DIA Options History — September 2014

In September 2014, DIA traded between $169.45 and $172.61. ATM implied volatility averaged 10.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.1% (HV 20d: 6.1%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2014-09-18: Highest Volume — 104,772 contracts
  • 2014-09-25: Largest IV spike — 23.2% change
  • 2014-09-30: Highest IV Rank — 51.8%
  • 2014-09-30: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.85$169.45$172.61$170.58$170.07
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV10.2%8.5%12.7%9.7%12.7%
Expected Move3.6%3.4%3.9%3.6%3.9%
HV 20d6.1%4.3%8.7%7.1%8.6%
HV 60d7.5%7.1%8.3%7.3%8.2%
IV Rank26.1%9.0%51.8%21.4%51.8%
IV Percentile36.5%3.2%86.5%24.2%86.5%
Term Structure0.1%-0.3%0.5%0.3%0.0%
VWIV14.2%10.9%18.2%14.0%18.2%
Skew 25d4.5%3.3%5.4%3.9%5.3%
Skew 10d8.5%7.0%10.4%7.6%7.9%
Call IV 25d8.6%7.1%10.6%8.4%10.6%
Put IV 25d13.1%10.8%15.9%12.4%15.9%
Bid-Ask Spread %11.076.0938.917.549.10
Gamma HHI0.130.070.190.150.10
Net GEX67.1M-116.6M191.7M120.7M22.8M
Net DEX-744.7M-1.77B262.2M-1.12B-45.8M
Net VEX-8.2M-9.2M-6.6M-8.2M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.313.481.342.41
Total Volume48,01519,261104,77232,40942,567
Total OI559,689.524485,083609,876522,149577,161

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$170.58$170.009.7%3.6%7.1%21.4%14.0%3.9%0.3%120.7M-1.12B-8.2M1.347.5413,87318,536226,140296,009
2014-09-03$170.72$170.009.7%3.6%6.4%21.4%10.9%3.8%0.3%132.1M-1.15B-8.5M1.056.0916,68717,479231,975303,109
2014-09-04$170.66$170.009.8%3.6%6.4%22.4%14.0%4.1%0.3%99.6M-1.12B-8.3M3.088.8416,94652,217228,519308,313
2014-09-05$171.25$170.009.1%3.6%6.0%15.2%13.4%3.9%0.3%101.5M-1.19B-8.6M1.739.7411,22219,460230,517344,057
2014-09-08$171.07$170.009.4%3.6%5.4%18.5%14.5%4.4%0.1%101.3M-1.14B-8.2M1.716.848,82415,132225,514334,495
2014-09-09$170.38$170.009.8%3.6%5.8%22.1%13.4%4.6%0.5%64.3M-828.7M-8.6M1.408.6311,78016,522229,100339,946
2014-09-10$170.64$170.009.8%3.6%5.8%22.5%13.8%4.4%-0.2%98.1M-1.02B-8.0M2.108.9010,95223,036231,932344,569
2014-09-11$170.49$170.009.7%3.6%5.5%21.3%12.8%4.6%0.5%86.3M-866.3M-8.6M2.489.325,54213,719233,696352,991
2014-09-12$169.95$170.0010.2%3.6%5.6%25.9%13.3%4.8%0.2%-23.8M-657.7M-8.1M1.3012.0217,98723,296234,626355,023
2014-09-15$170.32$170.0010.6%3.7%5.2%30.7%15.3%4.7%-0.2%116.9M-811.0M-7.9M2.428.647,81018,878227,362344,986
2014-09-16$171.38$170.009.9%3.6%4.5%23.7%15.5%4.4%-0.2%150.7M-1.16B-8.0M1.9613.7916,56832,497230,341352,457
2014-09-17$171.58$170.009.2%3.5%4.3%15.8%12.9%4.0%0.5%179.5M-1.26B-7.8M1.0810.6523,79725,747235,925366,755
2014-09-18$172.61$170.008.5%3.4%4.5%9.0%11.6%3.3%0.5%191.7M-1.77B-6.6M0.3111.4479,85924,913240,438369,438
2014-09-19$172.45$170.008.8%3.4%4.4%12.7%16.2%3.6%-0.3%43.1M-648.3M-6.8M0.6538.9155,53336,069175,026376,879
2014-09-22$171.43$170.0010.0%3.6%4.9%23.9%12.4%4.5%0.1%48.3M-365.7M-8.3M1.658.6014,68824,189192,815292,268
2014-09-23$170.14$170.0011.4%3.7%5.5%38.6%15.4%4.9%0.0%-20.1M34.9M-8.1M2.6511.3815,32340,596200,856299,877
2014-09-24$171.77$170.009.9%3.6%6.4%23.0%12.9%4.6%0.1%59.8M-539.1M-8.1M3.488.8813,04245,410208,357312,088
2014-09-25$169.45$170.0012.2%3.9%8.1%45.9%14.5%5.4%0.1%-116.6M262.2M-8.6M2.7013.9925,29568,351211,353338,823
2014-09-26$170.77$170.0011.1%3.7%8.6%35.0%15.5%4.9%0.1%-11.3M-164.2M-9.2M2.029.4216,21232,789221,637363,761
2014-09-29$170.21$170.0012.4%3.9%8.7%48.1%18.0%5.4%0.0%-36.1M-77.9M-8.8M1.899.8212,09522,877209,576354,770
2014-09-30$170.07$170.0012.7%3.9%8.6%51.8%18.2%5.3%0.0%22.8M-45.8M-9.1M2.419.1012,48130,086214,970362,191