DIA Options History — April 2014

In April 2014, DIA traded between $160.30 and $165.52. ATM implied volatility averaged 11.6%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.7% (HV 20d: 10.9%). Max pain ranged from $165.00 to $195.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2014-04-11: Highest Volume — 122,111 contracts
  • 2014-04-10: Largest IV spike — 15.4% change
  • 2014-04-11: Highest IV Rank — 62.3%
  • 2014-04-07: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.73$160.30$165.52$164.97$165.52
Max Pain$169.52$165.00$195.00$185.00$165.00
ATM IV11.6%10.3%14.1%10.7%10.3%
Expected Move4.0%3.9%4.3%4.0%3.9%
HV 20d10.9%9.5%11.9%9.6%10.9%
HV 60d11.9%10.3%12.5%11.7%10.3%
IV Rank34.5%19.9%62.3%24.6%19.9%
IV Percentile49.4%18.3%87.3%32.9%18.3%
Term Structure0.1%-0.3%0.3%0.2%0.3%
VWIV14.5%12.2%17.8%13.4%14.6%
Skew 25d4.0%3.5%4.8%3.8%3.8%
Skew 10d6.9%5.9%9.1%6.8%7.1%
Call IV 25d10.0%8.9%12.2%9.4%8.9%
Put IV 25d14.1%12.6%17.0%13.2%12.6%
Bid-Ask Spread %14.437.1487.3011.7311.64
Gamma HHI0.100.050.490.090.07
Net GEX6.0M-435.8M151.8M62.8M69.7M
Net DEX-504.5M-1.10B751.7M-953.8M-968.8M
Net VEX-9.0M-9.5M-8.5M-8.5M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.752.211.441.80
Total Volume57,733.42923,006122,11143,71539,325
Total OI550,994.19477,992614,039525,304549,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$164.97$185.0010.7%4.0%9.6%24.6%13.4%3.8%0.2%62.8M-953.8M-8.5M1.4411.7317,91825,797214,219311,085
2014-04-02$165.22$180.0011.0%4.0%9.6%27.3%14.4%3.6%0.1%68.2M-1.10B-8.5M1.387.2413,30818,301218,102318,904
2014-04-03$165.43$175.0011.1%4.0%9.5%28.6%17.8%3.5%0.1%47.6M-1.07B-8.7M1.0911.4114,34115,628221,013325,716
2014-04-04$164.02$175.0011.7%4.0%10.0%35.1%14.4%3.8%0.1%-78.1M-521.9M-8.9M2.0710.2434,01670,504226,225331,306
2014-04-07$162.21$175.0013.1%4.3%10.7%51.1%12.2%4.4%-0.1%-35.7M44.8M-9.0M1.618.7729,24347,173222,842312,344
2014-04-08$162.33$195.0012.6%4.2%10.6%44.8%13.4%4.3%0.2%-30.4M44.6M-9.0M1.8712.7520,34238,069229,833319,223
2014-04-09$164.07$165.0011.4%4.0%11.3%32.2%14.2%3.9%0.1%47.9M-669.6M-8.7M1.457.1420,13129,228238,507330,824
2014-04-10$161.57$165.0013.2%4.3%11.7%51.7%14.4%4.5%-0.3%-70.7M290.2M-9.3M1.2310.6639,86649,184242,064338,778
2014-04-11$160.30$165.0014.1%4.3%11.9%62.3%17.5%4.8%0.0%-115.1M751.7M-9.5M1.6916.9845,35676,755258,300347,609
2014-04-14$161.42$165.0013.6%4.3%11.4%55.9%13.9%4.6%-0.2%-32.3M139.4M-9.4M1.289.6622,45528,738258,373342,456
2014-04-15$162.52$165.0012.6%4.0%11.5%45.5%14.0%4.5%0.3%18.9M-220.7M-9.2M1.7812.9322,83840,617262,783347,290
2014-04-16$163.78$165.0011.6%3.9%11.6%34.4%15.1%4.2%0.1%107.0M-758.4M-8.5M0.7587.3041,57731,333263,009351,030
2014-04-17$163.77$165.0010.8%4.0%11.4%24.9%13.9%3.8%0.1%151.8M-456.1M-9.4M1.118.3130,26533,712255,475357,385
2014-04-21$164.04$165.0011.0%4.0%11.3%27.7%16.5%4.0%-0.1%42.2M-674.5M-8.8M1.147.4112,26914,011207,400270,592
2014-04-22$164.80$165.0010.7%4.0%11.4%24.3%14.4%3.9%-0.2%72.8M-902.7M-8.7M1.5010.4415,29522,918213,327277,541
2014-04-23$164.83$165.0010.7%4.0%11.2%23.8%14.9%3.6%-0.1%67.8M-894.7M-8.8M1.5812.878,91114,095218,088288,298
2014-04-24$164.69$165.0010.9%3.9%10.9%27.1%13.6%3.7%-0.1%68.1M-822.2M-8.8M1.5612.7918,63329,126220,588291,257
2014-04-25$163.53$165.0011.4%3.9%11.2%32.4%13.9%4.1%-0.0%-435.8M-370.6M-9.1M2.2111.2323,02750,943229,600303,241
2014-04-28$164.29$165.0010.8%3.9%11.2%25.8%14.8%3.9%0.3%39.6M-653.4M-9.1M2.0510.9321,04643,141222,919295,060
2014-04-29$165.00$165.0010.7%3.9%11.0%24.4%14.0%3.8%0.2%58.8M-827.9M-9.3M1.3210.6618,54524,422229,660308,719
2014-04-30$165.52$165.0010.3%3.9%10.9%19.9%14.6%3.8%0.3%69.7M-968.8M-9.3M1.8011.6414,02025,305233,059316,834