DIA Options History — March 2015 In March 2015, DIA traded between $176.42 and $182.64. ATM implied volatility averaged 12.7%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.6% (HV 20d: 12.2%). Max pain ranged from $176.00 to $178.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2015-03-20 : Highest Volume — 99,342 contracts2015-03-25 : Largest IV spike — 16.8% change2015-03-11 : Highest IV Rank — 56.9%2015-03-11 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $179.18 $176.42 $182.64 $182.64 $177.71 Max Pain $177.77 $176.00 $178.00 $176.00 $178.00 ATM IV 12.7% 10.3% 14.5% 10.3% 13.9% Expected Move 3.7% 3.0% 4.3% 3.0% 4.1% HV 20d 12.2% 7.6% 15.8% 9.0% 15.8% HV 60d 14.0% 13.6% 14.4% 13.7% 14.4% IV Rank 42.3% 22.0% 56.9% 22.0% 52.0% IV Percentile 71.2% 38.9% 87.7% 38.9% 83.3% Term Structure 0.2% -0.4% 0.6% 0.6% 0.1% VWIV 13.3% 10.1% 14.8% 10.1% 14.7% Skew 25d 4.7% 4.2% 5.2% 4.2% 5.2% Skew 10d 9.2% 7.9% 10.2% 8.8% 9.4% Call IV 25d 10.8% 8.6% 12.4% 8.6% 11.5% Put IV 25d 15.5% 12.9% 17.3% 12.9% 16.7% Bid-Ask Spread % 10.96 4.52 26.97 6.13 4.84 Gamma HHI 0.10 0.05 0.23 0.11 0.06 Net GEX 67.5M -56.4M 326.8M 150.5M -30.9M Net DEX -600.1M -1.52B 216.3M -1.52B -77.9M Net VEX -7.7M -8.3M -6.9M -6.9M -8.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.48 2.52 0.83 1.22 Total Volume 54,900.909 31,467 99,342 50,922 60,399 Total OI 475,688.773 390,326 556,270 432,983 437,537
Daily Data (22 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 2015-03-02 $182.64 $176.00 10.3% 3.0% 9.0% 22.0% 10.1% 4.2% 0.6% 150.5M -1.52B -6.9M 0.83 6.13 27,881 23,041 198,589 234,394 2015-03-03 $181.89 $177.00 11.3% 3.1% 9.0% 30.2% 11.9% 4.5% 0.2% 118.8M -1.30B -7.2M 1.50 6.47 18,329 27,557 210,883 240,794 2015-03-04 $180.82 $176.00 11.6% 3.3% 7.6% 32.6% 12.2% 4.8% 0.2% 97.2M -1.05B -7.4M 1.47 6.66 20,794 30,635 214,916 245,232 2015-03-05 $181.25 $178.00 11.5% 3.4% 7.6% 32.1% 14.0% 4.8% 0.3% 114.9M -1.16B -7.4M 1.85 7.62 18,460 34,160 219,102 250,690 2015-03-06 $178.30 $178.00 13.1% 3.9% 9.0% 44.8% 13.8% 5.1% 0.0% 26.5M -380.3M -7.7M 1.25 5.61 33,213 41,515 222,625 259,306 2015-03-09 $179.83 $178.00 12.3% 3.6% 9.4% 38.6% 13.6% 5.1% 0.4% 91.3M -845.8M -7.5M 2.06 10.70 14,775 30,434 219,453 254,476 2015-03-10 $176.72 $178.00 14.2% 4.1% 11.3% 54.1% 14.2% 5.1% 0.1% -33.4M 60.3M -8.0M 1.63 13.92 22,124 36,058 222,641 275,136 2015-03-11 $176.42 $178.00 14.5% 4.3% 10.9% 56.9% 14.8% 4.9% 0.3% -33.0M 58.4M -8.0M 1.44 14.28 14,524 20,891 230,628 278,663 2015-03-12 $178.97 $178.00 13.0% 3.8% 12.1% 44.1% 14.1% 4.2% 0.2% 56.6M -693.8M -7.9M 1.55 13.34 17,803 27,509 235,757 287,348 2015-03-13 $177.56 $178.00 13.7% 3.9% 12.1% 50.3% 14.7% 4.5% -0.0% -56.4M -199.0M -7.9M 1.58 14.34 20,970 33,031 239,563 295,636 2015-03-16 $179.34 $178.00 13.9% 4.0% 12.7% 52.0% 14.1% 4.8% -0.4% 101.4M -852.2M -7.9M 0.70 14.77 27,283 19,178 233,031 290,263 2015-03-17 $178.50 $178.00 14.3% 4.1% 12.8% 55.0% 14.6% 4.8% -0.3% 48.2M -544.2M -7.9M 1.15 10.81 18,675 21,557 233,440 298,715 2015-03-18 $180.77 $178.00 12.1% 3.5% 13.6% 36.9% 13.3% 4.5% 0.1% 214.4M -1.31B -7.5M 0.72 14.45 45,131 32,297 239,841 303,122 2015-03-19 $179.73 $178.00 12.1% 3.4% 13.7% 37.2% 13.0% 4.3% 0.6% 213.2M -959.3M -7.7M 0.48 16.76 37,326 18,032 243,367 312,903 2015-03-20 $180.96 $178.00 11.3% 3.2% 13.9% 30.1% 10.8% 4.2% 0.1% 326.8M -1.17B -7.4M 0.55 26.97 64,104 35,238 224,947 318,405 2015-03-23 $180.84 $178.00 11.5% 3.2% 13.9% 31.7% 12.0% 4.6% 0.4% 86.3M -768.9M -7.7M 1.38 12.21 13,915 19,159 174,837 215,489 2015-03-24 $179.93 $178.00 11.8% 3.3% 13.8% 34.7% 11.8% 4.4% 0.3% 52.2M -524.0M -7.9M 2.52 6.35 8,929 22,538 180,456 224,915 2015-03-25 $177.05 $178.00 13.8% 4.0% 14.8% 50.9% 13.5% 5.0% 0.2% -36.7M 187.0M -8.3M 1.07 17.57 26,254 28,169 181,937 232,919 2015-03-26 $176.57 $178.00 14.2% 4.1% 14.8% 54.4% 14.7% 5.0% 0.2% -37.7M 216.3M -8.2M 1.05 4.82 41,197 43,085 189,932 232,372 2015-03-27 $176.84 $178.00 13.5% 3.9% 14.8% 48.0% 13.0% 4.8% 0.3% -50.5M 192.4M -8.0M 0.84 7.98 21,233 17,795 198,701 240,807 2015-03-30 $179.42 $178.00 12.6% 3.6% 15.6% 41.0% 13.1% 5.1% 0.6% 65.8M -570.8M -8.0M 0.93 4.52 37,665 34,957 190,816 230,569 2015-03-31 $177.71 $178.00 13.9% 4.1% 15.8% 52.0% 14.7% 5.2% 0.1% -30.9M -77.9M -8.1M 1.22 4.84 27,265 33,134 196,237 241,300
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