DIA Options History — February 2016

In February 2016, DIA traded between $157.24 and $166.65. ATM implied volatility averaged 19.7%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.7% (HV 20d: 20.3%). Max pain ranged from $162.00 to $165.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2016-02-11: Highest Volume — 105,537 contracts
2016-02-02: Largest IV spike — 11.5% change
2016-02-11: Highest IV Rank — 71.7%
2016-02-11: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.99	$157.24	$166.65	$164.47	$165.38
Max Pain	$162.78	$162.00	$165.00	$165.00	$162.00
ATM IV	19.7%	16.5%	25.0%	17.5%	17.7%
Expected Move	5.7%	4.8%	7.2%	5.1%	5.3%
HV 20d	20.3%	18.0%	22.7%	22.2%	18.0%
HV 60d	18.7%	17.8%	19.4%	17.8%	19.3%
IV Rank	45.9%	30.2%	71.7%	35.4%	36.3%
IV Percentile	83.4%	71.0%	98.4%	79.8%	75.4%
Term Structure	-0.1%	-0.7%	0.5%	0.0%	-0.1%
VWIV	20.7%	18.3%	25.2%	18.7%	19.0%
Skew 25d	6.2%	5.6%	7.4%	5.7%	5.8%
Skew 10d	11.5%	9.3%	14.2%	9.3%	10.8%
Call IV 25d	17.0%	14.1%	21.7%	15.2%	14.9%
Put IV 25d	23.2%	19.7%	29.1%	20.9%	20.8%
Bid-Ask Spread %	4.31	3.01	6.63	4.06	3.71
Gamma HHI	0.04	0.03	0.06	0.04	0.04
Net GEX	32.8M	-47.6M	95.0M	53.7M	48.8M
Net DEX	116.4M	-615.5M	1.08B	-30.3M	-256.9M
Net VEX	-9.3M	-9.6M	-8.8M	-9.3M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.69	1.31	0.91	1.17
Total Volume	72,995.55	54,549	105,537	54,549	62,798
Total OI	599,909.2	547,763	654,270	553,051	574,345

Daily Data (20 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
2016-02-01	$164.47	$165.00	17.5%	5.1%	22.2%	35.4%	18.7%	5.7%	0.0%	53.7M	-30.3M	-9.3M	0.91	4.06	28,509	26,040	321,223	231,828
2016-02-02	$161.40	$165.00	19.5%	5.8%	22.2%	45.1%	20.3%	6.2%	0.1%	13.7M	426.4M	-8.9M	0.91	3.89	36,247	33,077	328,071	235,717
2016-02-03	$163.19	$164.50	19.1%	5.7%	22.7%	43.2%	20.5%	6.2%	0.2%	44.8M	113.1M	-9.4M	1.11	4.45	31,633	35,111	336,453	243,927
2016-02-04	$163.96	$163.00	19.1%	5.6%	22.2%	43.2%	21.2%	6.2%	0.0%	59.9M	-15.3M	-9.6M	1.13	5.26	33,831	38,270	339,297	250,043
2016-02-05	$161.55	$163.00	20.8%	6.0%	21.9%	51.5%	20.8%	6.3%	0.0%	-2.1M	437.1M	-9.5M	1.09	5.71	35,115	38,332	342,963	260,757
2016-02-08	$160.20	$163.00	22.8%	6.6%	21.5%	61.2%	23.0%	6.6%	0.1%	-9.5M	626.6M	-9.3M	0.69	5.19	43,669	30,329	335,025	261,452
2016-02-09	$160.29	$164.00	23.1%	6.7%	21.4%	62.5%	24.1%	6.9%	0.3%	480.1K	577.4M	-9.4M	1.04	5.17	31,597	32,790	344,662	264,284
2016-02-10	$159.38	$163.00	22.9%	6.7%	21.2%	61.7%	22.8%	6.7%	0.5%	-20.3M	758.5M	-9.3M	0.91	4.45	29,793	26,999	342,171	272,442
2016-02-11	$157.24	$163.00	25.0%	7.2%	20.3%	71.7%	25.2%	7.4%	0.0%	-47.6M	1.08B	-8.8M	1.31	6.63	45,729	59,808	344,246	272,961
2016-02-12	$159.87	$162.00	22.3%	6.5%	20.6%	58.7%	22.7%	6.7%	0.4%	14.2M	643.1M	-9.3M	0.87	4.02	37,640	32,665	351,690	294,133
2016-02-16	$162.06	$162.00	21.3%	6.1%	19.4%	54.0%	24.3%	6.9%	-0.6%	1.5M	297.8M	-9.2M	1.15	4.55	33,643	38,626	341,776	279,636
2016-02-17	$164.90	$162.00	19.2%	5.5%	20.3%	43.7%	19.0%	6.5%	-0.2%	71.6M	-308.0M	-9.4M	0.74	4.62	49,801	36,688	348,315	283,909
2016-02-18	$164.42	$162.00	18.8%	5.4%	19.3%	41.4%	19.9%	6.0%	-0.6%	70.0M	-214.2M	-9.3M	0.73	4.06	47,925	34,849	361,362	289,997
2016-02-19	$163.62	$162.00	17.8%	5.1%	19.2%	37.0%	18.9%	5.7%	0.2%	19.6M	118.7M	-9.2M	0.98	3.01	37,850	37,261	357,964	296,306
2016-02-22	$165.97	$162.00	16.5%	4.8%	19.5%	30.2%	18.3%	5.6%	-0.3%	70.4M	-416.3M	-9.1M	1.07	3.51	38,533	41,320	308,125	239,638
2016-02-23	$164.28	$162.00	17.8%	5.2%	19.4%	36.8%	19.1%	6.1%	-0.1%	36.9M	-132.8M	-9.4M	0.99	3.68	32,291	31,950	320,933	251,181
2016-02-24	$164.62	$162.00	18.4%	5.4%	18.6%	39.8%	19.0%	6.0%	-0.7%	52.7M	-211.0M	-9.5M	0.87	3.11	41,493	36,123	327,568	257,709
2016-02-25	$166.65	$162.00	16.7%	5.0%	18.3%	31.4%	19.2%	5.7%	-0.5%	95.0M	-615.5M	-9.6M	0.89	3.21	38,953	34,786	329,741	260,215
2016-02-26	$166.38	$162.00	17.0%	5.0%	18.2%	32.8%	18.8%	5.6%	0.1%	82.2M	-550.9M	-9.5M	1.07	3.82	37,591	40,246	330,537	265,582
2016-02-29	$165.38	$162.00	17.7%	5.3%	18.0%	36.3%	19.0%	5.8%	-0.1%	48.8M	-256.9M	-9.3M	1.17	3.71	28,989	33,809	318,192	256,153