DIA Options History — May 2014

In May 2014, DIA traded between $163.20 and $167.05. ATM implied volatility averaged 9.9%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.4% (HV 20d: 8.6%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2014-05-15: Highest Volume — 149,948 contracts
  • 2014-05-21: Largest IV drop — 10.8% change
  • 2014-05-20: Highest IV Rank — 26.4%
  • 2014-05-13: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.45$163.20$167.05$165.26$166.91
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV9.9%8.9%10.9%10.2%8.9%
Expected Move3.9%3.7%3.9%3.9%3.9%
HV 20d8.6%6.7%10.9%10.9%8.4%
HV 60d10.0%9.5%10.4%10.3%9.5%
IV Rank15.8%4.3%26.4%18.4%4.3%
IV Percentile11.4%0.4%36.9%11.1%0.4%
Term Structure0.2%-0.1%0.5%0.2%0.3%
VWIV14.3%10.7%17.7%16.7%14.8%
Skew 25d3.3%2.9%3.7%3.6%3.1%
Skew 10d6.5%5.5%8.2%6.9%6.9%
Call IV 25d8.7%8.0%9.6%8.9%8.0%
Put IV 25d12.1%11.0%13.3%12.5%11.1%
Bid-Ask Spread %10.217.5114.3810.7411.53
Gamma HHI0.080.040.180.080.08
Net GEX55.8M-49.3M140.6M50.6M100.1M
Net DEX-735.5M-1.45B140.0M-865.7M-1.06B
Net VEX-9.1M-9.6M-8.3M-9.3M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.552.102.040.55
Total Volume54,590.95219,773149,94841,59041,970
Total OI563,045.381502,050604,293560,241550,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$165.26$165.0010.2%3.9%10.9%18.4%16.7%3.6%0.2%50.6M-865.7M-9.3M2.0410.7413,69227,898235,230325,011
2014-05-02$164.82$165.009.8%3.9%10.9%14.7%12.6%3.5%0.3%18.4M-702.2M-9.4M2.0614.3818,93739,047239,010334,232
2014-05-05$164.81$165.0010.1%3.9%10.4%17.6%17.7%3.7%0.3%65.4M-684.7M-9.5M2.108.1212,23625,703232,951315,135
2014-05-06$163.87$165.0010.8%3.9%9.8%25.0%14.0%3.7%0.1%12.2M-376.2M-9.2M1.8311.5214,88827,256235,850320,852
2014-05-07$165.14$165.0010.5%3.9%10.2%21.8%16.9%3.5%0.2%81.7M-800.8M-9.3M1.738.3926,58045,894238,805324,397
2014-05-08$165.47$165.0010.3%3.9%9.5%20.3%14.6%3.4%0.2%80.0M-895.4M-9.4M1.3810.6133,13245,723242,248338,485
2014-05-09$165.59$165.0010.0%3.9%7.4%16.3%12.6%3.2%0.3%103.6M-970.0M-9.3M1.108.0128,68331,582246,445351,143
2014-05-12$166.80$165.009.8%3.9%6.9%13.7%13.9%3.2%0.4%140.6M-1.40B-8.3M1.419.1525,34235,857240,502339,318
2014-05-13$167.05$165.009.7%3.9%6.7%13.6%10.7%3.1%0.5%128.8M-1.45B-8.5M1.499.2516,65624,822244,917350,396
2014-05-14$166.16$165.0010.0%3.9%6.8%16.2%16.3%3.2%0.4%93.9M-1.02B-8.7M0.9410.6421,05519,880247,788356,505
2014-05-15$164.53$165.0010.6%3.9%7.4%23.5%16.0%3.2%0.1%38.0M-299.6M-9.1M0.748.3686,02963,919251,920351,316
2014-05-16$164.63$165.0010.0%3.8%7.4%16.2%14.2%3.3%0.1%59.5M-72.4M-9.2M1.1311.5542,65648,007233,966354,420
2014-05-19$164.79$165.009.9%3.8%7.4%15.7%0.0%3.7%0.4%-24.4M-279.7M-9.1M0.8311.8625,47321,221198,823303,227
2014-05-20$163.20$165.0010.9%3.7%8.0%26.4%11.5%3.7%0.2%-49.3M140.0M-9.3M1.577.5122,99036,205210,621310,523
2014-05-21$164.99$165.009.7%3.7%8.9%13.3%13.0%3.4%0.2%-615.1K-435.0M-9.6M0.879.0735,74431,159219,105321,200
2014-05-22$165.20$165.009.9%3.7%8.9%15.0%12.6%3.1%0.3%-210.9K-520.5M-9.6M0.979.0517,36716,808224,926329,090
2014-05-23$165.78$165.009.2%3.8%8.6%8.0%11.8%2.9%0.3%52.7M-794.0M-9.5M1.4812.3414,28521,168229,875333,485
2014-05-27$166.41$165.009.5%3.8%8.5%11.0%15.2%3.1%0.1%73.6M-985.9M-8.7M1.2711.3812,59415,945221,476319,520
2014-05-28$166.22$165.009.7%3.9%8.5%13.4%14.6%3.0%-0.1%51.5M-863.9M-8.9M1.8710.226,90112,872223,822324,977
2014-05-29$166.81$165.009.2%3.9%8.5%8.0%16.3%2.9%-0.1%95.8M-1.11B-8.3M0.5610.6424,54513,689224,935326,589
2014-05-30$166.91$165.008.9%3.9%8.4%4.3%14.8%3.1%0.3%100.1M-1.06B-8.3M0.5511.5327,01414,956218,061332,856