DIA Options History — December 2015

In December 2015, DIA traded between $171.45 and $178.71. ATM implied volatility averaged 15.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.7% (HV 20d: 15.8%). Max pain ranged from $167.00 to $175.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-12-18: Highest Volume — 145,194 contracts
  • 2015-12-11: Largest IV spike — 22.9% change
  • 2015-12-11: Highest IV Rank — 45.4%
  • 2015-12-11: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.41$171.45$178.71$178.71$174.46
Max Pain$170.09$167.00$175.00$175.00$170.00
ATM IV15.1%12.2%19.6%12.2%14.9%
Expected Move4.4%3.8%5.5%3.8%4.2%
HV 20d15.8%12.0%18.5%12.1%18.4%
HV 60d14.9%14.2%15.6%14.7%14.3%
IV Rank24.4%13.8%45.4%13.8%22.7%
IV Percentile69.5%33.7%90.9%33.7%72.2%
Term Structure0.1%-0.8%0.7%0.6%0.2%
VWIV16.0%13.7%22.1%13.7%14.6%
Skew 25d5.5%4.3%7.7%4.8%5.6%
Skew 10d10.8%8.6%14.8%9.6%10.9%
Call IV 25d12.7%10.5%16.6%10.5%12.4%
Put IV 25d18.2%14.9%24.3%15.3%18.0%
Bid-Ask Spread %6.304.1517.8711.134.31
Gamma HHI0.060.040.090.070.08
Net GEX53.1M-81.6M120.6M113.9M56.4M
Net DEX-594.9M-1.21B511.1M-1.09B-505.4M
Net VEX-9.4M-9.9M-8.8M-9.7M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.301.380.810.57
Total Volume84,934.31823,164145,19423,16491,800
Total OI702,723.682650,369771,804662,998695,180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$178.71$175.0012.2%3.8%12.1%13.8%13.7%4.8%0.6%113.9M-1.09B-9.7M0.8111.1312,79510,369335,292327,706
2015-12-02$177.22$175.0013.6%4.2%12.0%20.6%14.7%4.5%-0.2%71.7M-840.6M-9.7M0.624.5737,16322,879345,915331,613
2015-12-03$174.81$167.0015.4%4.5%12.8%28.9%16.9%5.5%0.2%-3.4M-249.0M-9.6M0.607.1054,21332,745348,023334,083
2015-12-04$178.44$168.0012.7%3.9%14.9%16.3%13.9%4.3%0.1%101.9M-1.15B-9.5M0.614.1556,88734,575351,697338,829
2015-12-07$177.58$169.0013.3%3.9%15.0%18.8%14.7%5.0%0.1%75.3M-832.7M-9.5M1.3817.8711,19315,497349,201327,605
2015-12-08$176.00$169.0014.7%4.3%15.0%21.5%16.1%5.5%0.2%39.1M-549.2M-9.6M0.515.0251,76726,435359,934333,133
2015-12-09$174.98$169.0016.0%4.6%15.1%28.0%16.8%5.9%0.2%20.4M-334.9M-9.4M0.557.6156,38930,892366,941335,591
2015-12-10$175.70$170.0015.9%4.6%15.1%27.6%17.8%5.8%-0.0%38.3M-501.3M-9.8M0.655.0555,91136,203373,497339,516
2015-12-11$172.60$170.0019.6%5.5%15.0%45.4%22.1%7.7%-0.8%-69.0M233.0M-9.9M1.036.6164,01265,990378,361346,384
2015-12-14$173.63$170.0018.1%5.2%14.6%38.2%20.4%6.5%-0.1%1.8M-164.0M-9.8M0.685.1046,57831,453383,240362,532
2015-12-15$175.50$170.0017.3%5.0%14.3%34.3%18.4%5.9%-0.7%57.1M-638.6M-9.9M0.655.6844,65328,944390,744368,496
2015-12-16$177.80$170.0014.4%4.1%15.0%20.4%15.5%5.4%-0.2%114.5M-1.21B-9.7M0.595.1555,97333,122391,753372,403
2015-12-17$175.47$170.0015.6%4.5%15.0%26.0%14.1%5.3%-0.4%50.7M-640.4M-9.0M0.305.89102,02030,376393,883376,278
2015-12-18$171.45$170.0017.1%5.0%17.0%33.3%16.0%5.9%-0.6%-81.6M511.1M-8.9M0.445.18100,53744,657390,627381,177
2015-12-21$172.12$170.0016.5%4.8%17.1%30.2%17.8%5.6%0.3%22.2M-96.9M-9.1M0.595.7865,49138,485363,844286,525
2015-12-22$173.80$170.0014.7%4.2%17.5%21.5%14.8%5.1%0.4%71.4M-518.2M-9.2M0.445.1463,35328,042377,313293,021
2015-12-23$175.74$170.0013.7%3.9%18.1%16.8%14.2%4.8%0.6%110.7M-965.3M-9.4M0.544.5359,74032,382383,775297,044
2015-12-24$175.22$170.0013.8%3.9%18.1%17.2%14.7%4.9%0.7%90.0M-846.3M-9.3M0.577.0745,21125,674389,289303,703
2015-12-28$175.00$170.0014.6%4.1%18.1%21.0%15.6%5.5%0.3%82.8M-695.8M-9.0M0.604.6742,47425,554376,043295,248
2015-12-29$176.90$170.0013.6%3.8%18.5%16.4%14.2%5.5%0.3%120.6M-1.15B-9.0M0.574.5252,96630,068378,827299,339
2015-12-30$175.86$170.0014.1%3.9%18.4%18.7%14.1%5.5%0.3%84.3M-849.8M-8.9M0.616.4545,32927,758380,915305,401
2015-12-31$174.46$170.0014.9%4.2%18.4%22.7%14.6%5.6%0.2%56.4M-505.4M-8.8M0.574.3158,64933,151385,904309,276