DIA Options History — December 2014

In December 2014, DIA traded between $171.03 and $180.36. ATM implied volatility averaged 12.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.6% (HV 20d: 8.9%). Max pain ranged from $173.00 to $178.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-12-12: Highest Volume — 128,606 contracts
  • 2014-12-10: Largest IV spike — 28.9% change
  • 2014-12-16: Highest IV Rank — 83.6%
  • 2014-12-16: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$177.43$171.03$180.36$177.69$177.99
Max Pain$176.45$173.00$178.00$177.00$177.00
ATM IV12.5%9.2%17.8%10.7%14.2%
Expected Move3.9%3.3%5.1%3.6%4.1%
HV 20d8.9%2.6%14.1%2.9%14.1%
HV 60d13.2%12.5%14.2%12.5%13.5%
IV Rank40.4%13.3%83.6%25.3%54.2%
IV Percentile68.9%14.3%98.8%51.6%90.1%
Term Structure0.2%-0.4%0.7%0.1%0.2%
VWIV14.7%12.2%18.2%13.1%15.0%
Skew 25d5.0%3.4%6.9%3.8%6.7%
Skew 10d9.8%6.1%14.3%8.0%14.3%
Call IV 25d10.7%8.0%15.1%9.6%11.9%
Put IV 25d15.7%11.5%22.0%13.4%18.6%
Bid-Ask Spread %10.645.6623.358.6723.35
Gamma HHI0.100.050.280.100.10
Net GEX129.9M-22.5M354.6M103.3M119.6M
Net DEX-1.16B-1.87B331.5M-1.27B-1.02B
Net VEX-8.2M-9.1M-7.3M-8.0M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.631.710.901.19
Total Volume74,540.45514,460128,60658,87134,679
Total OI570,372.091514,337657,050535,972517,644

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$177.69$177.0010.7%3.6%2.9%25.3%13.1%3.8%0.1%103.3M-1.27B-8.0M0.908.6731,00127,870210,483325,489
2014-12-02$178.49$177.0010.1%3.5%3.0%20.9%12.9%3.6%-0.3%114.4M-1.46B-7.9M0.937.0230,91028,618214,130331,817
2014-12-03$179.05$177.009.7%3.4%3.1%17.2%12.3%3.5%0.4%129.5M-1.63B-7.5M0.796.6536,16028,405215,774334,601
2014-12-04$178.83$177.009.5%3.3%2.7%16.0%12.7%3.5%0.6%130.9M-1.54B-7.5M0.8810.4913,85412,171212,804339,182
2014-12-05$179.29$177.009.2%3.3%2.6%13.3%12.2%3.4%0.7%138.6M-1.78B-7.3M0.687.4648,69033,271225,632343,056
2014-12-08$178.49$178.0010.8%3.6%3.3%26.4%13.9%4.3%0.7%119.3M-1.42B-7.7M0.877.0033,26529,028224,698329,545
2014-12-09$177.94$178.0011.2%3.6%3.5%29.6%13.7%4.8%0.3%115.1M-1.24B-7.8M1.145.6639,50644,983229,804334,444
2014-12-10$175.16$178.0014.4%4.2%6.8%56.1%15.0%5.6%-0.3%27.0M-445.8M-8.5M0.636.5473,23845,799232,218342,343
2014-12-11$175.81$178.0014.6%4.3%6.9%57.4%15.6%6.1%-0.2%76.2M-759.0M-8.9M1.467.1641,16460,092255,546346,897
2014-12-12$173.02$178.0016.6%4.8%8.9%73.4%17.4%6.9%-0.2%-14.2M85.0M-9.1M1.225.9357,86670,740261,815356,174
2014-12-15$172.10$176.0015.9%4.7%9.0%68.2%17.8%6.3%-0.0%-21.3M163.5M-8.9M1.286.1850,21764,176271,298363,322
2014-12-16$171.03$175.0017.8%5.1%9.1%83.6%18.2%6.8%-0.1%-22.5M331.5M-9.1M1.408.0646,22264,816283,604363,664
2014-12-17$173.71$174.0015.0%4.5%10.9%60.3%17.2%5.9%0.3%55.7M-400.7M-9.0M1.099.5244,03047,901284,401367,122
2014-12-18$177.44$173.0013.0%4.0%13.4%44.6%15.8%5.0%-0.4%354.6M-1.76B-8.5M0.9811.9457,49756,288289,838367,212
2014-12-19$178.12$174.0012.1%3.8%13.5%37.3%14.3%5.1%0.2%218.9M-1.26B-8.2M0.7521.8435,12626,351245,781373,411
2014-12-22$179.12$175.0011.9%3.7%13.6%35.4%15.4%5.0%0.2%186.5M-1.60B-8.1M1.2012.3433,13039,834231,359285,873
2014-12-23$180.04$175.0011.5%3.6%13.7%31.9%14.0%4.4%0.4%218.0M-1.86B-8.1M1.3912.2328,72240,032239,605292,734
2014-12-24$180.03$177.0011.4%3.6%13.7%31.6%13.3%4.3%0.4%216.7M-1.78B-8.0M1.2314.6727,01333,168238,436296,800
2014-12-26$180.36$177.0011.3%3.6%13.7%30.9%14.3%4.2%0.5%232.3M-1.87B-7.9M1.4112.4723,25432,685238,656299,542
2014-12-29$180.16$177.0012.1%3.6%13.7%37.3%14.6%5.2%0.2%176.9M-1.65B-7.7M1.7111.9119,81033,848228,003286,334
2014-12-30$179.67$177.0012.1%3.6%13.7%37.2%13.6%5.1%0.4%181.3M-1.46B-7.6M1.1017.086,8847,576224,815292,280
2014-12-31$177.99$177.0014.2%4.1%14.1%54.2%15.0%6.7%0.2%119.6M-1.02B-8.0M1.1923.3515,84718,832223,988293,656