DIA Options History — August 2015

In August 2015, DIA traded between $158.35 and $176.08. ATM implied volatility averaged 16.8%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.0% (HV 20d: 13.9%). Max pain ranged from $170.00 to $178.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-08-21: Highest Volume — 224,025 contracts
  • 2015-08-24: Largest IV spike — 35.7% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.77$158.35$176.08$175.73$165.49
Max Pain$174.10$170.00$178.00$178.00$170.00
ATM IV16.8%11.4%30.8%11.9%23.0%
Expected Move5.1%3.4%9.3%3.5%6.9%
HV 20d13.9%9.8%22.6%11.5%22.6%
HV 60d11.9%10.0%15.9%10.5%15.9%
IV Rank51.8%25.9%100.0%30.6%65.1%
IV Percentile71.9%32.9%100.0%47.2%98.8%
Term Structure-0.0%-1.4%1.4%0.0%-0.4%
VWIV18.9%11.8%35.9%13.7%26.4%
Skew 25d6.8%4.3%14.3%4.7%9.3%
Skew 10d13.1%7.9%29.7%8.5%17.7%
Call IV 25d14.1%9.8%24.7%10.2%18.5%
Put IV 25d20.9%14.1%39.0%14.8%27.8%
Bid-Ask Spread %5.892.5813.4711.915.54
Gamma HHI0.070.030.200.040.04
Net GEX-58.5M-290.0M165.1M-38.6M-37.5M
Net DEX950.7M-111.3M2.93B364.9M1.14B
Net VEX-10.5M-12.9M-9.4M-9.4M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.541.591.590.83
Total Volume116,713.38171,553224,02571,553100,646
Total OI744,829.524590,440862,792590,440809,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$175.73$178.0011.9%3.5%11.5%30.6%13.7%4.7%0.0%-38.6M364.9M-9.4M1.5911.9127,64243,911280,991309,449
2015-08-04$175.17$178.0012.3%3.6%11.3%33.4%13.1%4.6%0.1%-77.9M406.4M-9.7M0.623.2246,49428,615303,467333,774
2015-08-05$175.33$178.0011.7%3.4%10.5%28.7%11.8%4.4%0.0%-74.5M326.2M-9.5M0.562.9755,57331,367305,935339,178
2015-08-06$174.36$175.0012.7%3.9%10.6%37.6%14.8%4.8%-0.0%-108.6M659.7M-9.8M0.684.3562,00442,321319,947347,379
2015-08-07$173.75$175.0012.9%3.9%9.8%39.3%14.7%4.9%-0.2%-129.1M831.4M-9.9M0.663.6970,96747,056332,153357,877
2015-08-10$176.08$175.0011.4%3.6%10.1%25.9%13.1%4.3%1.0%20.7M-111.3M-9.8M0.543.4063,57334,095329,675349,978
2015-08-11$174.10$177.0012.8%4.0%10.6%38.6%14.4%4.8%1.0%-79.6M775.6M-10.0M0.865.7047,90641,103329,051357,126
2015-08-12$174.11$175.0013.1%4.0%10.6%41.0%14.2%5.0%0.8%-70.9M576.9M-10.5M0.684.6985,99058,227366,360371,885
2015-08-13$174.41$174.0012.4%3.9%10.4%34.8%14.1%4.5%1.4%-41.7M395.9M-10.6M0.713.5254,70238,711386,704387,849
2015-08-14$174.89$174.0012.0%3.7%10.5%30.8%13.8%4.5%1.3%165.1M212.1M-10.5M0.723.5954,98539,680393,184394,467
2015-08-17$175.62$174.0011.9%3.5%10.7%30.6%13.4%5.1%0.3%13.5M-4.5M-10.2M0.642.8457,29636,545378,705384,962
2015-08-18$175.36$174.0012.8%3.7%10.3%37.9%14.0%5.2%-0.5%21.8M68.3M-10.3M0.732.5842,89631,273388,848391,182
2015-08-19$173.54$176.0013.8%3.9%10.8%46.7%14.5%5.5%0.1%-138.9M960.2M-10.1M0.8510.5244,74138,045381,247398,660
2015-08-20$170.50$174.0017.2%5.0%12.1%76.6%16.7%6.1%-0.8%-290.0M1.71B-10.1M0.856.1694,50280,423403,976405,668
2015-08-21$164.79$174.0022.7%6.6%16.6%100.0%21.3%9.8%-1.4%-173.7M2.93B-9.9M0.8010.80124,38999,636435,021406,445
2015-08-24$160.13$171.0030.8%9.3%18.8%100.0%35.3%14.3%-1.3%-55.5M2.26B-10.4M1.0613.4792,20197,995356,709341,353
2015-08-25$158.35$171.0028.0%8.8%18.0%87.8%35.9%12.2%0.4%-68.9M2.48B-10.2M0.865.2779,83968,692383,571381,084
2015-08-26$162.44$171.0025.4%7.6%20.7%75.8%31.2%10.5%-0.7%-51.1M1.88B-11.5M0.755.8170,28852,822404,039400,146
2015-08-27$165.92$171.0022.4%6.8%22.6%62.3%24.1%9.0%-0.8%-9.3M1.09B-12.4M0.926.1877,57871,098417,587413,272
2015-08-28$166.10$171.0022.6%6.8%22.6%63.5%26.5%9.8%-0.6%-2.8M1.01B-12.9M0.717.4467,23547,919430,834431,958
2015-08-31$165.49$170.0023.0%6.9%22.6%65.1%26.4%9.3%-0.4%-37.5M1.14B-12.4M0.835.5454,96745,679387,598422,126