DIA Options History — June 2015 In June 2015, DIA traded between $175.91 and $181.26. ATM implied volatility averaged 12.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.5% (HV 20d: 9.3%). Max pain ranged from $180.00 to $181.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2015-06-29 : Highest Volume — 135,795 contracts2015-06-29 : Largest IV spike — 31.2% change2015-06-29 : Highest IV Rank — 71.1%2015-06-29 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $179.28 $175.91 $181.26 $180.35 $176.29 Max Pain $180.18 $180.00 $181.00 $180.00 $180.00 ATM IV 12.8% 10.9% 16.3% 12.4% 15.5% Expected Move 3.7% 3.1% 5.0% 3.7% 4.7% HV 20d 9.3% 7.5% 11.6% 9.3% 11.6% HV 60d 10.7% 9.7% 12.1% 12.1% 10.3% IV Rank 42.7% 27.0% 71.1% 39.2% 64.8% IV Percentile 64.4% 32.5% 94.0% 65.1% 91.7% Term Structure -0.0% -0.5% 0.6% -0.2% -0.1% VWIV 13.5% 11.1% 20.1% 14.1% 20.1% Skew 25d 5.0% 4.4% 6.8% 5.1% 6.6% Skew 10d 9.4% 7.3% 12.5% 9.5% 12.5% Call IV 25d 10.7% 9.0% 13.4% 10.1% 12.9% Put IV 25d 15.7% 13.5% 20.2% 15.2% 19.4% Bid-Ask Spread % 5.93 3.88 11.35 4.52 5.57 Gamma HHI 0.05 0.03 0.21 0.04 0.05 Net GEX -42.3M -143.1M 92.1M -31.8M -105.3M Net DEX -214.3M -1.02B 481.4M -307.2M 397.2M Net VEX -8.7M -9.4M -8.0M -8.5M -9.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.50 1.51 0.89 1.02 Total Volume 90,087.591 23,646 135,795 65,846 126,118 Total OI 514,258.545 453,853 576,923 457,042 536,331
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 2015-06-01 $180.35 $180.00 12.4% 3.7% 9.3% 39.2% 14.1% 5.1% -0.2% -31.8M -307.2M -8.5M 0.89 4.52 34,869 30,977 201,672 255,370 2015-06-02 $180.15 $180.00 12.7% 3.8% 9.2% 41.7% 13.2% 5.1% -0.1% -42.6M -75.1M -8.6M 1.51 11.35 9,435 14,211 197,049 263,198 2015-06-03 $180.82 $180.00 12.0% 3.6% 8.8% 36.3% 12.8% 5.2% -0.0% -18.9M -426.3M -8.5M 0.85 5.32 36,520 31,132 208,246 266,249 2015-06-04 $178.99 $181.00 13.6% 3.9% 9.4% 49.1% 13.1% 5.4% -0.3% -84.5M 53.6M -8.6M 0.76 7.05 52,395 39,674 211,025 271,871 2015-06-05 $178.60 $181.00 13.1% 3.7% 9.1% 45.5% 13.5% 5.0% -0.1% -93.0M 100.5M -8.7M 1.24 6.85 45,662 56,615 223,644 277,561 2015-06-08 $177.89 $180.00 13.7% 4.0% 7.6% 49.7% 13.5% 5.0% 0.2% -98.6M 171.0M -8.8M 0.85 6.08 42,253 35,936 218,643 286,216 2015-06-09 $177.72 $180.00 13.4% 3.8% 7.5% 47.8% 13.1% 4.7% -0.1% -112.8M 197.6M -8.8M 0.76 6.45 41,550 31,409 226,942 296,514 2015-06-10 $180.11 $180.00 11.9% 3.5% 9.0% 35.3% 12.6% 4.5% 0.3% -17.6M -519.6M -8.0M 0.63 5.28 60,563 38,116 230,994 300,810 2015-06-11 $180.40 $180.00 11.4% 3.4% 9.0% 31.3% 12.1% 4.5% 0.6% -19.3M -531.2M -8.4M 0.89 5.28 39,438 35,287 231,736 310,349 2015-06-12 $179.22 $180.00 12.2% 3.6% 8.5% 37.7% 12.3% 4.5% 0.4% -92.7M -78.0M -8.7M 0.76 5.54 55,217 41,884 234,779 318,615 2015-06-15 $178.12 $180.00 13.9% 4.0% 8.7% 51.3% 14.3% 5.2% -0.2% -95.9M 32.1M -8.6M 0.76 6.71 49,111 37,367 237,407 306,806 2015-06-16 $179.11 $180.00 13.4% 3.9% 8.9% 47.8% 14.5% 5.1% -0.1% -42.1M -306.0M -8.8M 0.63 6.44 44,886 28,253 247,545 314,764 2015-06-17 $179.50 $180.00 13.2% 3.8% 9.0% 46.1% 13.6% 4.8% -0.5% 11.2M -422.7M -8.6M 0.66 8.56 46,678 30,757 249,884 319,641 2015-06-18 $181.26 $180.00 11.7% 3.4% 9.8% 34.0% 12.0% 4.4% -0.2% 92.1M -1.02B -8.4M 0.50 4.90 84,686 42,043 253,225 323,698 2015-06-19 $180.15 $180.00 12.2% 3.5% 10.0% 37.4% 11.1% 4.9% 0.0% -143.1M -320.8M -8.7M 0.59 4.98 71,911 42,141 238,873 335,843 2015-06-22 $181.00 $180.00 11.2% 3.2% 10.1% 29.3% 11.3% 4.7% 0.2% 64.0M -740.7M -8.7M 0.61 4.75 52,886 32,027 215,740 238,113 2015-06-23 $181.12 $181.00 10.9% 3.1% 9.4% 27.0% 11.2% 4.5% 0.1% 51.9M -731.7M -8.8M 0.58 4.31 50,613 29,191 222,878 249,504 2015-06-24 $179.57 $181.00 11.8% 3.4% 9.6% 34.8% 13.0% 4.5% 0.1% -20.5M -301.8M -8.8M 0.55 3.94 58,336 31,992 227,031 253,103 2015-06-25 $178.74 $180.00 12.8% 3.7% 9.7% 42.5% 13.6% 5.0% -0.1% -24.9M -157.9M -8.9M 0.79 3.88 53,934 42,635 235,903 256,488 2015-06-26 $179.15 $180.00 12.4% 3.7% 9.6% 39.4% 14.7% 5.1% -0.0% -8.3M -204.7M -9.0M 0.94 4.92 60,607 56,817 242,816 270,869 2015-06-29 $175.91 $180.00 16.3% 5.0% 11.5% 71.1% 17.2% 6.8% -0.2% -97.3M 481.4M -9.1M 0.80 7.83 75,636 60,159 235,790 269,953 2015-06-30 $176.29 $180.00 15.5% 4.7% 11.6% 64.8% 20.1% 6.6% -0.1% -105.3M 397.2M -9.4M 1.02 5.57 62,349 63,769 253,341 282,990
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