DIA Options History — August 2016

In August 2016, DIA traded between $182.99 and $186.57. ATM implied volatility averaged 9.9%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.8% (HV 20d: 6.1%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-08-05: Highest Volume — 80,611 contracts
  • 2016-08-24: Largest IV spike — 11.0% change
  • 2016-08-26: Highest IV Rank — 12.4%
  • 2016-08-02: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.92$182.99$186.57$183.77$183.92
Max Pain$182.17$180.00$185.00$182.00$184.00
ATM IV9.9%8.8%11.1%10.3%10.9%
Expected Move2.9%2.5%3.2%3.0%3.0%
HV 20d6.1%5.6%7.7%7.7%6.0%
HV 60d11.7%11.3%12.3%12.3%11.4%
IV Rank4.4%0.0%12.4%2.7%11.6%
IV Percentile5.1%0.0%14.3%3.6%14.3%
Term Structure0.4%-0.2%1.0%0.1%0.2%
VWIV10.5%8.8%12.0%11.0%10.9%
Skew 25d4.3%3.0%5.1%4.4%4.9%
Skew 10d8.9%4.9%10.6%8.8%9.8%
Call IV 25d8.4%7.5%9.5%9.0%9.1%
Put IV 25d12.7%10.6%14.4%13.4%13.9%
Bid-Ask Spread %5.373.7611.474.605.01
Gamma HHI0.070.050.100.060.06
Net GEX119.2M-26.9M236.5M135.8M38.2M
Net DEX-1.16B-1.84B-485.9M-1.14B-544.8M
Net VEX-9.8M-10.4M-9.1M-10.4M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.431.660.860.82
Total Volume49,248.43523,54880,61148,16841,283
Total OI569,974.087504,097623,700557,948532,616

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$183.77$182.0010.3%3.0%7.7%2.7%11.0%4.4%0.1%135.8M-1.14B-10.4M0.864.6025,83322,335318,229239,719
2016-08-02$182.99$182.0011.1%3.2%7.4%6.2%11.8%4.5%0.1%105.9M-904.4M-10.3M1.284.8924,26731,066324,063243,292
2016-08-03$183.26$182.0010.4%3.0%7.3%3.2%11.2%4.3%0.1%125.7M-1.01B-10.2M0.994.3819,20118,969327,354245,468
2016-08-04$183.41$180.0010.2%3.1%7.2%1.9%12.0%4.4%0.2%132.1M-1.06B-10.1M0.935.1120,21118,708330,286246,478
2016-08-05$185.24$180.009.1%2.8%6.2%0.0%10.2%3.5%0.3%210.9M-1.68B-10.0M0.965.0141,21139,400333,820248,363
2016-08-08$185.23$180.009.2%2.8%6.1%0.1%10.3%3.7%0.6%156.9M-1.45B-10.2M0.874.8526,04222,664333,818251,372
2016-08-09$185.28$180.009.0%2.8%5.7%0.0%10.2%3.9%0.7%153.5M-1.45B-10.0M0.934.6523,91322,271337,470253,710
2016-08-10$185.04$181.009.5%2.9%5.7%2.1%10.6%4.0%0.5%121.1M-1.35B-10.0M1.275.0022,98629,083340,411256,805
2016-08-11$186.40$180.008.8%2.8%5.6%0.0%9.8%3.7%1.0%236.5M-1.84B-9.9M0.873.8036,18831,648345,169259,566
2016-08-12$185.94$181.008.8%2.7%5.7%0.0%10.0%3.8%0.7%150.6M-1.61B-10.1M0.984.9326,58225,933355,969267,731
2016-08-15$186.57$181.009.0%2.6%5.8%0.6%9.9%4.0%0.7%223.7M-1.80B-9.9M1.104.5624,04226,474347,709258,822
2016-08-16$185.86$181.009.7%2.8%6.0%4.1%10.5%4.3%0.6%129.4M-1.49B-10.0M0.914.5225,54223,297349,280265,652
2016-08-17$186.06$181.009.5%2.7%5.9%3.0%10.4%4.2%0.6%141.2M-1.54B-10.0M1.035.7313,31413,717353,215267,449
2016-08-18$186.35$182.008.8%2.5%5.6%0.0%8.8%3.0%0.5%198.3M-1.70B-9.3M0.439.7630,31412,906355,410267,771
2016-08-19$185.33$184.009.5%2.7%6.0%3.1%9.4%4.2%0.3%-26.9M-882.5M-9.6M1.353.7626,91636,281327,464271,835
2016-08-22$185.19$184.0010.0%2.8%5.8%5.5%9.8%4.7%0.2%114.1M-910.9M-9.5M0.854.8627,23423,259279,899224,198
2016-08-23$185.29$184.009.8%2.7%5.8%4.7%10.7%4.8%0.5%121.5M-958.0M-9.5M0.885.2326,54623,237285,681229,193
2016-08-24$184.67$185.0010.9%3.1%5.9%11.0%10.9%5.0%-0.2%81.1M-666.2M-9.7M1.6611.478,85314,695284,466234,541
2016-08-25$184.30$184.0011.0%3.0%5.9%11.9%12.0%5.0%0.3%47.0M-664.0M-9.6M1.005.1321,22621,273292,679240,089
2016-08-26$183.91$184.0011.1%3.0%6.0%12.4%11.8%5.1%0.1%5.4M-485.9M-9.4M1.156.1833,71438,621294,154243,990
2016-08-29$184.77$184.0010.3%2.8%6.1%7.8%9.8%5.1%0.3%80.7M-786.5M-9.2M0.864.7226,61922,916288,700227,191
2016-08-30$184.44$184.0010.7%2.8%5.9%10.2%10.2%4.8%-0.1%59.3M-671.4M-9.4M0.845.2822,82119,103294,209234,098
2016-08-31$183.92$184.0010.9%3.0%6.0%11.6%10.9%4.9%0.2%38.2M-544.8M-9.1M0.825.0122,69318,590296,848235,768