DIA Options History — January 2015

In January 2015, DIA traded between $171.51 and $178.64. ATM implied volatility averaged 15.6%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.2% (HV 20d: 15.5%). Max pain ranged from $175.00 to $177.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-01-14: Highest Volume — 106,311 contracts
  • 2015-01-05: Largest IV spike — 16.3% change
  • 2015-01-15: Highest IV Rank — 91.2%
  • 2015-01-30: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.22$171.51$178.64$178.24$171.51
Max Pain$176.32$175.00$177.00$177.00$175.50
ATM IV15.6%13.1%18.7%13.5%17.8%
Expected Move4.5%3.8%5.3%4.0%5.3%
HV 20d15.5%13.4%17.6%14.1%16.5%
HV 60d12.4%11.8%13.4%13.1%12.6%
IV Rank65.9%45.4%91.2%48.4%83.7%
IV Percentile91.9%77.4%98.8%86.5%98.0%
Term Structure-0.2%-0.8%0.3%0.3%-0.3%
VWIV16.3%13.7%18.8%14.4%18.8%
Skew 25d6.4%5.0%7.5%6.4%6.6%
Skew 10d12.5%9.8%15.0%11.8%12.4%
Call IV 25d13.0%10.7%15.6%10.7%15.0%
Put IV 25d19.4%16.3%22.7%17.2%21.6%
Bid-Ask Spread %13.666.0743.608.548.65
Gamma HHI0.080.040.130.100.05
Net GEX30.1M-63.1M167.4M95.1M-41.1M
Net DEX-296.6M-1.28B515.3M-999.8M515.3M
Net VEX-8.5M-9.4M-7.8M-7.8M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.613.991.491.33
Total Volume69,005.526,111106,31169,68371,679
Total OI500,405.35420,347611,174477,366509,466

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$178.24$177.0013.5%4.0%14.1%48.4%14.4%6.4%0.3%95.1M-999.8M-7.8M1.498.5427,99641,687217,414259,952
2015-01-05$174.84$177.0015.7%4.4%15.6%66.4%16.1%7.2%-0.1%53.9M-288.7M-7.8M0.9715.6423,58422,987212,675261,982
2015-01-06$173.39$177.0016.8%4.8%15.7%75.2%16.6%7.2%-0.1%34.1M-19.0M-7.9M0.9814.9629,84529,170222,855268,508
2015-01-07$175.59$176.0015.5%4.3%16.5%64.6%15.4%6.8%-0.2%95.2M-500.2M-8.0M1.3319.2820,62027,471230,176273,685
2015-01-08$178.64$177.0013.9%4.0%17.6%51.7%14.6%5.9%0.1%167.4M-1.28B-8.0M1.317.2744,06657,920234,985286,283
2015-01-09$177.31$177.0014.0%4.2%16.9%52.7%15.2%5.9%0.3%77.5M-824.8M-8.3M2.129.2232,34868,578242,262306,856
2015-01-12$176.43$177.0015.5%4.5%17.0%64.8%16.7%6.8%0.2%64.9M-511.1M-8.5M1.338.7127,21136,263237,199312,864
2015-01-13$175.75$177.0016.6%4.6%15.9%73.8%16.7%6.8%-0.4%52.9M-334.7M-8.4M1.459.3342,70062,036241,228317,787
2015-01-14$174.12$177.0017.8%5.0%16.2%83.8%17.8%7.5%-0.5%-21.8M218.1M-8.7M1.218.6548,00158,310247,787331,587
2015-01-15$173.11$176.0018.7%5.2%16.2%91.2%18.5%7.1%-0.8%-63.1M396.1M-8.7M1.307.8535,32545,932259,083338,825
2015-01-16$174.67$176.0017.0%4.8%15.5%77.3%16.9%6.3%-0.4%-14.4M74.0M-8.7M0.6143.6048,12829,195262,491348,683
2015-01-20$174.90$176.0016.7%4.8%13.4%74.8%17.4%6.8%-0.5%-9.8M-258.5M-8.8M0.9422.5617,15416,099196,198224,149
2015-01-21$175.30$175.0015.7%4.5%13.4%66.7%17.4%6.1%-0.4%4.5M-378.5M-8.8M3.9915.9411,79147,087205,321230,488
2015-01-22$177.87$176.0013.3%3.8%14.3%46.8%14.4%5.2%-0.2%88.9M-946.7M-8.8M0.996.0733,69733,529208,280241,743
2015-01-23$176.53$176.0013.8%4.0%14.3%50.8%13.7%5.5%0.1%66.9M-633.6M-8.9M0.716.5337,22626,461212,456250,747
2015-01-26$176.27$176.0013.1%3.8%14.3%45.4%14.1%5.0%0.1%37.2M-532.8M-8.4M1.1428.1012,17913,932203,099231,146
2015-01-27$174.21$176.0015.0%4.4%14.8%60.4%15.2%5.9%-0.1%-17.4M-7.6M-8.7M1.0919.8327,05129,407207,774235,264
2015-01-28$171.84$176.0016.8%4.9%15.4%75.1%16.6%6.5%-0.3%-51.9M393.5M-8.9M0.966.3932,38930,974216,106244,165
2015-01-29$173.87$176.0015.4%4.5%16.2%63.9%18.7%6.1%-0.1%-17.3M-14.8M-9.3M1.526.1431,83148,251224,794251,744
2015-01-30$171.51$175.5017.8%5.3%16.5%83.7%18.8%6.6%-0.3%-41.1M515.3M-9.4M1.338.6530,81540,864234,326275,140