DIA Options History — October 2014

In October 2014, DIA traded between $160.98 and $173.51. ATM implied volatility averaged 14.4%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.6% (HV 20d: 16.1%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.46.

Notable Days

2014-10-15: Highest Volume — 147,941 contracts
2014-10-13: Largest IV spike — 24.4% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.82	$160.98	$173.51	$167.68	$173.51
Max Pain	$167.30	$165.00	$170.00	$170.00	$166.00
ATM IV	14.4%	10.7%	19.8%	13.9%	10.7%
Expected Move	4.2%	3.7%	5.1%	4.1%	3.7%
HV 20d	16.1%	10.0%	19.1%	10.0%	18.8%
HV 60d	11.3%	8.6%	12.9%	8.6%	12.9%
IV Rank	60.3%	25.6%	100.0%	63.8%	25.6%
IV Percentile	87.8%	53.2%	100.0%	92.5%	53.2%
Term Structure	0.1%	-0.8%	5.7%	0.0%	0.3%
VWIV	16.1%	13.8%	18.9%	15.1%	13.8%
Skew 25d	5.5%	3.8%	11.6%	5.4%	3.8%
Skew 10d	8.0%	-4.0%	17.2%	6.3%	6.8%
Call IV 25d	11.9%	9.4%	16.4%	11.3%	9.4%
Put IV 25d	17.4%	13.2%	24.6%	16.7%	13.2%
Bid-Ask Spread %	13.02	7.48	74.06	9.49	10.65
Gamma HHI	0.09	0.06	0.20	0.08	0.06
Net GEX	-110.3M	-348.0M	141.3M	-205.6M	141.3M
Net DEX	362.5M	-2.23B	2.67B	751.8M	-2.23B
Net VEX	-9.9M	-11.0M	-8.9M	-9.1M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.84	2.15	1.54	1.19
Total Volume	89,442.043	27,293	147,941	146,585	93,328
Total OI	627,795.043	575,077	745,242	575,077	651,928

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$167.68	$170.00	13.9%	4.1%	10.0%	63.8%	15.1%	5.4%	0.0%	-205.6M	751.8M	-9.1M	1.54	9.49	57,778	88,807	212,812	362,265
2014-10-02	$167.65	$170.00	13.2%	4.0%	10.0%	56.7%	16.8%	5.0%	0.1%	-238.5M	827.6M	-9.5M	1.86	9.51	24,063	44,818	203,850	382,152
2014-10-03	$169.72	$170.00	11.9%	3.8%	10.9%	43.8%	15.1%	4.4%	-0.0%	-147.0M	41.4M	-9.2M	1.25	9.94	21,508	26,802	211,574	393,828
2014-10-06	$169.57	$170.00	12.3%	3.8%	10.9%	47.4%	16.5%	4.9%	-0.1%	-126.2M	109.4M	-8.9M	1.68	8.64	10,193	17,100	202,768	382,661
2014-10-07	$167.06	$170.00	14.2%	4.1%	12.0%	66.3%	17.2%	5.1%	-0.1%	-237.2M	951.0M	-9.4M	1.52	11.51	26,773	40,784	206,625	385,435
2014-10-08	$169.74	$170.00	12.5%	3.8%	13.4%	49.6%	14.8%	4.8%	-0.1%	-110.8M	-53.4M	-9.0M	2.15	8.13	40,987	88,200	217,456	400,981
2014-10-09	$166.60	$170.00	15.4%	4.2%	14.9%	78.6%	15.5%	5.8%	-0.4%	-277.5M	1.11B	-9.8M	1.42	7.48	54,340	77,384	221,052	419,826
2014-10-10	$166.52	$169.00	15.3%	4.2%	14.9%	77.5%	17.0%	5.8%	-0.2%	-297.9M	1.08B	-10.0M	1.25	7.98	42,545	53,164	238,554	429,502
2014-10-13	$163.05	$169.00	19.0%	4.8%	16.5%	100.0%	18.2%	5.2%	-0.5%	-311.1M	2.18B	-10.1M	1.89	9.43	35,050	66,097	229,932	424,413
2014-10-14	$164.21	$168.00	17.3%	4.6%	16.5%	84.5%	18.2%	5.5%	-0.4%	-348.0M	1.82B	-10.1M	1.90	7.64	25,118	47,679	238,124	437,503
2014-10-15	$161.35	$168.00	19.8%	5.1%	17.3%	100.0%	18.9%	4.5%	-0.7%	-276.6M	2.63B	-9.9M	1.49	9.32	59,506	88,435	251,495	428,071
2014-10-16	$160.98	$167.00	19.7%	5.0%	17.0%	99.4%	17.8%	8.2%	-0.8%	-254.8M	2.67B	-10.0M	1.25	17.83	42,259	52,949	269,058	434,821
2014-10-17	$163.45	$165.00	17.2%	4.5%	18.3%	78.4%	14.1%	11.6%	5.7%	-262.1M	1.46B	-10.2M	1.36	74.06	56,362	76,686	293,424	451,818
2014-10-20	$163.60	$165.00	15.6%	4.5%	18.3%	65.6%	18.1%	6.5%	-0.3%	-31.6M	473.2M	-10.8M	1.35	12.54	29,452	39,850	244,448	333,455
2014-10-21	$165.58	$165.00	13.6%	4.2%	18.8%	49.2%	17.3%	5.7%	-0.4%	13.6M	-110.5M	-10.8M	1.66	12.70	27,389	45,396	252,009	339,726
2014-10-22	$164.33	$165.00	15.1%	4.5%	18.5%	61.2%	17.5%	6.2%	-0.4%	-14.3M	196.2M	-10.7M	1.66	11.90	29,242	48,597	253,895	346,335
2014-10-23	$166.24	$165.00	14.1%	4.3%	18.6%	53.0%	14.8%	5.7%	-0.1%	32.4M	-349.1M	-10.7M	1.24	10.46	42,870	52,952	262,176	355,688
2014-10-24	$167.69	$165.00	13.4%	4.2%	18.7%	47.6%	14.6%	5.2%	-0.2%	59.7M	-714.2M	-11.0M	1.37	12.58	33,942	46,387	268,190	367,362
2014-10-27	$167.77	$165.00	13.1%	4.1%	18.6%	44.8%	14.3%	5.1%	0.1%	43.7M	-552.9M	-10.7M	1.35	9.65	25,353	34,161	253,095	342,490
2014-10-28	$169.64	$165.00	11.5%	3.9%	19.1%	32.1%	15.1%	4.4%	0.3%	96.1M	-1.15B	-9.8M	1.00	9.28	35,292	35,131	256,366	349,532
2014-10-29	$169.41	$165.00	11.4%	3.9%	18.4%	31.4%	14.8%	4.3%	0.5%	90.6M	-1.09B	-10.0M	1.37	9.90	31,733	43,341	259,107	352,979
2014-10-30	$171.61	$166.00	11.3%	3.8%	18.9%	30.2%	14.4%	4.1%	0.1%	124.0M	-1.72B	-9.5M	0.84	8.81	52,946	44,418	260,635	359,870
2014-10-31	$173.51	$166.00	10.7%	3.7%	18.8%	25.6%	13.8%	3.8%	0.3%	141.3M	-2.23B	-9.4M	1.19	10.65	42,521	50,807	279,603	372,325