DIA Options History — July 2015

In July 2015, DIA traded between $174.08 and $181.04. ATM implied volatility averaged 13.0%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.3% (HV 20d: 11.7%). Max pain ranged from $178.00 to $180.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2015-07-13: Highest Volume — 133,571 contracts
2015-07-28: Largest IV drop — 15.9% change
2015-07-09: Highest IV Rank — 74.7%
2015-07-08: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$177.78	$174.08	$181.04	$177.33	$176.70
Max Pain	$178.89	$178.00	$180.00	$179.00	$178.50
ATM IV	13.0%	10.4%	16.9%	14.3%	11.4%
Expected Move	3.8%	3.1%	4.9%	4.4%	3.3%
HV 20d	11.7%	11.0%	12.4%	11.7%	11.4%
HV 60d	10.5%	10.2%	11.1%	10.4%	10.5%
IV Rank	40.2%	17.4%	74.7%	54.9%	25.9%
IV Percentile	58.1%	22.6%	96.0%	84.9%	32.1%
Term Structure	0.1%	-0.3%	0.7%	-0.0%	0.4%
VWIV	13.6%	10.0%	16.7%	16.4%	12.0%
Skew 25d	5.0%	4.2%	6.5%	5.7%	4.3%
Skew 10d	9.8%	7.9%	12.5%	11.2%	7.9%
Call IV 25d	10.8%	8.5%	14.1%	12.1%	9.6%
Put IV 25d	15.9%	12.8%	20.5%	17.7%	13.9%
Bid-Ask Spread %	4.85	3.03	8.10	5.79	3.61
Gamma HHI	0.05	0.03	0.17	0.04	0.04
Net GEX	-26.2M	-147.5M	88.5M	-64.3M	18.4M
Net DEX	-160.8M	-1.05B	681.7M	48.9M	-48.1M
Net VEX	-9.3M	-9.8M	-8.6M	-9.6M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.37	1.47	0.58	0.62
Total Volume	98,294.955	76,679	133,571	87,077	92,352
Total OI	569,248.318	485,636	622,438	525,313	620,800

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
2015-07-01	$177.33	$179.00	14.3%	4.4%	11.7%	54.9%	16.4%	5.7%	-0.0%	-64.3M	48.9M	-9.6M	0.58	5.79	55,018	32,059	243,046	282,267
2015-07-02	$177.23	$179.00	15.2%	4.7%	11.2%	62.0%	16.3%	6.3%	-0.1%	-66.1M	91.6M	-9.5M	0.68	6.24	52,522	35,581	247,961	289,401
2015-07-06	$176.58	$179.00	15.5%	4.4%	11.2%	65.0%	16.1%	5.9%	-0.1%	-61.4M	160.9M	-9.2M	0.77	7.52	49,867	38,256	243,146	280,919
2015-07-07	$177.49	$179.00	14.7%	4.3%	11.3%	54.7%	16.0%	5.7%	-0.1%	-35.3M	-83.0M	-9.2M	1.29	6.69	58,023	74,648	252,553	294,211
2015-07-08	$175.29	$178.00	16.9%	4.9%	12.1%	73.9%	16.7%	6.4%	-0.1%	-147.5M	681.7M	-9.8M	0.74	7.13	57,889	42,881	262,368	332,865
2015-07-09	$175.72	$178.00	16.9%	4.7%	11.0%	74.7%	16.1%	6.5%	-0.2%	-139.1M	546.5M	-9.8M	0.65	5.05	57,281	37,201	270,784	343,253
2015-07-10	$177.56	$178.00	14.7%	4.2%	11.8%	54.9%	16.0%	5.9%	-0.1%	-75.5M	-44.0M	-9.6M	0.67	8.10	67,369	45,346	272,543	349,807
2015-07-13	$179.66	$178.00	12.4%	3.6%	12.4%	35.1%	14.0%	5.0%	0.1%	-18.9M	-652.6M	-8.9M	1.47	4.13	54,075	79,496	258,163	344,064
2015-07-14	$180.33	$178.00	11.6%	3.5%	12.2%	27.3%	12.7%	4.8%	0.7%	24.1M	-862.1M	-8.9M	0.73	4.61	58,526	42,463	264,032	328,283
2015-07-15	$180.25	$179.00	11.9%	3.5%	12.0%	30.2%	13.0%	4.8%	0.3%	-701.1K	-800.3M	-9.0M	0.68	4.49	50,810	34,298	271,654	335,921
2015-07-16	$181.04	$179.00	10.6%	3.2%	12.1%	18.7%	10.0%	4.3%	0.5%	85.3M	-1.05B	-8.6M	0.37	3.99	95,210	35,156	268,595	336,281
2015-07-17	$180.59	$180.00	10.4%	3.1%	11.6%	17.4%	10.8%	4.3%	0.3%	-43.8M	-749.9M	-9.0M	0.52	4.73	63,210	32,598	277,883	344,555
2015-07-20	$180.70	$180.00	11.1%	3.2%	11.4%	23.2%	11.5%	4.4%	-0.0%	88.5M	-891.7M	-9.0M	0.63	4.19	47,482	30,005	234,297	251,339
2015-07-21	$178.98	$180.00	11.5%	3.3%	11.8%	27.1%	12.4%	4.5%	0.0%	25.8M	-432.4M	-9.0M	0.87	4.07	56,290	48,694	243,107	257,506
2015-07-22	$178.18	$180.00	11.6%	3.3%	11.9%	27.2%	11.7%	4.2%	-0.1%	-11.0M	-185.5M	-9.0M	0.59	4.27	53,047	31,365	254,486	274,425
2015-07-23	$177.02	$179.50	12.2%	3.5%	11.7%	33.1%	11.9%	4.4%	-0.1%	-66.3M	147.7M	-9.1M	0.61	3.75	56,820	34,584	259,528	278,078
2015-07-24	$175.59	$179.00	13.1%	3.8%	11.9%	41.0%	12.9%	4.6%	-0.3%	-90.0M	478.2M	-9.0M	0.65	4.25	60,965	39,879	269,980	283,215
2015-07-27	$174.08	$179.00	14.8%	4.3%	12.2%	55.8%	15.6%	5.1%	-0.2%	-53.1M	513.2M	-9.0M	0.65	3.51	55,854	36,110	264,222	269,423
2015-07-28	$176.05	$178.50	12.4%	3.6%	11.2%	35.0%	12.6%	4.6%	0.2%	-6.1M	75.8M	-9.2M	0.74	3.88	60,771	44,692	275,182	280,113
2015-07-29	$177.35	$178.50	11.3%	3.3%	11.5%	24.9%	12.4%	4.4%	0.4%	35.9M	-272.4M	-9.6M	0.65	3.56	52,846	34,271	290,951	310,280
2015-07-30	$177.37	$178.50	11.0%	3.2%	11.3%	22.4%	12.8%	4.3%	0.5%	25.0M	-211.6M	-9.8M	0.66	3.03	46,302	30,377	298,579	313,397
2015-07-31	$176.70	$178.50	11.4%	3.3%	11.4%	25.9%	12.0%	4.3%	0.4%	18.4M	-48.1M	-9.7M	0.62	3.61	56,963	35,389	303,203	317,597