DIA Options History — April 2016

In April 2016, DIA traded between $175.19 and $180.86. ATM implied volatility averaged 12.4%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.9% (HV 20d: 8.5%). Max pain ranged from $171.00 to $176.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-04-29: Highest Volume — 92,753 contracts
  • 2016-04-07: Largest IV spike — 14.8% change
  • 2016-04-07: Highest IV Rank — 18.7%
  • 2016-04-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$178.21$175.19$180.86$177.71$177.58
Max Pain$174.55$171.00$176.50$171.00$176.50
ATM IV12.4%11.3%14.2%11.5%13.2%
Expected Move3.6%3.0%4.2%3.0%3.9%
HV 20d8.5%7.1%9.9%7.1%9.8%
HV 60d14.1%11.8%16.8%16.8%11.8%
IV Rank9.7%4.4%18.7%5.4%13.3%
IV Percentile27.3%5.6%55.2%10.3%41.7%
Term Structure0.1%-0.2%0.6%0.4%-0.1%
VWIV13.4%11.4%15.4%11.4%13.7%
Skew 25d4.5%3.6%5.1%3.9%5.0%
Skew 10d9.0%8.1%9.9%8.2%9.4%
Call IV 25d10.5%9.6%11.8%9.6%11.2%
Put IV 25d15.0%13.5%16.8%13.5%16.3%
Bid-Ask Spread %4.233.275.383.635.07
Gamma HHI0.080.050.190.090.05
Net GEX127.5M8.3M227.1M168.5M8.3M
Net DEX-1.23B-1.72B-651.1M-1.49B-651.1M
Net VEX-10.6M-11.4M-9.9M-9.9M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.671.431.121.16
Total Volume60,284.66741,68792,75356,17492,753
Total OI538,404.19491,593599,398498,450599,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$177.71$171.0011.5%3.0%7.1%5.4%11.4%3.9%0.4%168.5M-1.49B-9.9M1.123.6326,44329,731265,049233,401
2016-04-04$177.09$173.0012.4%3.8%7.3%9.8%13.9%4.4%0.4%137.8M-1.29B-10.0M1.123.7919,70121,986264,342227,251
2016-04-05$175.74$173.0013.9%4.1%8.1%16.9%14.9%4.8%0.1%106.4M-1.02B-10.1M0.943.7223,48622,072267,914232,296
2016-04-06$177.04$173.0012.4%3.8%8.0%9.6%14.9%4.5%0.4%144.3M-1.26B-10.1M1.364.9623,66032,259274,348235,512
2016-04-07$175.19$173.0014.2%4.2%9.1%18.7%14.9%5.0%0.2%77.5M-822.9M-10.2M0.984.2934,73234,021277,424245,299
2016-04-08$175.46$173.0013.5%4.1%9.1%15.2%14.4%4.9%0.3%106.9M-889.9M-10.2M1.433.7224,62335,147288,700252,473
2016-04-11$175.64$173.0014.0%4.1%7.8%17.4%15.4%5.1%0.2%100.4M-940.6M-10.0M0.983.2728,37427,887284,626252,832
2016-04-12$176.97$174.0013.0%3.9%8.1%12.7%12.7%5.0%0.5%148.8M-1.22B-10.3M0.994.0330,64030,325290,644258,713
2016-04-13$178.92$174.0011.7%3.5%8.8%6.2%12.8%4.5%0.5%225.0M-1.72B-10.3M1.074.9825,66027,562294,370267,480
2016-04-14$179.05$175.0011.6%3.5%8.7%5.7%12.7%4.4%0.6%227.1M-1.71B-10.4M0.674.1136,99924,644295,062271,935
2016-04-15$178.69$175.0011.7%3.4%8.5%6.2%13.4%4.3%0.2%217.9M-1.26B-10.5M0.913.5333,80930,791278,564275,584
2016-04-18$179.73$175.0011.7%3.4%8.5%6.4%13.1%4.3%-0.1%119.9M-1.37B-10.6M0.954.3427,36425,924272,728224,364
2016-04-19$180.13$175.0011.7%3.4%8.5%6.3%12.3%4.1%-0.1%134.5M-1.48B-10.6M1.163.8829,79534,675277,821231,617
2016-04-20$180.86$175.0011.3%3.3%8.5%4.4%12.9%3.7%-0.1%141.1M-1.58B-11.1M1.265.0727,42534,564279,968245,287
2016-04-21$179.69$175.0012.1%3.5%8.7%8.0%12.6%3.9%-0.1%97.0M-1.31B-11.2M0.984.0031,07530,594285,315252,187
2016-04-22$179.86$176.0011.5%3.3%8.7%5.2%12.8%3.6%-0.0%118.4M-1.35B-11.4M0.944.3330,53028,793297,141258,218
2016-04-25$179.35$176.5012.2%3.5%8.8%8.4%13.2%4.5%0.0%101.5M-1.15B-11.2M0.833.9631,44325,959294,033246,397
2016-04-26$179.60$176.5012.2%3.6%8.7%8.5%13.4%4.4%0.0%112.6M-1.22B-11.3M0.934.6826,96924,996306,483252,672
2016-04-27$180.26$176.5011.6%3.4%8.6%5.6%12.7%4.3%0.1%135.6M-1.41B-11.3M1.244.0228,62735,421310,465256,708
2016-04-28$177.87$176.5013.1%3.8%9.9%13.0%13.1%4.9%-0.2%47.9M-760.4M-11.3M0.825.3841,02533,494315,042266,825
2016-04-29$177.58$176.5013.2%3.9%9.8%13.3%13.7%5.0%-0.1%8.3M-651.1M-11.4M1.165.0742,95549,798326,010273,388