.9M0.839.1225,20120,807238,653299,754
2014-01-15$164.48$150.0010.3%4.5%10.0%28.3%17.0%2.9%0.3%130.4M-1.29B-6.6M1.077.3431,00933,288232,024304,588
2014-01-16$163.64$150.0010.3%4.5%10.2%28.7%17.7%3.2%0.1%9.4M-835.7M-7.0M1.339.9424,62432,690235,153316,848
2014-01-17$164.13$150.0010.0%4.5%8.1%25.3%17.0%3.4%-0.1%151.3M-721.0M-7.0M0.9412.5447,75644,663217,604322,964
2014-01-21$163.78$150.0010.3%4.5%8.2%27.8%17.8%3.6%0.8%23.7M-646.8M-7.2M0.8413.2045,95238,511184,208212,896
2014-01-22$163.43$150.0010.7%4.5%8.2%32.3%17.5%3.7%0.5%44.4M-584.1M-7.5M1.0110.8419,72620,005205,379230,183
2014-01-23$161.78$150.0011.2%4.5%9.0%37.9%17.4%3.7%0.1%-23.5M-112.5M-7.4M0.8911.3740,44335,915213,103235,332
2014-01-24$158.45$150.0014.7%4.8%11.4%77.8%17.8%5.6%-0.1%-59.0M622.4M-7.9M1.3619.5469,56194,929231,065247,247
2014-01-27$158.08$150.0014.2%4.7%10.9%72.5%18.4%5.1%-0.3%-44.0M524.4M-8.3M0.7318.1159,21442,939228,913266,265
2014-01-28$159.02$150.0013.3%4.6%11.2%61.9%18.4%4.5%-0.2%-19.8M219.7M-8.6M0.5824.6330,07717,424251,317279,121
2014-01-29$157.33$150.0014.6%4.7%11.6%77.0%17.7%5.0%-0.3%-48.0M639.3M-8.6M0.9630.0249,48147,739257,023283,499
2014-01-30$157.27$150.0014.7%4.7%11.2%78.3%19.6%5.4%-0.3%-25.4M503.7M-8.8M1.1637.1931,51136,407270,467289,176
2014-01-31$156.88$150.0015.1%4.8%11.0%82.1%16.8%5.6%-0.1%-94.9M759.1M-9.0M1.1313.3951,11557,596279,011304,167