DIA Options History — November 2014

In November 2014, DIA traded between $173.31 and $178.10. ATM implied volatility averaged 10.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.4% (HV 20d: 10.5%). Max pain ranged from $166.00 to $176.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2014-11-20: Highest Volume — 135,836 contracts
  • 2014-11-28: Largest IV spike — 12.1% change
  • 2014-11-04: Highest IV Rank — 32.9%
  • 2014-11-03: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$176.31$173.31$178.10$173.31$178.10
Max Pain$168.39$166.00$176.00$166.00$176.00
ATM IV10.1%9.1%11.6%11.4%10.2%
Expected Move3.5%3.3%3.8%3.8%3.5%
HV 20d10.5%4.3%18.8%18.8%4.3%
HV 60d12.6%12.5%12.8%12.8%12.5%
IV Rank20.4%12.4%32.9%31.5%21.3%
IV Percentile36.0%11.1%70.6%67.5%40.1%
Term Structure0.3%-0.9%0.9%0.3%0.2%
VWIV13.3%11.9%14.6%13.8%12.6%
Skew 25d3.6%3.1%4.2%3.9%3.5%
Skew 10d7.2%4.1%8.6%7.6%6.7%
Call IV 25d8.9%8.0%10.3%10.3%8.9%
Put IV 25d12.5%11.3%14.4%14.1%12.3%
Bid-Ask Spread %10.336.6719.348.9917.43
Gamma HHI0.100.070.170.070.12
Net GEX132.1M80.7M181.8M119.2M153.4M
Net DEX-2.09B-2.58B-1.19B-1.91B-1.33B
Net VEX-8.1M-9.5M-7.5M-9.3M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.351.821.550.84
Total Volume61,586.78913,415135,83665,69823,933
Total OI629,457.895527,403689,356624,346552,250

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$173.31$166.0011.4%3.8%18.8%31.5%13.8%3.9%0.3%119.2M-1.91B-9.3M1.558.9925,79839,900270,516353,830
2014-11-04$173.51$166.0011.6%3.8%17.8%32.9%14.2%4.2%0.3%118.5M-1.92B-9.5M1.289.2225,60732,678273,197360,538
2014-11-05$174.58$166.0010.9%3.7%17.1%27.4%13.6%4.0%0.3%139.7M-2.21B-9.1M1.038.9042,83844,159276,070361,090
2014-11-06$175.27$166.0010.4%3.7%15.4%23.0%12.5%3.8%0.3%136.3M-2.34B-9.0M1.228.0933,64441,036277,284371,545
2014-11-07$175.45$166.009.9%3.7%15.4%19.2%13.1%3.5%0.5%181.8M-2.48B-8.5M1.608.9725,21540,259281,075379,127
2014-11-10$175.88$167.009.5%3.5%12.6%15.8%13.5%3.4%0.6%118.7M-2.47B-7.7M1.577.4022,99736,176271,636367,160
2014-11-11$175.92$166.009.7%3.5%12.6%17.4%12.7%3.1%0.7%127.1M-2.46B-7.5M1.588.1919,87331,351269,281359,696
2014-11-12$176.10$167.009.8%3.5%9.9%18.5%13.9%3.6%0.7%116.1M-2.48B-7.8M1.508.4423,09734,597277,733379,383
2014-11-13$176.31$167.009.8%3.6%9.7%18.2%13.2%3.8%0.7%117.3M-2.52B-8.0M1.088.7536,91539,828279,492382,940
2014-11-14$176.35$167.009.8%3.6%8.9%18.6%12.3%3.6%0.9%123.4M-2.47B-8.1M1.0811.4010,74211,623292,365391,353
2014-11-17$176.47$167.0010.4%3.6%8.9%23.0%14.3%4.0%-0.3%117.8M-2.37B-8.0M1.827.4018,41833,517284,474377,500
2014-11-18$177.03$168.0010.3%3.5%8.4%22.1%13.2%3.7%-0.0%143.1M-2.58B-7.8M1.737.3126,60345,893290,101384,187
2014-11-19$176.93$168.0010.7%3.5%7.5%25.8%12.6%3.2%-0.9%140.2M-2.58B-7.7M0.3518.5750,50617,851292,152397,204
2014-11-20$177.16$168.009.9%3.5%6.9%19.0%14.6%3.8%-0.1%178.5M-2.42B-7.8M0.416.6796,40239,434289,079386,826
2014-11-21$177.67$168.009.3%3.5%6.6%14.3%14.0%3.5%0.3%153.1M-1.36B-7.8M0.957.7949,59147,027220,771392,471
2014-11-24$177.80$0.009.2%3.3%6.6%13.5%13.6%3.3%0.1%80.7M-1.19B-7.6M0.9619.3412,64812,203193,891333,512
2014-11-25$178.00$176.009.2%3.3%5.9%13.4%11.9%3.3%0.2%114.3M-1.39B-7.7M0.7511.0336,85427,521205,994338,026
2014-11-26$178.01$176.009.1%3.3%5.8%12.4%12.5%3.3%0.3%129.9M-1.33B-7.7M0.8812.357,1496,266206,188339,763
2014-11-28$178.10$176.0010.2%3.5%4.3%21.3%12.6%3.5%0.2%153.4M-1.33B-7.9M0.8417.4312,98010,953209,609342,641