DIA Options History — November 2015

In November 2015, DIA traded between $172.71 and $179.52. ATM implied volatility averaged 13.2%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.0% (HV 20d: 12.3%). Max pain ranged from $172.00 to $175.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-11-19: Highest Volume — 190,430 contracts
  • 2015-11-12: Largest IV spike — 19.2% change
  • 2015-11-13: Highest IV Rank — 33.8%
  • 2015-11-13: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$177.36$172.71$179.52$178.03$177.50
Max Pain$173.10$172.00$175.00$172.00$175.00
ATM IV13.2%11.5%16.4%11.5%13.7%
Expected Move3.9%3.4%4.8%3.4%4.1%
HV 20d12.3%10.8%14.6%10.8%12.1%
HV 60d18.4%15.0%20.3%20.2%15.0%
IV Rank19.1%10.9%33.8%11.0%21.0%
IV Percentile51.7%21.4%82.1%22.6%61.1%
Term Structure0.2%-0.7%1.0%0.3%-0.1%
VWIV14.4%12.2%18.4%12.2%14.9%
Skew 25d5.0%4.3%5.9%4.6%5.4%
Skew 10d9.8%8.0%11.3%9.1%10.4%
Call IV 25d11.3%9.8%14.0%9.9%11.1%
Put IV 25d16.4%14.2%19.8%14.5%16.6%
Bid-Ask Spread %8.313.2624.073.2624.07
Gamma HHI0.100.050.230.100.06
Net GEX134.0M24.3M212.6M170.9M69.2M
Net DEX-1.35B-2.29B95.6M-1.98B-774.5M
Net VEX-10.6M-11.3M-9.9M-10.6M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.211.521.011.10
Total Volume74,716.2515,718190,43069,09715,718
Total OI777,349.1639,300876,281738,883656,359

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$178.03$172.0011.5%3.4%10.8%11.0%12.2%4.6%0.3%170.9M-1.98B-10.6M1.013.2634,36734,730353,330385,553
2015-11-03$179.52$173.0011.5%3.4%11.0%10.9%12.4%4.3%0.2%160.5M-2.29B-10.8M1.043.8538,29639,772354,745394,373
2015-11-04$178.45$173.0012.4%3.7%11.4%15.4%13.5%4.9%0.1%115.5M-1.95B-11.3M0.814.3142,43034,177363,237408,482
2015-11-05$178.73$172.0012.3%3.7%11.2%14.8%15.3%4.6%0.2%130.4M-2.06B-11.2M0.904.7149,86144,964371,951414,077
2015-11-06$179.05$173.0011.5%3.6%11.2%10.9%13.5%4.4%0.2%180.4M-2.18B-11.0M1.5214.4518,67928,328390,207423,360
2015-11-09$177.46$173.0013.2%4.1%11.9%18.8%14.9%5.2%1.0%133.0M-1.50B-11.0M0.8915.9025,47822,642382,389408,344
2015-11-10$177.63$172.0012.6%3.8%11.8%16.1%15.2%4.9%0.6%150.9M-1.66B-10.8M0.626.0149,77630,776399,195414,515
2015-11-11$178.01$172.0012.4%3.8%10.9%15.1%15.1%5.0%0.8%161.3M-1.81B-10.8M0.587.3047,83827,643405,288418,817
2015-11-12$174.69$172.0014.8%4.4%12.4%26.1%16.1%5.4%0.5%90.6M-589.1M-11.0M0.824.6259,68848,672407,927418,811
2015-11-13$172.71$172.0016.4%4.8%13.2%33.8%18.4%5.9%0.5%24.3M95.6M-11.1M0.726.9064,55046,241421,160435,704
2015-11-16$175.00$173.0015.2%4.4%13.9%28.0%15.2%5.3%-0.3%154.4M-712.1M-10.5M0.7712.5721,02216,159413,486429,436
2015-11-17$175.38$172.0015.7%4.5%13.9%30.6%16.4%5.7%-0.7%180.9M-926.6M-10.6M0.637.0255,76535,368424,074433,021
2015-11-18$177.80$172.0013.8%4.0%14.6%21.7%15.3%5.1%-0.1%147.9M-1.96B-10.3M0.585.0154,31531,520431,359440,244
2015-11-19$177.74$172.0013.7%3.9%13.1%21.4%13.3%4.5%0.2%158.8M-1.94B-10.2M0.214.04157,95232,478433,120443,161
2015-11-20$177.93$174.0013.2%3.8%12.7%19.1%12.6%5.2%0.0%212.6M-943.6M-10.4M0.584.0463,59936,736386,261446,934
2015-11-23$177.81$175.0012.8%3.7%12.7%17.1%13.0%5.1%0.2%84.6M-859.7M-10.3M0.6013.4916,0299,670321,428317,872
2015-11-24$177.98$175.0013.0%3.8%12.6%18.0%14.0%5.2%0.1%89.9M-887.3M-10.3M1.3513.9711,54815,568330,716322,595
2015-11-25$177.96$175.0012.5%3.7%12.1%15.9%13.3%5.1%0.3%99.6M-1.02B-10.3M0.604.7139,91224,079342,335328,839
2015-11-27$177.90$175.0012.7%3.7%12.1%16.6%14.2%5.0%0.6%164.6M-983.4M-10.1M0.716.0739,77628,203343,970330,307
2015-11-30$177.50$175.0013.7%4.1%12.1%21.0%14.9%5.4%-0.1%69.2M-774.5M-9.9M1.1024.077,4758,243331,668324,691