DIA Options History — May 2016

In May 2016, DIA traded between $174.72 and $179.17. ATM implied volatility averaged 12.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.3% (HV 20d: 10.3%). Max pain ranged from $173.00 to $176.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-05-13: Highest Volume — 87,826 contracts
  • 2016-05-24: Largest IV drop — 11.3% change
  • 2016-05-18: Highest IV Rank — 17.9%
  • 2016-05-04: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$176.92$174.72$179.17$178.64$177.89
Max Pain$174.26$173.00$176.50$176.50$175.00
ATM IV12.6%10.9%14.1%12.2%11.9%
Expected Move3.7%2.9%4.1%3.6%3.3%
HV 20d10.3%9.0%11.9%9.9%10.8%
HV 60d10.4%9.4%11.8%11.8%9.4%
IV Rank10.8%2.2%17.9%8.8%7.0%
IV Percentile30.6%1.2%54.0%26.6%14.3%
Term Structure0.4%-0.1%1.0%0.2%0.1%
VWIV13.7%11.6%15.4%13.2%12.7%
Skew 25d4.6%4.0%5.1%5.1%4.4%
Skew 10d8.8%7.8%10.2%9.5%9.1%
Call IV 25d10.8%9.2%12.3%10.2%10.1%
Put IV 25d15.4%13.1%17.1%15.2%14.5%
Bid-Ask Spread %3.402.724.723.583.27
Gamma HHI0.040.030.060.050.04
Net GEX56.5M-38.7M171.9M82.5M60.8M
Net DEX-574.3M-1.26B39.9M-953.2M-704.4M
Net VEX-10.6M-11.4M-9.9M-11.4M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.711.320.800.71
Total Volume63,794.90544,75587,82671,98773,006
Total OI646,073.524588,947715,373594,386588,947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$178.64$176.5012.2%3.6%9.9%8.8%13.2%5.1%0.2%82.5M-953.2M-11.4M0.803.5839,92032,067325,463268,923
2016-05-03$177.31$176.5013.0%3.9%9.9%12.6%14.2%5.0%0.1%48.7M-646.6M-11.3M0.984.7236,18535,390335,786274,752
2016-05-04$176.35$176.5013.6%4.1%9.8%15.4%14.8%4.9%-0.0%29.2M-430.1M-11.1M1.143.8927,16031,031340,687277,588
2016-05-05$176.22$173.0013.7%4.1%9.0%15.8%14.8%4.7%0.1%31.8M-414.4M-11.0M0.963.4927,03025,862343,846279,370
2016-05-06$177.20$173.0012.7%3.8%9.2%11.0%14.7%4.2%0.2%77.8M-649.4M-11.0M0.713.4447,01833,306347,238281,843
2016-05-09$176.98$173.0012.4%3.7%9.2%9.7%14.3%4.5%0.5%72.6M-671.7M-10.9M0.723.0836,32226,146354,879275,315
2016-05-10$179.17$173.0011.5%3.5%9.8%5.1%13.0%4.4%0.7%171.9M-1.26B-11.0M0.903.3933,54430,303360,004279,051
2016-05-11$177.34$173.0012.3%3.8%9.7%9.3%14.2%4.4%0.9%81.5M-725.3M-11.1M1.042.8632,25633,486366,219285,242
2016-05-12$177.33$173.0012.3%3.7%9.7%9.0%13.4%4.2%0.9%74.8M-691.2M-11.0M1.182.7229,15134,517370,151293,658
2016-05-13$175.53$173.0013.1%3.8%10.3%13.3%14.3%4.5%0.5%547.8K-169.4M-10.6M0.773.6349,51038,316376,579297,986
2016-05-16$177.22$173.0012.8%3.7%10.7%11.8%13.7%4.8%0.6%78.7M-659.9M-10.6M1.183.5029,99435,283389,809296,884
2016-05-17$176.60$174.0012.9%3.7%10.7%12.1%15.4%4.7%0.9%43.3M-456.9M-10.8M1.323.6820,83827,530392,665303,499
2016-05-18$175.39$174.0014.1%4.0%10.7%17.9%14.6%4.7%0.2%-11.3M-119.4M-10.4M1.073.1731,29933,544397,653307,237
2016-05-19$174.84$173.0014.0%4.0%10.6%17.3%15.0%4.8%0.5%-38.7M36.5M-10.1M0.953.4835,58133,682403,030309,682
2016-05-20$174.72$175.0013.4%3.7%10.5%14.5%13.4%4.4%1.0%-6.0M39.9M-10.3M0.973.0131,99431,086404,489310,884
2016-05-23$174.75$175.0013.8%3.8%10.5%16.4%13.5%5.1%-0.1%-2.5M-134.5M-10.1M0.863.2626,43722,624346,858262,269
2016-05-24$176.94$175.0012.2%3.4%11.6%8.7%13.8%4.7%0.2%72.2M-616.4M-10.1M1.102.9932,20335,513353,124266,924
2016-05-25$178.39$175.0011.3%3.1%11.9%4.5%11.6%4.3%0.6%145.8M-992.5M-10.2M0.803.4537,03429,766352,293269,220
2016-05-26$178.07$175.0011.3%3.1%10.9%4.3%11.7%4.2%0.3%92.0M-871.8M-10.2M0.983.6222,63622,119363,305273,299
2016-05-27$178.46$175.0010.9%2.9%11.0%2.2%12.1%4.0%0.7%81.3M-968.2M-10.1M1.163.2722,70626,298364,815276,078
2016-05-31$177.89$175.0011.9%3.3%10.8%7.0%12.7%4.4%0.1%60.8M-704.4M-9.9M0.713.2742,77030,236322,711266,236