DIA Options History — July 2014

In July 2014, DIA traded between $165.62 and $171.06. ATM implied volatility averaged 9.4%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.3% (HV 20d: 6.1%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2014-07-31: Highest Volume — 96,533 contracts
  • 2014-07-31: Largest IV spike — 27.1% change
  • 2014-07-31: Highest IV Rank — 56.0%
  • 2014-07-31: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$169.63$165.62$171.06$169.21$165.62
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV9.4%7.6%13.2%8.5%13.2%
Expected Move3.6%3.5%4.0%3.5%4.0%
HV 20d6.1%5.7%8.3%6.0%8.3%
HV 60d7.1%6.6%8.3%8.3%7.6%
IV Rank18.3%0.0%56.0%7.6%56.0%
IV Percentile17.5%0.0%86.5%2.4%86.5%
Term Structure0.1%-0.3%0.7%0.2%-0.3%
VWIV14.3%9.8%18.4%12.0%13.3%
Skew 25d3.9%2.6%5.3%3.1%5.3%
Skew 10d7.7%5.7%9.7%5.7%9.7%
Call IV 25d8.0%6.8%11.2%7.3%11.2%
Put IV 25d11.9%9.4%16.5%10.4%16.5%
Bid-Ask Spread %10.517.2316.268.4110.59
Gamma HHI0.150.050.290.190.05
Net GEX93.1M-70.0M259.8M131.5M-70.0M
Net DEX-745.4M-1.39B504.4M-875.7M504.4M
Net VEX-7.6M-8.6M-6.9M-7.5M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.573.241.151.71
Total Volume38,677.81817,28896,53337,71596,533
Total OI458,600.273404,810503,357447,617469,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$169.21$170.008.5%3.5%6.0%7.6%12.0%3.1%0.2%131.5M-875.7M-7.5M1.158.4117,56420,151187,263260,354
2014-07-02$169.45$170.008.1%3.5%6.0%3.4%17.0%3.0%0.3%145.1M-923.2M-7.5M3.2410.514,97416,131190,600267,483
2014-07-03$170.47$170.007.6%3.5%6.0%0.0%14.9%2.6%0.3%151.1M-1.26B-7.3M1.2015.1813,95716,815191,747274,616
2014-07-07$169.89$170.008.5%3.5%5.8%9.2%15.5%3.5%0.2%121.0M-957.9M-7.5M1.6211.247,92012,833188,719265,933
2014-07-08$169.05$170.009.2%3.5%6.0%16.6%15.1%3.8%0.2%100.3M-662.3M-7.5M1.5713.1015,68824,603190,597271,073
2014-07-09$169.57$170.008.9%3.5%6.1%13.3%16.9%3.5%-0.1%132.3M-883.4M-7.6M0.9910.8211,92411,766194,384277,323
2014-07-10$168.83$170.009.6%3.6%6.0%20.7%14.5%4.0%0.2%95.0M-599.4M-7.4M1.6610.3214,86124,699194,389281,644
2014-07-11$169.17$170.009.3%3.5%5.7%17.3%15.2%4.0%0.2%148.7M-749.2M-7.4M0.9911.3711,56811,478199,727286,181
2014-07-14$170.22$170.009.0%3.5%6.0%14.2%11.0%3.8%0.2%174.0M-1.10B-7.1M0.9511.0720,88619,847193,425279,037
2014-07-15$170.44$170.009.2%3.5%6.0%16.7%14.0%3.8%-0.1%177.9M-1.11B-7.2M1.479.9213,70720,194200,609287,372
2014-07-16$171.06$170.008.5%3.6%6.1%9.4%13.4%3.5%0.4%188.7M-1.39B-6.9M0.9610.9113,55613,073204,146292,076
2014-07-17$170.45$170.0010.7%3.7%6.0%31.4%12.8%4.6%-0.2%259.8M-1.02B-7.8M1.2916.2629,38738,032202,580291,314
2014-07-18$170.61$170.008.8%3.6%6.0%12.1%14.6%4.1%0.7%46.8M-1.11B-7.8M0.5712.1146,71226,473202,543300,814
2014-07-21$170.10$170.009.6%3.6%6.1%20.7%14.9%4.4%0.1%49.0M-615.9M-7.7M1.938.7512,84124,777170,630234,180
2014-07-22$170.62$170.009.4%3.5%6.2%17.9%9.8%3.9%0.0%64.7M-750.4M-7.7M0.9312.4013,36812,401175,271244,482
2014-07-23$170.56$170.009.4%3.6%5.7%18.8%13.8%4.0%0.2%62.6M-752.6M-7.8M1.169.4010,76512,459179,100248,721
2014-07-24$170.20$170.009.4%3.6%5.8%18.8%15.1%3.7%0.2%42.0M-664.5M-7.8M1.688.636,44910,839182,216253,436
2014-07-25$169.20$170.0010.0%3.7%6.2%24.2%14.5%4.3%0.2%-11.0M-356.8M-7.8M1.307.3919,51825,434184,293257,336
2014-07-28$169.43$170.009.7%3.7%6.2%21.2%15.7%4.0%0.0%18.2M-466.1M-7.9M1.147.2317,06319,452176,560247,510
2014-07-29$169.24$170.0010.1%3.7%6.2%25.5%18.4%3.9%0.0%16.5M-402.8M-7.9M1.297.7514,59318,815184,819253,556
2014-07-30$168.50$170.0010.3%3.8%5.8%27.9%12.9%4.3%0.0%3.4M-249.7M-8.0M1.267.8025,13231,674189,429262,157
2014-07-31$165.62$170.0013.2%4.0%8.3%56.0%13.3%5.3%-0.3%-70.0M504.4M-8.6M1.7110.5935,68660,847196,810272,751