DIA Options History — October 2015 In October 2015, DIA traded between $161.06 and $177.45. ATM implied volatility averaged 14.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.3% (HV 20d: 16.7%). Max pain ranged from $163.00 to $172.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.11.
Notable Days 2015-10-16 : Highest Volume — 136,644 contracts2015-10-05 : Largest IV drop — 11.5% change2015-10-01 : Highest IV Rank — 55.8%2015-10-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $171.51 $161.06 $177.45 $161.06 $176.88 Max Pain $169.75 $163.00 $172.00 $163.00 $172.00 ATM IV 14.4% 11.9% 21.2% 21.2% 12.2% Expected Move 4.3% 3.5% 6.3% 6.3% 3.6% HV 20d 16.7% 12.3% 19.9% 18.3% 12.3% HV 60d 19.8% 19.0% 20.2% 19.0% 20.2% IV Rank 24.6% 13.1% 55.8% 55.8% 14.2% IV Percentile 62.4% 34.9% 94.0% 94.0% 40.5% Term Structure 0.2% -0.3% 0.8% -0.2% 0.5% VWIV 15.6% 11.8% 22.1% 22.1% 15.6% Skew 25d 5.1% 4.4% 6.9% 6.9% 4.4% Skew 10d 10.0% 8.2% 13.4% 13.4% 8.5% Call IV 25d 12.2% 10.3% 18.0% 18.0% 10.4% Put IV 25d 17.3% 14.6% 24.8% 24.8% 14.8% Bid-Ask Spread % 4.74 3.70 10.72 4.44 4.74 Gamma HHI 0.10 0.05 0.21 0.05 0.09 Net GEX 103.8M -42.0M 167.9M -42.0M 132.4M Net DEX -877.6M -1.90B 1.13B 1.13B -1.80B Net VEX -10.5M -11.2M -9.7M -10.1M -11.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.52 1.76 1.11 1.48 Total Volume 87,402.5 55,758 136,644 64,701 90,146 Total OI 739,566.136 694,649 782,654 720,366 754,576
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 2015-10-01 $161.06 $163.00 21.2% 6.3% 18.3% 55.8% 22.1% 6.9% -0.2% -42.0M 1.13B -10.1M 1.11 4.44 30,641 34,060 332,132 388,234 2015-10-02 $164.15 $163.00 18.9% 5.4% 19.6% 45.2% 20.1% 5.7% -0.1% 18.9M 408.7M -10.3M 1.08 4.33 60,382 64,982 335,294 398,584 2015-10-05 $167.40 $170.00 16.7% 5.0% 19.9% 35.2% 18.1% 5.9% 0.1% 84.8M -296.0M -10.5M 1.76 10.72 24,998 44,078 325,415 390,282 2015-10-06 $167.77 $170.00 16.5% 4.8% 18.9% 34.3% 16.7% 5.7% 0.0% 76.0M -377.7M -10.7M 0.95 4.13 48,266 45,780 334,198 411,496 2015-10-07 $168.68 $170.00 16.2% 4.7% 18.2% 32.8% 17.4% 5.5% 0.2% 96.0M -618.0M -10.7M 1.20 4.20 39,414 47,412 340,818 415,291 2015-10-08 $170.26 $170.00 14.9% 4.5% 18.3% 26.8% 16.4% 5.2% 0.4% 124.4M -1.09B -10.5M 1.29 4.55 39,719 51,125 346,078 422,543 2015-10-09 $170.49 $170.00 14.8% 4.5% 18.3% 26.2% 16.9% 5.3% 0.3% 128.1M -1.14B -10.4M 1.11 4.91 47,786 53,014 346,792 431,796 2015-10-12 $171.04 $170.00 13.9% 4.2% 18.2% 22.2% 15.1% 5.1% 0.7% 121.0M -1.05B -9.7M 1.31 3.83 29,697 38,962 338,630 411,422 2015-10-13 $170.63 $170.00 15.0% 4.4% 17.5% 27.5% 16.8% 5.5% 0.3% 100.3M -916.6M -9.9M 1.20 6.19 35,150 42,242 342,052 419,264 2015-10-14 $168.91 $170.00 15.4% 4.6% 17.8% 29.2% 16.8% 5.6% 0.6% 87.3M -348.1M -10.0M 1.48 3.95 39,101 57,830 345,895 424,598 2015-10-15 $171.28 $170.00 13.7% 4.1% 18.3% 21.3% 17.6% 5.0% 0.8% 66.6M -1.14B -9.8M 1.66 3.82 35,693 59,188 350,559 432,095 2015-10-16 $171.84 $170.00 12.8% 3.8% 16.7% 17.4% 11.8% 5.0% 0.6% 119.0M -553.8M -9.8M 0.52 4.11 89,851 46,793 310,328 441,814 2015-10-19 $171.93 $170.00 12.8% 3.7% 16.6% 17.0% 13.3% 4.9% -0.2% 76.4M -591.9M -10.5M 0.86 4.31 34,359 29,598 326,853 367,796 2015-10-20 $171.86 $170.00 13.4% 3.9% 15.1% 20.0% 14.3% 4.9% -0.2% 91.7M -633.6M -10.8M 1.05 4.23 27,178 28,580 337,320 372,275 2015-10-21 $171.39 $170.00 14.2% 4.1% 15.3% 23.6% 15.0% 5.0% -0.3% 84.0M -520.3M -10.9M 1.19 4.23 33,094 39,394 340,894 376,546 2015-10-22 $174.66 $170.00 12.7% 3.7% 16.0% 16.8% 13.4% 4.6% -0.2% 167.9M -1.41B -10.7M 1.08 3.70 57,883 62,323 342,098 380,870 2015-10-23 $176.36 $171.00 12.0% 3.5% 16.1% 13.7% 13.0% 4.4% -0.2% 165.9M -1.86B -11.0M 0.75 5.12 63,349 47,816 349,291 398,647 2015-10-26 $176.11 $171.00 12.8% 3.7% 14.2% 17.0% 13.5% 4.8% 0.3% 131.3M -1.43B -11.0M 0.89 5.61 35,963 32,166 338,551 368,537 2015-10-27 $175.62 $171.00 13.2% 3.9% 14.4% 19.1% 13.7% 4.9% 0.2% 126.9M -1.28B -11.1M 0.87 4.23 40,384 34,991 342,142 372,497 2015-10-28 $177.45 $171.50 11.9% 3.5% 14.0% 13.1% 12.8% 4.4% 0.3% 165.9M -1.90B -11.0M 0.85 4.99 41,907 35,650 353,066 375,826 2015-10-29 $177.38 $172.00 12.0% 3.6% 13.1% 13.4% 13.3% 4.5% 0.3% 160.5M -1.88B -11.1M 0.66 4.03 49,303 32,607 356,567 380,493 2015-10-30 $176.88 $172.00 12.2% 3.6% 12.3% 14.2% 15.6% 4.4% 0.5% 132.4M -1.80B -11.2M 1.48 4.74 36,378 53,768 368,695 385,881
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