DIA Options History — June 2014

In June 2014, DIA traded between $167.08 and $169.33. ATM implied volatility averaged 8.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.1% (HV 20d: 6.8%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2014-06-13: Highest Volume — 62,602 contracts
  • 2014-06-24: Largest IV spike — 13.4% change
  • 2014-06-04: Highest IV Rank — 14.6%
  • 2014-06-02: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$168.25$167.08$169.33$167.17$167.89
Max Pain$166.43$165.00$170.00$165.00$170.00
ATM IV8.9%7.8%9.8%9.4%8.8%
Expected Move3.6%3.5%4.0%4.0%3.5%
HV 20d6.8%5.1%8.4%8.4%5.4%
HV 60d8.9%8.4%9.6%9.5%8.4%
IV Rank7.7%0.0%14.6%10.0%10.4%
IV Percentile3.2%0.0%9.9%3.2%3.2%
Term Structure0.3%0.1%0.8%0.1%0.2%
VWIV13.2%10.4%18.3%11.0%10.4%
Skew 25d3.1%2.5%3.8%3.2%3.8%
Skew 10d6.2%4.7%7.9%5.5%6.7%
Call IV 25d7.8%6.7%8.6%8.2%7.5%
Put IV 25d11.0%9.6%12.2%11.4%11.3%
Bid-Ask Spread %10.237.2813.009.7811.13
Gamma HHI0.110.060.210.060.21
Net GEX68.7M-3.6M175.9M87.6M88.6M
Net DEX-1.02B-1.67B-453.5M-1.03B-474.8M
Net VEX-7.9M-8.5M-6.9M-8.5M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.303.001.441.60
Total Volume34,080.76220,20562,60233,83126,231
Total OI552,087.238444,740623,416541,524463,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$167.17$165.009.4%4.0%8.4%10.0%11.0%3.2%0.1%87.6M-1.03B-8.5M1.449.7813,87419,957228,175313,349
2014-06-03$167.08$165.009.6%3.9%8.4%12.4%16.0%3.0%0.1%64.3M-973.2M-8.2M2.5510.026,14015,629231,018321,845
2014-06-04$167.15$165.009.8%3.9%8.0%14.6%12.6%3.1%0.1%69.7M-985.8M-8.4M1.589.278,81013,961232,705327,955
2014-06-05$168.21$165.009.4%3.6%7.9%9.7%14.7%2.9%0.1%116.5M-1.34B-8.1M1.4611.9720,50229,970235,030332,270
2014-06-06$169.29$165.008.4%3.6%8.1%0.0%14.4%2.6%0.2%175.9M-1.67B-7.7M1.047.8517,34118,047239,088344,954
2014-06-09$169.25$165.008.9%3.6%8.1%5.8%15.7%2.7%0.4%119.5M-1.57B-7.7M1.217.2813,65616,528230,556337,365
2014-06-10$169.33$165.008.4%3.6%7.8%0.0%14.1%2.5%0.7%108.7M-1.61B-7.4M1.0510.1211,70312,261233,685344,553
2014-06-11$168.42$165.008.9%3.6%8.1%5.1%10.4%2.8%0.7%58.3M-1.25B-8.1M1.3710.2313,10517,944237,444348,862
2014-06-12$167.48$165.009.4%3.9%8.1%11.4%14.1%3.6%0.8%-3.6M-831.1M-8.5M2.3211.3812,31528,616242,540354,763
2014-06-13$167.69$165.009.3%3.6%7.1%10.2%12.2%3.3%0.2%33.5M-983.2M-8.3M3.008.8015,65746,945246,491361,262
2014-06-16$167.69$165.009.7%3.6%7.2%13.8%12.8%3.6%0.4%10.1M-997.5M-8.3M1.827.967,15313,052244,562370,181
2014-06-17$168.03$165.009.4%3.6%7.2%11.0%11.5%3.5%0.3%19.2M-1.10B-8.2M1.1611.0410,41212,106245,578373,416
2014-06-18$169.02$165.008.3%3.5%6.1%0.0%12.7%2.9%0.3%72.0M-1.51B-7.1M1.1113.0020,90223,145246,860375,509
2014-06-19$169.10$165.007.8%3.5%5.1%0.0%18.3%2.8%0.4%98.0M-1.61B-7.4M0.3011.5440,20012,210247,999375,417
2014-06-20$169.07$165.007.8%3.5%5.1%0.0%12.6%2.9%0.5%55.1M-702.5M-6.9M0.5111.0139,84720,389191,152377,726
2014-06-23$169.00$170.008.0%3.6%5.1%2.7%15.8%3.1%0.3%99.3M-786.6M-7.6M1.8210.677,18213,063180,830263,910
2014-06-24$168.00$170.009.1%3.5%5.5%13.8%11.7%3.6%0.1%46.0M-478.9M-7.9M2.039.3512,78125,945183,907271,434
2014-06-25$168.21$170.008.9%3.5%5.5%11.4%12.5%3.5%0.5%58.6M-529.4M-8.0M2.1510.087,47216,082189,782281,939
2014-06-26$168.04$170.008.8%3.5%5.4%10.7%11.6%3.6%0.4%32.2M-453.5M-7.8M1.2010.5714,24117,144191,697287,280
2014-06-27$168.06$170.008.7%3.5%5.4%9.3%12.0%3.4%0.4%33.9M-517.7M-7.7M1.7311.888,49014,688194,909292,220
2014-06-30$167.89$170.008.8%3.5%5.4%10.4%10.4%3.8%0.2%88.6M-474.8M-7.5M1.6011.1310,07816,153188,055275,559