DIA Options History — January 2016

In January 2016, DIA traded between $157.67 and $171.37. ATM implied volatility averaged 20.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.9% (HV 20d: 19.7%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2016-01-04: Highest Volume — 116,031 contracts
2016-01-07: Largest IV spike — 15.3% change
2016-01-20: Highest IV Rank — 67.4%
2016-01-20: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.83	$157.67	$171.37	$171.06	$162.36
Max Pain	$168.21	$165.00	$175.00	$175.00	$165.00
ATM IV	20.5%	16.9%	24.1%	17.6%	18.2%
Expected Move	5.9%	4.9%	6.9%	5.0%	5.4%
HV 20d	19.7%	17.3%	21.5%	19.1%	21.5%
HV 60d	16.4%	14.7%	17.7%	14.8%	17.7%
IV Rank	50.2%	32.4%	67.4%	35.7%	38.9%
IV Percentile	90.8%	82.1%	98.4%	86.5%	82.1%
Term Structure	-0.3%	-0.7%	0.4%	-0.1%	0.1%
VWIV	20.6%	16.7%	24.6%	17.6%	19.4%
Skew 25d	6.8%	5.9%	8.3%	6.7%	5.9%
Skew 10d	12.9%	10.5%	16.8%	12.4%	10.5%
Call IV 25d	17.6%	14.2%	20.5%	14.5%	15.7%
Put IV 25d	24.4%	20.2%	28.6%	21.2%	21.6%
Bid-Ask Spread %	5.83	3.73	7.85	6.60	4.54
Gamma HHI	0.05	0.03	0.14	0.06	0.04
Net GEX	-26.7M	-90.8M	38.2M	-14.5M	38.2M
Net DEX	805.3M	22.5M	1.72B	128.2M	290.7M
Net VEX	-8.3M	-8.9M	-7.8M	-8.3M	-8.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.49	1.06	0.66	1.03
Total Volume	82,777.737	50,141	116,031	116,031	50,141
Total OI	590,913.316	475,093	704,010	574,796	559,106

Daily Data (19 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
2016-01-04	$171.06	$175.00	17.6%	5.0%	19.1%	35.7%	17.6%	6.7%	-0.1%	-14.5M	128.2M	-8.3M	0.66	6.60	70,108	45,923	314,635	260,161
2016-01-05	$171.37	$174.00	16.9%	4.9%	17.3%	32.4%	16.7%	6.1%	0.0%	-4.3M	22.5M	-8.6M	0.65	4.43	50,906	33,264	329,894	278,322
2016-01-06	$168.73	$174.00	18.5%	5.2%	18.0%	40.0%	19.0%	5.9%	-0.3%	-66.3M	542.0M	-8.4M	0.49	6.95	60,615	29,802	341,447	286,402
2016-01-07	$165.57	$174.00	21.3%	5.9%	18.8%	53.8%	20.4%	6.8%	-0.4%	-90.8M	1.09B	-8.3M	0.82	7.74	56,017	45,826	347,836	291,199
2016-01-08	$163.18	$172.00	21.8%	6.4%	19.2%	56.1%	21.1%	7.1%	-0.3%	-56.0M	1.38B	-8.1M	0.69	7.11	53,356	36,896	360,306	295,500
2016-01-11	$163.99	$170.00	19.9%	5.8%	19.2%	46.9%	19.3%	6.8%	0.4%	-50.5M	1.07B	-7.8M	1.06	7.35	39,524	41,827	360,058	287,877
2016-01-12	$165.09	$170.00	19.3%	5.5%	18.8%	44.2%	19.4%	6.0%	0.0%	-36.3M	869.0M	-8.0M	0.83	4.71	50,976	42,120	369,756	292,457
2016-01-13	$161.43	$168.00	22.0%	6.2%	19.8%	57.2%	20.6%	6.6%	-0.3%	-67.9M	1.42B	-8.0M	0.68	5.99	47,499	32,167	378,729	303,138
2016-01-14	$163.59	$167.00	20.5%	5.8%	20.1%	50.1%	19.4%	6.9%	-0.4%	-40.5M	1.06B	-8.3M	0.59	4.83	57,649	33,874	383,893	303,874
2016-01-15	$159.77	$167.00	23.3%	6.5%	20.3%	63.7%	22.5%	8.3%	-0.7%	-88.2M	1.72B	-8.0M	0.94	7.85	58,335	55,012	394,417	309,593
2016-01-19	$160.30	$165.00	22.1%	6.3%	20.3%	58.0%	24.6%	7.6%	-0.2%	-14.4M	751.9M	-8.2M	0.89	6.14	40,985	36,344	275,601	199,492
2016-01-20	$157.67	$165.00	24.1%	6.9%	19.6%	67.4%	23.6%	8.1%	-0.7%	-25.2M	1.01B	-7.8M	0.68	7.10	63,597	43,166	281,000	209,966
2016-01-21	$159.08	$165.00	22.9%	6.6%	20.0%	61.7%	23.0%	8.2%	-0.7%	-7.9M	817.4M	-8.4M	0.72	6.53	42,442	30,577	298,561	222,990
2016-01-22	$160.72	$165.00	19.9%	5.8%	20.0%	47.2%	20.4%	6.5%	-0.4%	17.8M	617.9M	-8.6M	0.71	4.70	54,097	38,491	304,622	228,203
2016-01-25	$158.75	$165.00	21.5%	6.3%	19.4%	54.9%	22.0%	7.1%	-0.1%	-13.7M	791.0M	-8.4M	0.67	4.71	31,879	21,359	300,109	223,868
2016-01-26	$161.29	$165.00	20.0%	5.8%	20.8%	47.2%	20.9%	6.3%	-0.3%	8.9M	460.7M	-8.9M	0.69	3.73	35,724	24,637	306,936	227,068
2016-01-27	$159.23	$165.00	20.9%	6.2%	21.0%	51.8%	21.7%	6.3%	-0.2%	-6.7M	716.1M	-8.6M	0.90	5.40	33,225	29,777	316,039	232,653
2016-01-28	$160.60	$165.00	19.7%	5.8%	20.8%	45.8%	19.9%	5.9%	-0.0%	10.5M	544.2M	-8.7M	0.92	4.37	28,511	26,129	318,424	233,221
2016-01-29	$162.36	$165.00	18.2%	5.4%	21.5%	38.9%	19.4%	5.9%	0.1%	38.2M	290.7M	-8.8M	1.03	4.54	24,675	25,466	321,059	238,047