DIA Options History — September 2016

In September 2016, DIA traded between $180.45 and $185.24. ATM implied volatility averaged 12.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.2% (HV 20d: 9.9%). Max pain ranged from $183.00 to $185.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-09-09: Highest Volume — 87,288 contracts
  • 2016-09-09: Largest IV spike — 37.7% change
  • 2016-09-13: Highest IV Rank — 40.1%
  • 2016-09-14: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.66$180.45$185.24$183.95$183.22
Max Pain$183.81$183.00$185.00$184.00$183.00
ATM IV12.1%9.7%15.3%11.1%11.4%
Expected Move3.5%2.4%4.3%3.1%3.2%
HV 20d9.9%5.1%13.4%6.0%13.4%
HV 60d10.8%9.0%12.5%11.3%9.3%
IV Rank20.0%5.3%40.1%14.2%16.0%
IV Percentile32.2%4.0%68.7%15.9%22.2%
Term Structure0.2%-0.4%0.6%0.1%0.4%
VWIV13.0%11.2%15.5%11.6%12.2%
Skew 25d5.2%4.4%6.5%4.9%5.0%
Skew 10d10.1%8.7%11.6%9.8%9.3%
Call IV 25d9.8%8.0%12.4%9.2%9.0%
Put IV 25d15.0%12.4%18.9%14.1%13.9%
Bid-Ask Spread %5.683.848.514.173.84
Gamma HHI0.080.040.150.060.09
Net GEX13.6M-150.4M135.4M41.3M70.1M
Net DEX-368.2M-934.6M279.6M-566.8M-542.2M
Net VEX-8.6M-9.0M-8.3M-9.0M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.761.970.891.19
Total Volume52,802.42936,54487,28848,94852,896
Total OI503,789.333421,199588,669534,477462,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$183.95$184.0011.1%3.1%6.0%14.2%11.6%4.9%0.1%41.3M-566.8M-9.0M0.894.1725,83623,112298,843235,634
2016-09-02$184.80$184.009.7%2.4%5.1%5.3%11.9%4.4%0.3%135.4M-859.7M-8.9M1.974.6528,49456,100304,043240,862
2016-09-06$185.19$185.0010.0%3.0%5.2%7.3%11.2%4.6%0.3%114.4M-910.0M-8.8M0.897.4123,45220,877291,804250,197
2016-09-07$185.24$185.009.8%3.0%5.2%5.9%11.6%4.4%0.2%115.6M-934.6M-8.6M0.887.2226,40623,175295,238254,612
2016-09-08$184.84$185.009.8%3.0%5.2%6.2%12.3%4.5%0.2%131.7M-819.5M-8.5M1.076.3725,99927,892297,185256,713
2016-09-09$181.41$185.0013.5%3.9%7.8%29.2%13.2%5.9%-0.3%-90.4M220.1M-8.8M1.064.6442,36044,928299,378265,560
2016-09-12$183.42$185.0012.1%3.6%9.0%20.4%13.5%5.5%0.6%3.7M-455.9M-8.7M1.018.5136,65036,838295,105253,357
2016-09-13$180.65$185.0015.3%4.3%10.2%40.1%15.5%6.5%-0.4%-111.7M217.6M-8.7M1.025.5332,09532,669300,616262,216
2016-09-14$180.45$184.0014.9%4.3%10.2%37.8%15.5%6.3%0.2%-150.4M279.6M-8.8M1.025.0024,96825,456309,924269,423
2016-09-15$182.44$184.0013.1%3.8%11.1%26.5%15.1%5.5%0.3%-39.1M-284.7M-8.8M1.096.7824,82226,996311,657271,245
2016-09-16$181.20$184.0013.5%3.9%11.2%28.8%14.3%5.4%0.0%-51.4M26.5M-8.7M1.206.3121,50725,879310,985277,684
2016-09-19$181.14$183.0013.7%3.9%11.1%30.0%13.6%5.6%-0.1%-228.0K-178.9M-8.5M0.915.8819,83918,127237,520183,679
2016-09-20$181.39$183.0013.4%3.8%11.1%28.6%14.3%5.5%0.0%2.9M-245.0M-8.6M0.765.8222,40816,983242,070186,960
2016-09-21$182.74$183.0012.0%3.4%11.5%19.4%12.2%4.9%0.2%29.9M-456.4M-8.6M0.858.3626,96622,941247,497191,037
2016-09-22$183.78$183.0010.4%3.0%11.7%9.6%11.9%4.5%0.2%67.0M-697.7M-8.4M0.995.7724,78424,610250,218195,009
2016-09-23$182.46$183.0010.9%3.1%11.9%12.7%11.3%4.6%0.3%-27.0M-395.9M-8.5M0.985.2221,64621,160253,427199,671
2016-09-26$180.83$183.0012.9%3.7%12.3%25.3%13.7%5.5%0.4%-897.1K-126.5M-8.3M1.214.2923,21628,092244,428186,041
2016-09-27$181.99$183.0011.8%3.4%12.4%18.3%13.3%5.0%0.4%15.6M-302.2M-8.4M1.124.3720,08422,458249,515194,056
2016-09-28$183.08$183.0011.1%3.1%12.6%14.0%11.8%5.0%0.4%34.5M-495.3M-8.4M1.124.6917,24319,301251,025198,515
2016-09-29$181.59$183.0012.8%3.7%12.9%24.9%13.4%5.5%0.3%-5.0M-203.7M-8.5M1.044.4024,33725,249251,894202,598
2016-09-30$183.22$183.0011.4%3.2%13.4%16.0%12.2%5.0%0.4%70.1M-542.2M-8.5M1.193.8424,19428,702256,658205,477