DIA Options History — June 2016

In June 2016, DIA traded between $171.17 and $179.98. ATM implied volatility averaged 13.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 10.4%). Max pain ranged from $175.00 to $178.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2016-06-24: Highest Volume — 94,037 contracts
2016-06-24: Largest IV spike — 34.5% change
2016-06-27: Highest IV Rank — 42.3%
2016-06-27: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$177.43	$171.17	$179.98	$177.70	$178.72
Max Pain	$177.55	$175.00	$178.00	$175.00	$177.00
ATM IV	13.9%	11.1%	19.0%	12.2%	12.8%
Expected Move	4.0%	3.3%	5.6%	3.3%	3.6%
HV 20d	10.4%	7.1%	17.4%	10.5%	17.4%
HV 60d	9.9%	9.0%	12.7%	9.4%	12.7%
IV Rank	17.1%	3.4%	42.3%	8.6%	11.5%
IV Percentile	41.4%	2.4%	79.4%	22.2%	32.1%
Term Structure	-0.0%	-0.4%	0.4%	-0.2%	0.3%
VWIV	15.2%	12.0%	19.7%	12.1%	13.6%
Skew 25d	5.9%	4.3%	8.4%	4.7%	5.2%
Skew 10d	11.9%	8.4%	16.4%	9.1%	10.3%
Call IV 25d	11.4%	9.4%	15.4%	10.1%	10.4%
Put IV 25d	17.3%	13.8%	22.9%	14.9%	15.7%
Bid-Ask Spread %	5.64	3.38	9.44	3.38	5.26
Gamma HHI	0.04	0.03	0.05	0.04	0.04
Net GEX	56.3M	-74.0M	173.5M	67.9M	105.5M
Net DEX	-560.7M	-1.27B	662.4M	-701.4M	-1.02B
Net VEX	-9.9M	-10.3M	-9.3M	-10.0M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.63	1.45	0.76	1.45
Total Volume	67,510.227	46,978	94,037	60,101	86,047
Total OI	620,744.136	551,304	681,860	613,221	621,206

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
2016-06-01	$177.70	$175.00	12.2%	3.3%	10.5%	8.6%	12.1%	4.7%	-0.2%	67.9M	-701.4M	-10.0M	0.76	3.38	34,234	25,867	341,213	272,008
2016-06-02	$178.14	$177.00	11.6%	3.4%	10.3%	5.9%	13.2%	4.5%	-0.2%	84.7M	-798.7M	-9.8M	0.68	4.13	33,531	22,639	346,892	273,551
2016-06-03	$178.08	$177.00	11.1%	3.3%	10.3%	3.4%	12.0%	4.3%	-0.1%	79.4M	-783.9M	-9.6M	0.83	4.44	35,259	29,343	349,144	275,345
2016-06-06	$179.22	$177.00	11.3%	3.3%	10.3%	4.1%	12.4%	4.5%	0.2%	123.5M	-1.05B	-9.6M	0.81	4.64	38,849	31,554	346,115	269,722
2016-06-07	$179.40	$177.00	11.3%	3.3%	10.3%	4.2%	12.6%	4.3%	0.4%	139.2M	-1.12B	-9.8M	0.63	3.56	38,265	24,078	351,819	274,693
2016-06-08	$179.98	$178.00	11.2%	3.3%	9.4%	3.5%	12.3%	4.4%	0.2%	173.5M	-1.27B	-9.9M	0.64	4.57	38,781	24,736	357,338	278,911
2016-06-09	$179.94	$178.00	11.4%	3.3%	8.6%	4.7%	13.5%	4.5%	0.2%	173.0M	-1.24B	-10.1M	0.63	4.56	39,487	24,708	359,318	283,384
2016-06-10	$178.66	$178.00	13.1%	3.7%	9.0%	13.2%	15.2%	5.7%	-0.3%	69.6M	-831.1M	-10.2M	1.22	5.78	30,164	36,750	361,502	287,529
2016-06-13	$177.42	$178.00	15.5%	4.4%	8.6%	24.8%	17.7%	7.3%	-0.4%	41.7M	-499.6M	-10.0M	1.18	8.42	34,173	40,273	354,812	285,418
2016-06-14	$176.73	$178.00	15.5%	4.4%	8.0%	24.7%	18.4%	6.7%	0.1%	4.3M	-292.5M	-10.1M	1.08	7.36	34,971	37,897	358,671	296,275
2016-06-15	$176.44	$178.00	15.6%	4.5%	7.9%	25.3%	16.7%	6.7%	-0.4%	-1.1M	-264.6M	-9.9M	0.90	5.85	30,017	26,914	366,462	307,544
2016-06-16	$177.48	$178.00	14.7%	4.2%	7.8%	21.0%	14.5%	6.0%	-0.3%	59.6M	-564.1M	-9.9M	0.90	6.72	43,540	39,286	367,819	309,869
2016-06-17	$176.53	$178.00	14.8%	4.2%	7.9%	21.7%	16.5%	6.6%	0.1%	183.6K	-180.0M	-10.0M	0.96	4.94	33,971	32,480	366,908	314,952
2016-06-20	$177.78	$178.00	13.9%	4.1%	8.3%	17.1%	15.7%	6.8%	0.2%	46.4M	-520.5M	-9.7M	1.37	4.34	24,036	33,025	309,347	241,957
2016-06-21	$178.11	$178.00	14.4%	4.2%	8.3%	19.6%	15.1%	6.9%	0.1%	52.7M	-549.8M	-9.9M	1.07	4.87	22,706	24,272	314,005	248,507
2016-06-22	$177.66	$178.00	16.2%	4.9%	7.1%	28.6%	17.3%	7.6%	-0.3%	47.1M	-466.4M	-10.3M	1.13	6.52	27,851	31,423	318,732	257,283
2016-06-23	$179.65	$178.00	13.4%	3.9%	7.6%	14.4%	16.1%	6.3%	0.2%	96.4M	-854.4M	-10.2M	1.22	9.44	25,764	31,505	325,140	265,870
2016-06-24	$174.34	$178.00	18.0%	5.4%	13.2%	37.1%	19.7%	8.4%	-0.2%	-51.2M	389.6M	-9.8M	1.32	8.58	40,499	53,538	333,011	275,718
2016-06-27	$171.17	$178.00	19.0%	5.6%	14.5%	42.3%	18.7%	7.5%	-0.3%	-74.0M	662.4M	-9.3M	0.72	6.34	53,737	38,844	324,710	256,242
2016-06-28	$173.72	$177.00	15.3%	4.6%	15.7%	23.8%	16.5%	6.0%	0.3%	-32.6M	125.8M	-9.5M	0.87	5.65	33,371	29,133	341,081	258,921
2016-06-29	$176.58	$177.00	13.8%	3.9%	16.9%	16.6%	14.2%	5.2%	0.1%	32.1M	-511.7M	-9.7M	1.04	4.69	33,267	34,440	346,130	261,297
2016-06-30	$178.72	$177.00	12.8%	3.6%	17.4%	11.5%	13.6%	5.2%	0.3%	105.5M	-1.02B	-10.2M	1.45	5.26	35,090	50,957	354,420	266,786