DIA Options History — April 2015

In April 2015, DIA traded between $176.62 and $180.98. ATM implied volatility averaged 12.4%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.1% (HV 20d: 12.4%). Max pain ranged from $178.00 to $180.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2015-04-17: Highest Volume — 105,008 contracts
  • 2015-04-17: Largest IV spike — 14.5% change
  • 2015-04-01: Highest IV Rank — 55.5%
  • 2015-04-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.45$176.62$180.98$176.62$178.06
Max Pain$179.10$178.00$180.00$178.00$180.00
ATM IV12.4%11.2%14.4%14.4%13.5%
Expected Move3.6%3.3%4.2%4.2%4.1%
HV 20d12.4%9.6%16.0%15.8%10.2%
HV 60d12.9%11.6%13.9%13.9%11.6%
IV Rank39.3%29.7%55.5%55.5%48.3%
IV Percentile65.3%50.4%86.9%86.9%77.8%
Term Structure0.2%-0.2%0.9%0.2%0.0%
VWIV13.2%11.9%14.6%14.5%14.0%
Skew 25d4.6%4.1%5.1%4.9%5.0%
Skew 10d8.4%7.0%9.7%9.2%9.7%
Call IV 25d10.4%9.6%12.0%12.0%11.5%
Put IV 25d15.0%13.8%16.9%16.9%16.5%
Bid-Ask Spread %5.934.2312.924.234.99
Gamma HHI0.080.040.320.040.06
Net GEX29.6M-243.2M250.3M-37.0M-47.0M
Net DEX-457.8M-876.4M162.6M128.4M15.0M
Net VEX-7.8M-8.7M-6.7M-8.2M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.532.141.001.00
Total Volume63,689.04838,812105,00864,16273,878
Total OI436,151.905386,323472,356408,278450,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$176.62$178.0014.4%4.2%15.8%55.5%14.5%4.9%0.2%-37.0M128.4M-8.2M1.004.2332,03732,125189,392218,886
2015-04-02$177.52$178.0013.4%3.9%16.0%47.3%13.7%4.8%0.3%106.1M-126.2M-8.1M1.215.4433,83040,974199,992226,296
2015-04-06$178.64$178.0013.6%3.9%15.1%48.8%14.3%5.1%-0.1%40.3M-463.5M-7.9M1.125.2229,94733,448196,808232,170
2015-04-07$178.50$178.0013.4%4.0%14.7%47.6%14.6%5.0%0.6%13.4M-371.7M-7.9M1.334.7324,82432,959199,746243,975
2015-04-08$179.35$178.0012.4%3.7%13.4%39.8%14.0%4.4%0.6%-3.8M-488.7M-7.6M2.1412.9212,36426,448199,854251,234
2015-04-09$179.36$178.0012.2%3.7%13.3%38.1%13.4%4.5%0.8%34.1M-528.4M-7.6M1.409.7121,13329,504202,835255,395
2015-04-10$180.31$178.0011.6%3.5%12.5%32.8%13.4%4.3%0.9%250.3M-876.4M-6.9M1.394.3625,45935,358205,890259,619
2015-04-13$179.59$179.0013.0%3.8%12.2%44.3%14.0%4.7%0.1%32.2M-485.5M-7.3M1.135.9825,74529,064190,328242,949
2015-04-14$179.99$179.0012.8%3.7%11.7%43.0%13.6%4.8%-0.2%58.9M-590.9M-6.9M1.075.5024,00125,757197,881249,163
2015-04-15$180.77$179.0011.8%3.4%11.6%34.7%12.3%4.3%0.0%96.2M-794.1M-6.7M1.246.1525,54131,560199,432253,321
2015-04-16$180.98$179.0011.4%3.3%10.8%31.2%11.9%4.1%0.1%109.2M-783.0M-7.2M0.535.4750,74727,065200,711261,085
2015-04-17$177.93$180.0013.1%3.8%12.2%44.8%13.6%4.9%-0.1%-243.2M162.6M-7.8M1.536.6741,46063,548204,508267,848
2015-04-20$180.03$179.0011.7%3.4%12.7%34.0%12.3%4.6%0.0%47.7M-586.4M-7.8M1.375.9328,47438,911181,089205,234
2015-04-21$179.21$180.0012.3%3.6%12.8%38.9%12.9%4.7%-0.2%-1.5M-301.8M-8.1M1.985.2419,20638,033185,880220,282
2015-04-22$180.03$180.0011.6%3.4%12.8%33.2%12.3%4.5%-0.2%20.5M-492.4M-7.9M1.855.2921,41439,667187,821228,171
2015-04-23$180.38$180.0011.4%3.4%11.3%30.9%12.5%4.5%-0.0%14.9M-595.2M-8.0M1.275.3724,75931,415191,382233,164
2015-04-24$180.55$180.0011.2%3.3%11.2%29.7%11.9%4.3%0.0%50.1M-661.7M-8.1M1.014.8034,35734,553195,198241,497
2015-04-27$180.05$180.0011.9%3.6%11.3%35.1%13.0%4.5%0.3%25.9M-571.3M-8.2M1.285.6028,99336,981187,757229,303
2015-04-28$180.62$180.0011.4%3.4%10.1%31.4%12.5%4.5%0.3%47.3M-709.0M-8.3M1.225.2628,96735,419193,414236,695
2015-04-29$180.04$180.0011.9%3.6%9.6%35.2%12.7%4.6%0.3%6.0M-494.4M-8.5M1.055.6732,92634,619195,515246,726
2015-04-30$178.06$180.0013.5%4.1%10.2%48.3%14.0%5.0%0.0%-47.0M15.0M-8.7M1.004.9936,94836,930199,541251,203