DIA Options History — May 2015

In May 2015, DIA traded between $178.09 and $182.95. ATM implied volatility averaged 11.9%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 10.8%). Max pain ranged from $179.00 to $181.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-05-14: Highest Volume — 112,876 contracts
  • 2015-05-08: Largest IV drop — 16.3% change
  • 2015-05-06: Highest IV Rank — 50.6%
  • 2015-05-06: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.15$178.09$182.95$179.83$180.38
Max Pain$179.88$179.00$181.00$180.00$180.00
ATM IV11.9%10.8%13.8%11.5%12.2%
Expected Move3.5%3.2%4.1%3.4%3.5%
HV 20d10.8%9.6%12.5%10.6%9.9%
HV 60d12.0%11.6%12.2%11.8%12.1%
IV Rank35.1%26.7%50.6%32.1%38.0%
IV Percentile56.4%42.1%80.6%54.4%62.3%
Term Structure0.2%-0.6%1.1%0.3%0.1%
VWIV12.8%10.7%15.3%14.2%13.5%
Skew 25d4.6%4.2%5.1%4.4%4.9%
Skew 10d8.7%7.7%9.5%8.0%9.2%
Call IV 25d10.0%8.7%11.7%9.9%10.3%
Put IV 25d14.6%13.2%16.6%14.3%15.2%
Bid-Ask Spread %7.904.8616.944.967.07
Gamma HHI0.070.040.120.100.06
Net GEX13.3M-70.7M164.9M39.4M-70.7M
Net DEX-559.9M-1.15B51.1M-518.6M-166.7M
Net VEX-8.8M-9.1M-8.3M-8.7M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.701.931.320.95
Total Volume70,282.321,018112,87688,97289,365
Total OI484,556.15426,782544,747460,271472,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$179.83$180.0011.5%3.4%10.6%32.1%14.2%4.4%0.3%39.4M-518.6M-8.7M1.324.9638,28750,685206,099254,172
2015-05-04$180.44$179.0011.6%3.7%10.4%32.8%12.4%4.4%0.2%35.1M-632.1M-8.6M1.0012.7715,72015,748199,957257,726
2015-05-05$179.04$179.0012.8%3.9%10.8%42.7%13.7%4.6%0.2%-26.6M-231.8M-8.7M1.266.4231,46739,588207,936265,769
2015-05-06$178.09$179.0013.8%4.1%10.9%50.6%14.8%4.9%0.1%-55.7M51.1M-8.9M1.155.4738,64544,264212,270268,433
2015-05-07$179.24$179.0013.5%4.0%11.1%48.6%15.3%5.1%0.1%-12.3M-289.7M-9.0M0.976.4338,52337,261219,048276,699
2015-05-08$181.72$179.0011.3%3.4%12.0%30.6%12.7%4.2%0.4%164.9M-1.14B-8.7M1.9316.9427,80353,548226,153284,475
2015-05-11$180.85$180.0011.9%3.6%12.1%35.2%13.0%4.6%0.7%28.1M-617.5M-8.9M1.5616.0018,02028,123220,828297,314
2015-05-12$180.81$180.0012.0%3.6%12.0%36.4%13.8%4.8%0.7%8.1M-558.2M-9.1M1.186.0537,38344,198230,164306,344
2015-05-13$180.71$180.0012.2%3.6%11.9%37.4%12.5%4.8%0.4%41.7M-571.6M-8.9M0.786.6145,91436,011234,990309,757
2015-05-14$182.53$180.0011.2%3.3%12.5%29.2%11.8%4.2%0.4%119.5M-1.15B-8.6M0.705.7166,38746,489226,761314,799
2015-05-15$182.41$180.0010.8%3.3%10.7%26.7%10.7%4.5%1.1%93.6M-697.9M-8.9M0.836.4740,34533,635211,495329,379
2015-05-18$182.72$180.0011.6%3.4%9.9%32.7%12.2%4.6%0.1%25.5M-663.1M-8.3M1.518.3013,39820,252181,931244,851
2015-05-19$182.95$180.0011.3%3.3%9.7%30.6%11.9%4.4%0.0%29.4M-639.4M-8.9M1.3612.388,90212,116187,238256,244
2015-05-20$182.82$180.0011.4%3.3%9.6%31.1%11.8%4.3%-0.1%14.2M-768.7M-8.8M0.926.5834,12131,292199,378260,402
2015-05-21$182.81$180.0011.0%3.2%9.6%28.0%11.3%4.6%0.1%30.7M-808.2M-8.8M0.884.8631,82728,109202,873267,018
2015-05-22$182.32$181.0011.1%3.2%9.7%28.8%12.0%4.3%0.2%-70.1M-660.3M-8.8M0.977.5937,12436,099205,081272,620
2015-05-26$180.44$181.0012.6%3.6%10.4%41.0%13.5%4.9%0.1%-67.7M-161.7M-8.8M1.155.1545,84652,764197,361254,313
2015-05-27$181.64$180.0011.9%3.4%10.6%35.1%12.4%4.8%-0.6%-16.2M-553.0M-8.8M0.865.6339,00133,430203,702259,198
2015-05-28$181.31$180.5011.9%3.4%10.6%35.1%12.7%4.8%0.1%-45.2M-421.2M-8.7M0.786.6035,95727,999204,326261,599
2015-05-29$180.38$180.0012.2%3.5%9.9%38.0%13.5%4.9%0.1%-70.7M-166.7M-8.6M0.957.0745,76243,603207,313265,107