DIA Options History — March 2016

In March 2016, DIA traded between $168.33 and $176.92. ATM implied volatility averaged 13.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.0% (HV 20d: 12.5%). Max pain ranged from $161.00 to $171.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2016-03-18: Highest Volume — 102,297 contracts
2016-03-11: Largest IV drop — 10.0% change
2016-03-08: Highest IV Rank — 25.8%
2016-03-01: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$172.88	$168.33	$176.92	$168.33	$176.78
Max Pain	$166.23	$161.00	$171.00	$163.00	$171.00
ATM IV	13.5%	11.6%	15.7%	15.4%	11.9%
Expected Move	3.9%	3.1%	4.6%	4.6%	3.2%
HV 20d	12.5%	6.9%	18.5%	18.5%	7.0%
HV 60d	18.2%	16.8%	19.7%	19.7%	16.8%
IV Rank	14.9%	5.4%	25.8%	25.2%	7.1%
IV Percentile	41.3%	11.1%	66.3%	64.7%	17.5%
Term Structure	0.3%	-0.1%	0.7%	-0.1%	0.3%
VWIV	14.8%	11.6%	18.2%	17.5%	12.1%
Skew 25d	4.8%	3.8%	5.5%	5.2%	4.4%
Skew 10d	9.2%	7.9%	11.1%	9.6%	8.6%
Call IV 25d	11.5%	9.8%	13.5%	13.2%	10.1%
Put IV 25d	16.3%	13.7%	18.9%	18.4%	14.4%
Bid-Ask Spread %	4.46	3.42	6.38	3.86	3.93
Gamma HHI	0.08	0.05	0.18	0.05	0.09
Net GEX	138.7M	91.5M	244.1M	97.8M	151.2M
Net DEX	-1.22B	-1.97B	-745.0M	-745.0M	-1.43B
Net VEX	-9.6M	-9.9M	-9.2M	-9.2M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.81	1.39	0.96	0.91
Total Volume	65,879.909	47,215	102,297	76,927	57,238
Total OI	587,514.091	497,599	655,577	582,010	540,744

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
2016-03-01	$168.33	$163.00	15.4%	4.6%	18.5%	25.2%	17.5%	5.2%	-0.1%	97.8M	-745.0M	-9.2M	0.96	3.86	39,284	37,643	320,726	261,284
2016-03-02	$168.79	$163.00	14.7%	4.3%	16.9%	21.0%	16.4%	5.1%	0.4%	111.4M	-845.6M	-9.3M	0.95	4.76	36,177	34,364	329,244	268,651
2016-03-03	$169.34	$161.00	14.5%	4.3%	16.6%	19.9%	18.2%	4.8%	0.3%	120.3M	-947.3M	-9.3M	1.00	5.43	32,243	32,358	336,181	274,349
2016-03-04	$169.98	$162.00	14.4%	4.3%	16.6%	19.7%	17.0%	4.8%	0.3%	177.6M	-1.10B	-9.4M	1.24	4.91	38,004	47,073	339,181	280,298
2016-03-07	$170.43	$163.00	14.7%	4.4%	15.4%	20.9%	16.8%	5.1%	0.6%	109.0M	-1.02B	-9.5M	0.81	4.35	38,699	31,502	331,453	279,504
2016-03-08	$169.57	$163.00	15.7%	4.5%	15.1%	25.8%	17.2%	5.5%	-0.1%	97.7M	-894.1M	-9.7M	0.99	5.41	36,209	35,763	342,139	285,371
2016-03-09	$169.82	$164.00	15.5%	4.5%	15.1%	24.8%	17.9%	5.3%	0.3%	107.8M	-956.4M	-9.8M	0.98	4.35	31,775	31,018	352,130	288,149
2016-03-10	$169.70	$164.00	15.6%	4.5%	14.8%	25.5%	17.1%	5.4%	-0.0%	110.1M	-949.0M	-9.6M	0.96	6.38	39,581	37,882	354,825	291,211
2016-03-11	$172.14	$164.00	14.1%	4.1%	14.0%	17.8%	14.9%	5.1%	0.4%	167.2M	-1.48B	-9.6M	0.98	4.61	38,148	37,223	355,392	294,330
2016-03-14	$172.55	$165.00	13.8%	3.9%	13.2%	16.3%	15.6%	5.3%	0.5%	152.0M	-1.46B	-9.5M	0.83	3.73	26,651	22,112	350,133	283,270
2016-03-15	$172.53	$165.00	13.9%	4.0%	12.8%	17.2%	17.1%	5.1%	0.5%	154.8M	-1.44B	-9.6M	1.03	4.03	25,810	26,556	351,452	287,022
2016-03-16	$173.41	$165.00	13.0%	3.7%	11.6%	12.4%	13.7%	4.6%	0.1%	183.4M	-1.68B	-9.4M	0.89	4.53	32,626	29,133	356,715	291,799
2016-03-17	$174.70	$165.00	11.8%	3.3%	11.6%	6.6%	12.7%	3.8%	0.7%	211.6M	-1.97B	-9.3M	0.87	3.43	39,307	34,019	358,590	296,987
2016-03-18	$175.77	$169.00	11.6%	3.3%	11.2%	5.4%	12.3%	3.9%	0.4%	244.1M	-1.41B	-9.6M	0.90	3.50	53,890	48,407	318,583	318,224
2016-03-21	$176.10	$170.00	11.8%	3.3%	10.5%	6.7%	12.6%	4.4%	0.5%	120.3M	-1.31B	-9.7M	1.36	3.42	23,100	31,336	257,542	240,057
2016-03-22	$175.66	$170.00	12.1%	3.4%	9.5%	8.3%	12.4%	4.6%	0.5%	115.9M	-1.24B	-9.7M	1.39	5.38	24,440	33,977	262,942	245,353
2016-03-23	$174.95	$170.00	12.6%	3.5%	9.9%	10.4%	12.8%	4.4%	0.5%	91.5M	-1.08B	-9.8M	1.38	4.38	24,915	34,313	267,348	249,825
2016-03-24	$174.82	$170.00	12.5%	3.5%	9.3%	10.1%	13.0%	4.4%	0.6%	118.3M	-1.07B	-9.8M	1.13	5.16	28,256	31,863	270,847	250,945
2016-03-28	$175.00	$170.00	13.2%	3.6%	9.2%	13.6%	13.9%	4.8%	0.3%	113.8M	-1.09B	-9.6M	1.15	4.66	21,958	25,257	263,007	240,680
2016-03-29	$175.96	$170.00	12.2%	3.3%	8.7%	8.5%	11.7%	4.5%	0.3%	133.9M	-1.28B	-9.5M	1.13	3.80	25,113	28,473	265,816	247,233
2016-03-30	$176.92	$170.00	11.6%	3.1%	6.9%	5.6%	11.6%	4.1%	0.3%	161.2M	-1.50B	-9.6M	1.20	4.04	29,791	35,871	270,982	254,796
2016-03-31	$176.78	$171.00	11.9%	3.2%	7.0%	7.1%	12.1%	4.4%	0.3%	151.2M	-1.43B	-9.9M	0.91	3.93	30,033	27,205	276,176	264,568