DIA Options History — March 2014

In March 2014, DIA traded between $160.52 and $164.40. ATM implied volatility averaged 12.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.4% (HV 20d: 10.5%). Max pain ranged from $150.00 to $185.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-03-14: Highest Volume — 111,978 contracts
  • 2014-03-13: Largest IV spike — 16.8% change
  • 2014-03-14: Highest IV Rank — 64.7%
  • 2014-03-14: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.87$160.52$164.40$161.39$164.13
Max Pain$158.75$150.00$185.00$150.00$185.00
ATM IV12.0%11.2%14.3%13.0%11.4%
Expected Move4.3%4.0%4.6%4.5%4.0%
HV 20d10.5%8.8%13.0%13.0%10.6%
HV 60d11.8%11.6%12.1%11.9%11.7%
IV Rank40.3%30.0%64.7%53.4%32.1%
IV Percentile62.1%47.2%90.1%77.8%49.2%
Term Structure0.1%-1.0%0.8%0.1%0.1%
VWIV17.2%10.1%21.6%18.3%15.9%
Skew 25d4.3%3.7%5.9%4.7%4.3%
Skew 10d8.3%6.9%9.8%9.8%6.9%
Call IV 25d10.3%9.6%12.4%11.0%9.7%
Put IV 25d14.6%13.7%18.2%15.6%13.9%
Bid-Ask Spread %11.246.1323.8710.7612.38
Gamma HHI0.090.060.120.080.08
Net GEX59.0M-55.1M170.5M99.2M47.3M
Net DEX-698.3M-1.53B139.5M-689.0M-759.1M
Net VEX-9.0M-9.5M-8.3M-9.2M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.622.561.631.11
Total Volume61,006.23833,462111,97877,88056,536
Total OI585,985.952505,356676,041544,237529,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$161.39$150.0013.0%4.5%13.0%53.4%18.3%4.7%0.1%99.2M-689.0M-9.2M1.6310.7629,60048,280253,702290,535
2014-03-04$163.66$150.0011.5%4.3%10.3%38.5%16.8%4.1%0.1%170.5M-1.44B-9.1M1.1310.9330,13233,904263,094305,025
2014-03-05$163.46$150.0011.5%4.4%10.4%37.5%14.4%4.1%0.1%149.7M-1.29B-9.1M0.628.0726,59716,547261,190312,449
2014-03-06$164.05$150.0011.3%4.4%10.4%36.5%18.7%3.7%0.1%168.6M-1.47B-9.1M1.1715.5321,79425,524265,519317,375
2014-03-07$164.40$150.0011.2%4.4%9.8%34.4%18.0%4.0%0.2%159.8M-1.53B-9.1M1.429.7325,57236,399263,295327,608
2014-03-10$164.14$150.0011.5%4.4%9.3%37.6%18.3%4.1%-0.1%114.1M-1.24B-8.9M1.478.6613,57019,892251,585318,882
2014-03-11$163.34$150.0011.8%4.4%9.6%41.5%17.4%4.4%0.1%92.8M-964.3M-9.0M1.256.1315,74119,736254,724325,231
2014-03-12$163.27$150.0011.7%4.4%8.8%40.1%17.5%4.3%0.0%99.9M-936.7M-9.0M1.176.8018,03721,139258,177328,716
2014-03-13$161.12$150.0013.7%4.5%10.2%60.3%19.3%5.0%-0.4%12.3M-96.4M-9.2M1.689.3134,17557,531259,502333,264
2014-03-14$160.52$150.0014.3%4.6%10.3%64.7%19.9%5.9%-1.0%-43.6M139.5M-9.5M2.567.9231,43180,547267,334347,998
2014-03-17$162.37$150.0012.7%4.5%10.6%46.8%18.4%4.6%-0.1%29.0M-519.3M-9.1M1.248.1032,55440,302258,954367,229
2014-03-18$163.25$150.0011.8%4.4%10.7%36.6%18.9%4.4%0.4%79.7M-923.8M-9.0M1.057.7330,28931,937270,218382,949
2014-03-19$162.20$150.0012.0%4.4%10.8%38.5%19.7%4.1%0.4%-1.2M-409.4M-9.2M1.2513.8733,89442,429275,747394,156
2014-03-20$163.30$150.0011.2%4.4%10.9%30.0%15.1%3.9%0.2%116.3M-969.9M-8.6M1.3723.8723,76832,541277,778398,263
2014-03-21$162.64$150.0011.3%4.3%10.9%30.7%18.1%4.1%0.8%-55.1M-154.9M-8.9M1.2212.0838,52747,097242,372406,650
2014-03-24$162.47$0.0011.9%4.3%10.7%37.4%10.1%4.4%0.3%-11.3M-255.8M-8.8M1.0912.6624,79727,000208,654296,702
2014-03-25$163.42$185.0011.3%4.0%10.8%30.4%21.6%4.3%0.3%46.6M-560.3M-9.0M1.4112.2223,34032,885220,658306,463
2014-03-26$162.25$185.0012.4%4.3%11.2%43.2%19.0%4.1%0.3%-25.4M-169.0M-9.1M1.2713.3521,65927,502226,718318,241
2014-03-27$162.11$185.0012.2%4.3%11.0%41.2%13.4%4.2%0.2%-25.4M-115.6M-9.1M0.8213.8232,33826,483234,792323,924
2014-03-28$162.85$185.0011.7%4.0%11.1%35.1%12.2%4.2%0.3%14.4M-316.0M-9.0M2.1312.1415,70033,405231,779328,797
2014-03-31$164.13$185.0011.4%4.0%10.6%32.1%15.9%4.3%0.1%47.3M-759.1M-8.3M1.1112.3826,75629,780217,397312,059