DIA Options History — February 2014

In February 2014, DIA traded between $153.39 and $163.18. ATM implied volatility averaged 12.5%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.6% (HV 20d: 14.1%). Max pain ranged from $150.00 to $150.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2014-02-20: Highest Volume — 111,811 contracts
2014-02-07: Largest IV drop — 13.8% change
2014-02-03: Highest IV Rank — 100.0%
2014-02-03: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.40	$153.39	$163.18	$153.39	$163.18
Max Pain	$150.00	$150.00	$150.00	$150.00	$150.00
ATM IV	12.5%	10.6%	17.5%	17.5%	11.1%
Expected Move	4.5%	4.4%	5.1%	5.1%	4.5%
HV 20d	14.1%	12.3%	15.4%	13.0%	12.3%
HV 60d	11.4%	10.8%	11.7%	11.0%	11.6%
IV Rank	48.5%	28.7%	100.0%	100.0%	33.9%
IV Percentile	65.9%	37.3%	100.0%	100.0%	49.6%
Term Structure	-0.0%	-0.5%	0.5%	-0.4%	0.4%
VWIV	17.2%	15.4%	19.1%	15.4%	17.4%
Skew 25d	4.1%	2.9%	6.6%	6.6%	3.6%
Skew 10d	7.3%	6.0%	8.2%	7.8%	6.7%
Call IV 25d	11.1%	9.5%	14.9%	14.9%	9.7%
Put IV 25d	15.2%	12.3%	21.5%	21.5%	13.3%
Bid-Ask Spread %	12.05	6.64	26.83	26.83	21.39
Gamma HHI	0.09	0.05	0.26	0.05	0.26
Net GEX	76.5M	-66.0M	309.5M	-66.0M	309.5M
Net DEX	-357.5M	-1.49B	1.27B	1.27B	-1.49B
Net VEX	-8.9M	-9.4M	-8.4M	-8.8M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.43	1.59	0.98	0.55
Total Volume	64,330.895	36,215	111,811	102,152	98,136
Total OI	604,938.579	509,444	655,248	570,576	562,562

Daily Data (19 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
2014-02-03	$153.39	$150.00	17.5%	5.1%	13.0%	100.0%	15.4%	6.6%	-0.4%	-66.0M	1.27B	-8.8M	0.98	26.83	51,644	50,508	274,453	296,123
2014-02-04	$153.42	$150.00	16.1%	4.9%	13.1%	84.7%	18.3%	5.8%	0.0%	-65.6M	1.17B	-8.9M	0.69	11.17	36,433	25,286	293,542	310,297
2014-02-05	$154.04	$150.00	16.2%	4.9%	13.0%	86.3%	17.8%	5.7%	-0.2%	-55.4M	1.04B	-9.2M	0.97	16.08	24,610	23,824	302,257	313,348
2014-02-06	$155.88	$150.00	14.3%	4.7%	14.1%	67.2%	15.5%	4.8%	-0.1%	-27.3M	578.4M	-9.3M	0.72	9.45	40,839	29,261	306,109	319,371
2014-02-07	$157.79	$150.00	12.4%	4.5%	15.0%	46.8%	16.5%	4.2%	0.0%	27.9M	33.6M	-9.4M	1.00	14.09	43,400	43,574	310,928	329,305
2014-02-10	$157.79	$150.00	12.3%	4.6%	15.0%	46.8%	16.2%	4.1%	0.1%	-2.1M	126.3M	-9.2M	1.27	9.71	17,930	22,747	297,178	312,878
2014-02-11	$159.64	$150.00	11.6%	4.5%	15.3%	39.5%	17.8%	3.7%	0.1%	49.9M	-465.7M	-9.1M	1.02	9.81	30,982	31,548	300,108	324,761
2014-02-12	$159.71	$150.00	11.7%	4.5%	15.1%	39.9%	17.7%	3.4%	0.1%	43.9M	-496.0M	-9.1M	0.98	9.46	26,166	25,618	302,353	333,652
2014-02-13	$160.20	$150.00	11.5%	4.5%	14.9%	37.9%	16.8%	3.3%	0.4%	55.0M	-623.9M	-8.9M	1.06	9.99	26,730	28,203	303,631	337,317
2014-02-14	$161.66	$150.00	10.6%	4.4%	15.2%	28.7%	18.0%	2.9%	0.5%	91.0M	-1.18B	-8.7M	0.80	9.63	42,230	33,710	309,314	345,934
2014-02-18	$161.41	$150.00	11.4%	4.5%	15.2%	36.9%	16.3%	3.3%	-0.1%	58.5M	-892.2M	-8.4M	0.54	6.64	32,430	17,536	290,080	335,689
2014-02-19	$160.50	$150.00	12.4%	4.5%	15.3%	47.5%	19.1%	4.0%	0.0%	63.8M	-587.3M	-8.8M	1.14	7.30	27,019	30,896	308,800	342,334
2014-02-20	$161.36	$150.00	11.7%	4.5%	15.4%	39.9%	17.0%	3.8%	-0.2%	167.3M	-921.5M	-8.6M	0.43	10.73	78,241	33,570	308,694	345,485
2014-02-21	$160.77	$150.00	11.4%	4.5%	15.0%	36.6%	18.6%	4.0%	0.2%	82.9M	-305.4M	-8.9M	0.51	11.62	43,305	22,054	291,384	355,227
2014-02-24	$161.80	$150.00	11.3%	4.4%	13.1%	35.6%	16.6%	3.6%	-0.2%	165.8M	-974.8M	-8.6M	0.94	10.55	32,658	30,702	242,991	266,453
2014-02-25	$161.73	$150.00	11.5%	4.4%	13.1%	38.5%	19.0%	3.6%	-0.5%	158.0M	-927.5M	-8.8M	1.59	9.74	13,996	22,219	250,129	279,492
2014-02-26	$161.72	$150.00	11.8%	4.4%	12.9%	40.9%	17.5%	3.7%	-0.4%	153.5M	-911.2M	-8.9M	0.91	9.18	20,874	19,046	254,550	286,822
2014-02-27	$162.57	$150.00	11.1%	4.4%	12.3%	33.5%	16.0%	3.5%	-0.5%	243.9M	-1.23B	-8.8M	0.87	15.66	23,713	20,649	259,820	290,462
2014-02-28	$163.18	$150.00	11.1%	4.5%	12.3%	33.9%	17.4%	3.6%	0.4%	309.5M	-1.49B	-8.7M	0.55	21.39	63,423	34,713	264,169	298,393