DIA Options History — February 2015

In February 2015, DIA traded between $173.27 and $182.06. ATM implied volatility averaged 12.9%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.6% (HV 20d: 14.4%). Max pain ranged from $172.00 to $176.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-02-19: Highest Volume — 100,380 contracts
  • 2015-02-03: Largest IV drop — 13.6% change
  • 2015-02-02: Highest IV Rank — 68.2%
  • 2015-02-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.29$173.27$182.06$173.27$181.27
Max Pain$174.61$172.00$176.00$175.00$176.00
ATM IV12.9%10.8%15.9%15.9%11.1%
Expected Move3.7%3.0%4.8%4.8%3.1%
HV 20d14.4%10.7%17.0%17.0%10.7%
HV 60d13.5%12.8%13.7%12.8%13.7%
IV Rank43.2%26.3%68.2%68.2%28.9%
IV Percentile72.1%47.2%92.5%92.5%52.8%
Term Structure0.2%-0.2%1.0%0.2%0.3%
VWIV14.2%11.4%17.6%17.6%11.5%
Skew 25d5.2%3.8%6.8%6.8%3.8%
Skew 10d10.6%8.3%13.1%13.1%8.4%
Call IV 25d10.9%9.3%13.4%13.4%9.5%
Put IV 25d16.1%13.3%20.2%20.2%13.3%
Bid-Ask Spread %8.125.1721.1421.145.51
Gamma HHI0.090.050.260.050.11
Net GEX128.0M-27.8M259.6M-27.8M110.5M
Net DEX-1.24B-1.81B46.5M46.5M-1.32B
Net VEX-8.3M-9.4M-7.3M-9.4M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.231.610.911.22
Total Volume56,577.94737,225100,38048,20241,260
Total OI507,436.895443,055546,385490,900465,806

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$173.27$175.0015.9%4.8%17.0%68.2%17.6%6.8%0.2%-27.8M46.5M-9.4M0.9121.1425,20223,000219,882271,018
2015-02-03$176.26$175.0013.8%4.1%16.9%50.6%14.9%6.3%0.2%48.8M-719.1M-9.3M0.956.2431,60530,182229,391280,481
2015-02-04$176.37$175.5014.3%4.2%16.5%54.9%14.9%5.9%0.2%41.2M-711.6M-9.3M1.147.8523,23426,559231,864288,914
2015-02-05$178.45$172.0013.4%4.1%16.5%47.7%14.1%5.9%0.2%99.7M-1.25B-9.1M0.557.3646,65525,567231,082291,038
2015-02-06$177.91$172.0014.6%4.3%15.3%57.3%15.4%6.1%0.1%81.6M-1.12B-9.3M1.038.7137,67538,913240,156298,358
2015-02-09$177.18$173.0014.9%4.4%15.1%60.1%16.7%6.4%0.4%64.9M-782.0M-9.3M1.448.3121,68731,257233,067285,793
2015-02-10$178.57$173.0013.7%4.0%15.3%50.0%16.9%5.9%0.2%109.8M-1.17B-9.0M1.618.5318,79730,310236,596289,829
2015-02-11$178.56$173.0013.9%4.1%15.2%51.3%16.7%5.5%0.3%115.0M-1.18B-8.8M1.478.2118,26126,828236,418291,206
2015-02-12$179.79$174.0012.4%3.7%14.8%39.5%14.5%5.1%0.7%184.4M-1.60B-8.2M0.976.4934,42233,251237,601295,487
2015-02-13$180.33$174.0012.1%3.7%14.6%36.7%14.1%4.7%1.0%259.6M-1.81B-7.9M1.295.9327,75435,777247,371299,014
2015-02-17$180.43$175.0013.0%3.8%14.4%44.2%14.9%5.2%-0.2%175.6M-1.67B-7.8M1.265.9221,83527,561240,178288,746
2015-02-18$180.38$175.0012.8%3.7%14.4%42.9%13.9%5.1%-0.1%134.1M-1.68B-7.8M1.376.0820,46028,041246,125294,495
2015-02-19$180.09$175.0012.3%3.5%14.4%38.3%13.5%4.5%0.2%136.6M-1.54B-8.0M0.2312.0581,51118,869247,651294,118
2015-02-20$180.93$176.0011.7%3.4%13.6%33.9%13.1%4.3%0.1%248.6M-1.19B-7.8M0.8513.9645,58738,832211,791300,369
2015-02-23$180.79$176.0011.8%3.3%13.3%34.2%12.8%4.8%-0.2%113.3M-1.19B-7.8M1.496.0816,08623,905202,739240,316
2015-02-24$181.84$176.0010.9%3.1%13.3%27.0%11.8%4.1%-0.0%168.0M-1.51B-7.4M1.205.2820,28024,345206,344245,897
2015-02-25$181.98$176.0010.8%3.0%12.4%26.3%11.6%4.2%0.0%180.0M-1.54B-7.4M1.295.4716,23520,990208,806249,938
2015-02-26$182.06$176.0011.0%3.1%10.9%28.2%11.4%4.4%-0.1%187.8M-1.53B-7.3M1.285.1718,49123,757209,988253,428
2015-02-27$181.27$176.0011.1%3.1%10.7%28.9%11.5%3.8%0.3%110.5M-1.32B-7.4M1.225.5118,54722,713210,727255,079