DIA Options History — August 2014

In August 2014, DIA traded between $163.55 and $170.99. ATM implied volatility averaged 10.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.4% (HV 20d: 9.2%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-08-01: Highest Volume — 98,220 contracts
  • 2014-08-18: Largest IV drop — 11.6% change
  • 2014-08-07: Highest IV Rank — 60.1%
  • 2014-08-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.55$163.55$170.99$164.53$170.83
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV10.6%8.9%13.6%13.4%9.4%
Expected Move3.8%3.5%4.2%4.1%3.6%
HV 20d9.2%7.1%10.4%8.1%7.1%
HV 60d7.5%7.1%7.8%7.5%7.4%
IV Rank30.6%13.2%60.1%58.7%18.2%
IV Percentile39.8%6.7%89.7%88.5%15.1%
Term Structure0.2%-0.2%0.5%-0.2%0.5%
VWIV14.6%11.0%19.0%15.0%16.1%
Skew 25d4.2%3.0%5.8%5.5%3.4%
Skew 10d7.7%5.5%10.2%9.2%7.0%
Call IV 25d9.0%7.7%11.3%11.3%8.1%
Put IV 25d13.2%11.1%16.9%16.9%11.5%
Bid-Ask Spread %10.507.2119.4413.699.55
Gamma HHI0.100.040.190.070.14
Net GEX31.5M-110.9M165.8M-100.1M127.7M
Net DEX-366.5M-1.41B832.0M760.4M-1.31B
Net VEX-8.7M-9.3M-8.1M-8.9M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.442.682.681.78
Total Volume37,988.8116,36898,22098,22029,821
Total OI526,928.048486,772554,475501,394543,897

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$164.53$170.0013.4%4.1%8.1%58.7%15.0%5.5%-0.2%-100.1M760.4M-8.9M2.6813.6926,70171,519209,061292,333
2014-08-04$165.23$170.0012.2%4.0%8.3%46.8%14.6%4.7%0.1%-85.4M476.7M-9.0M1.487.2116,10623,912202,361309,363
2014-08-05$164.05$170.0013.2%4.1%8.5%56.6%15.4%5.8%0.1%-107.3M795.3M-9.1M1.3119.4419,11625,075209,579313,601
2014-08-06$164.20$170.0013.2%4.2%8.4%56.3%14.8%5.4%0.0%-99.3M687.6M-9.3M1.3813.7515,67621,564215,245319,069
2014-08-07$163.55$170.0013.6%4.2%8.4%60.1%14.9%5.3%0.0%-110.9M832.0M-9.3M1.1616.3815,94218,511220,821321,968
2014-08-08$165.16$170.0012.7%4.2%9.2%50.9%15.5%4.8%0.1%-68.1M334.8M-9.2M1.047.5823,47124,488228,060326,415
2014-08-11$165.52$170.0011.8%4.0%8.9%42.3%18.0%4.5%-0.0%-54.1M241.2M-8.9M0.808.6520,45716,348217,100319,281
2014-08-12$165.47$170.0011.7%4.1%8.8%41.1%15.2%4.5%0.5%-45.4M227.0M-8.9M0.948.5811,49810,851223,596322,184
2014-08-13$166.57$170.0010.4%3.8%9.1%28.5%13.8%4.1%0.1%4.1M-70.4M-8.4M1.549.3410,73216,537227,468324,144
2014-08-14$167.16$170.009.6%3.8%9.3%20.0%13.9%3.9%0.5%20.5M-260.0M-8.2M0.447.6921,1289,312223,925322,150
2014-08-15$166.35$170.0010.4%3.8%9.3%28.4%19.0%4.6%0.5%-45.2M83.5M-8.1M1.0310.0143,86745,394215,049324,313
2014-08-18$168.01$170.009.2%3.6%10.1%16.3%15.3%4.0%0.3%100.7M-683.1M-8.3M1.1710.2714,78617,277211,218275,554
2014-08-19$168.82$170.009.0%3.6%10.2%14.2%13.1%3.9%0.2%121.7M-897.1M-8.4M0.8215.5117,87614,671214,968282,965
2014-08-20$169.55$170.009.0%3.5%10.3%14.4%11.0%3.5%0.3%134.0M-1.12B-8.4M0.979.4413,44113,073218,761289,947
2014-08-21$170.20$170.009.1%3.6%10.4%15.3%11.0%3.3%0.3%133.7M-1.28B-8.4M0.478.4227,46112,887221,164293,491
2014-08-22$169.87$170.008.9%3.5%10.2%13.2%12.1%3.4%0.1%104.2M-1.18B-8.4M0.718.3718,42113,064228,002299,365
2014-08-25$170.63$170.009.1%3.5%10.3%15.7%13.3%3.3%0.1%149.0M-1.26B-8.7M0.7911.5518,65014,779220,906286,737
2014-08-26$170.99$170.009.0%3.5%10.3%14.5%12.2%3.0%0.4%164.2M-1.41B-8.5M0.858.1511,1149,496230,573294,229
2014-08-27$170.98$170.009.1%3.6%10.2%15.0%16.1%3.1%0.5%165.8M-1.37B-8.8M1.128.367,7378,631232,409298,119
2014-08-28$170.81$170.009.2%3.6%7.7%16.3%17.1%3.6%0.5%151.8M-1.31B-8.5M1.588.6110,22116,154234,155301,943
2014-08-29$170.83$170.009.4%3.6%7.1%18.2%16.1%3.4%0.5%127.7M-1.31B-8.5M1.789.5510,72719,094235,733308,164