DIA Options History — July 2016

In July 2016, DIA traded between $178.24 and $185.90. ATM implied volatility averaged 10.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 5.1% (HV 20d: 15.8%). Max pain ranged from $176.00 to $182.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2016-07-14: Highest Volume — 83,332 contracts
  • 2016-07-08: Largest IV drop — 14.0% change
  • 2016-07-05: Highest IV Rank — 11.9%
  • 2016-07-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.27$178.24$185.90$179.48$184.23
Max Pain$179.13$176.00$182.00$178.00$181.50
ATM IV10.7%9.8%12.9%11.7%10.1%
Expected Move3.1%2.8%3.8%3.1%2.9%
HV 20d15.8%7.7%18.3%17.5%7.7%
HV 60d12.7%12.3%12.9%12.6%12.3%
IV Rank3.2%0.0%11.9%6.3%1.5%
IV Percentile5.7%0.0%34.5%12.7%2.0%
Term Structure0.3%-0.0%0.9%0.2%0.4%
VWIV11.7%9.1%14.8%12.2%9.1%
Skew 25d4.0%2.9%5.3%4.7%3.9%
Skew 10d8.2%5.6%10.5%9.9%7.1%
Call IV 25d9.1%8.3%10.5%9.8%8.4%
Put IV 25d13.1%11.7%15.8%14.4%12.3%
Bid-Ask Spread %5.353.667.324.335.68
Gamma HHI0.080.040.190.040.10
Net GEX153.0M29.0M301.8M73.0M78.6M
Net DEX-1.43B-2.22B-564.4M-939.3M-1.30B
Net VEX-10.5M-11.0M-9.8M-10.1M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.631.611.170.68
Total Volume54,181.9537,49683,33261,55170,840
Total OI564,056.4516,029620,548566,736564,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$179.48$178.0011.7%3.1%17.5%6.3%12.2%4.7%0.2%73.0M-939.3M-10.1M1.174.3328,36633,185306,893259,843
2016-07-05$178.24$176.0012.9%3.8%17.5%11.9%14.3%5.3%0.2%29.0M-564.4M-10.0M1.074.2723,55225,253303,968252,684
2016-07-06$179.07$176.0012.4%3.7%17.6%9.6%14.8%5.1%0.2%55.1M-740.0M-10.1M1.543.6618,34028,271310,253257,723
2016-07-07$178.77$176.0012.0%3.6%17.5%7.8%14.3%5.0%0.2%40.9M-668.7M-9.8M1.194.8918,81322,362310,091257,107
2016-07-08$181.40$176.0010.3%3.2%18.3%0.0%12.1%4.0%0.3%233.9M-1.39B-9.8M0.973.7240,29538,992313,689261,042
2016-07-11$182.25$177.0010.8%3.2%18.2%2.0%11.6%4.0%0.5%171.3M-1.47B-10.1M0.904.0432,87629,454311,503263,734
2016-07-12$183.40$178.0010.3%3.2%18.0%0.0%11.7%3.6%0.9%214.6M-1.78B-10.3M0.855.5034,41429,254318,046274,364
2016-07-13$183.64$178.0010.2%3.0%17.9%0.0%11.3%3.5%0.3%235.6M-1.81B-10.5M1.025.6426,20426,672328,873284,111
2016-07-14$185.08$178.0010.0%3.0%17.9%0.0%11.5%2.9%0.7%296.3M-2.22B-10.8M0.635.9751,14532,187331,233289,315
2016-07-15$184.89$180.009.8%2.9%17.9%0.0%11.0%3.2%0.7%301.8M-1.72B-10.9M0.977.3230,82329,975313,396299,999
2016-07-18$185.15$180.0010.3%3.0%17.7%2.5%11.8%3.5%0.0%168.5M-1.68B-10.9M1.006.7921,23821,281291,172224,857
2016-07-19$185.27$180.0010.0%2.9%17.6%1.1%11.3%3.4%-0.0%176.1M-1.67B-10.8M1.166.2217,38820,108295,630230,045
2016-07-20$185.90$180.0010.0%2.9%17.7%0.9%10.6%3.4%-0.0%188.7M-1.87B-10.9M1.195.6517,38220,751297,198237,053
2016-07-21$185.04$180.0010.6%3.0%17.7%4.1%11.1%3.8%0.0%134.6M-1.56B-11.0M1.615.3319,03830,705298,710241,843
2016-07-22$185.43$181.009.9%2.8%17.4%0.7%10.5%3.7%0.3%152.4M-1.71B-10.8M1.535.8222,60234,629302,125247,377
2016-07-25$184.66$181.0010.8%3.1%13.1%5.1%11.5%4.3%0.3%132.6M-1.38B-10.9M1.465.2117,90526,206296,556242,148
2016-07-26$184.49$182.0010.6%3.1%10.5%4.1%11.0%4.3%0.2%117.0M-1.32B-10.9M1.045.4420,81721,582300,500248,007
2016-07-27$184.55$182.0010.4%3.0%9.7%3.2%10.9%4.3%0.3%126.4M-1.41B-10.7M1.085.6023,58325,438303,738250,236
2016-07-28$184.52$182.0010.4%3.0%8.4%2.9%11.2%3.9%0.1%133.7M-1.40B-10.6M1.205.8923,54728,166307,909253,563
2016-07-29$184.23$181.5010.1%2.9%7.7%1.5%9.1%3.9%0.4%78.6M-1.30B-10.5M0.685.6842,09128,749308,734255,860