DIA Options History — October 2016

In October 2016, DIA traded between $180.77 and $183.15. ATM implied volatility averaged 13.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.0% (HV 20d: 10.0%). Max pain ranged from $182.00 to $184.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-10-14: Highest Volume — 76,091 contracts
  • 2016-10-11: Largest IV spike — 16.0% change
  • 2016-10-31: Highest IV Rank — 35.9%
  • 2016-10-31: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.75$180.77$183.15$182.49$181.29
Max Pain$182.93$182.00$184.00$183.00$182.00
ATM IV13.0%11.8%14.6%11.9%14.6%
Expected Move3.9%3.4%4.8%3.4%4.8%
HV 20d10.0%6.6%13.6%13.3%6.6%
HV 60d9.0%8.7%9.2%8.9%8.9%
IV Rank25.8%18.5%35.9%19.0%35.9%
IV Percentile49.3%29.8%71.4%31.0%71.4%
Term Structure0.1%-1.0%1.5%0.9%-0.1%
VWIV14.1%12.2%18.3%12.9%18.3%
Skew 25d5.4%4.9%6.3%5.3%6.3%
Skew 10d9.8%8.1%12.0%8.7%12.0%
Call IV 25d10.6%9.2%12.2%9.6%12.2%
Put IV 25d16.0%14.1%18.4%14.9%18.4%
Bid-Ask Spread %3.782.515.223.913.55
Gamma HHI0.040.030.060.040.03
Net GEX-2.9M-69.1M46.4M2.5M14.6M
Net DEX-294.0M-561.0M-18.8M-354.8M-352.5M
Net VEX-8.2M-8.5M-7.7M-8.3M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.711.351.110.90
Total Volume49,719.23835,07576,09135,07538,973
Total OI467,269.619419,064527,496425,372431,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$182.49$183.0011.9%3.4%13.3%19.0%12.9%5.3%0.9%2.5M-354.8M-8.3M1.113.9116,62018,455230,681194,691
2016-10-04$181.53$183.0012.6%3.7%13.4%23.6%12.9%5.4%0.8%-12.1M-187.5M-8.3M0.753.7829,61222,349232,354195,931
2016-10-05$182.68$183.0011.8%3.4%13.6%18.6%12.2%5.3%1.2%25.3M-442.9M-8.4M0.712.9626,28418,652246,704199,679
2016-10-06$182.54$184.0011.9%3.7%13.6%19.3%13.8%5.0%1.3%17.0M-394.4M-8.4M0.763.8926,60320,207248,628202,740
2016-10-07$182.38$184.0011.9%3.8%11.8%19.2%13.8%4.9%1.5%-21.2M-371.2M-8.3M0.825.2233,11227,012251,393204,604
2016-10-10$183.15$184.0012.1%3.6%11.2%20.2%13.7%5.4%0.2%46.4M-561.0M-8.3M0.864.2626,11022,388254,147199,173
2016-10-11$181.12$184.0014.0%4.1%10.6%32.2%14.9%5.6%0.1%-14.5M-108.0M-8.4M0.804.3038,95031,157257,729205,324
2016-10-12$181.44$183.0013.9%4.1%10.6%31.5%14.5%5.5%0.3%16.4M-211.2M-8.5M0.744.1825,22518,790270,018214,600
2016-10-13$180.96$183.0014.5%4.2%9.8%35.5%15.3%5.7%0.0%-5.1M-80.6M-8.5M0.794.7634,54727,312271,339216,878
2016-10-14$181.58$183.0013.8%3.9%9.6%31.1%14.0%5.5%-0.2%45.9M-257.2M-8.5M1.264.1733,70442,387276,352222,345
2016-10-17$180.77$183.0014.3%4.1%9.7%33.9%14.7%5.7%-0.7%-69.1M-18.8M-8.3M0.783.8926,24520,593268,562242,183
2016-10-18$181.48$183.0014.0%4.0%9.8%32.0%14.4%5.5%-1.0%-25.0M-213.7M-8.1M0.803.9024,07519,174271,070245,876
2016-10-19$182.16$183.0012.9%3.7%9.5%25.5%13.5%5.2%-0.5%-3.8M-355.6M-8.1M0.723.6525,56618,323273,353250,622
2016-10-20$181.63$183.0012.3%3.5%9.3%21.7%13.1%5.0%-0.1%-21.4M-203.2M-7.9M0.713.9728,53920,212272,600251,847
2016-10-21$181.26$183.0012.4%3.6%9.0%22.5%13.1%5.0%-0.8%-43.8M-84.5M-7.8M1.133.3126,41629,719273,215254,281
2016-10-24$181.99$182.0011.8%3.5%8.5%18.5%12.9%5.1%0.1%20.8M-468.7M-7.7M0.933.2423,60721,958234,082184,982
2016-10-25$181.47$182.0012.2%3.7%8.3%20.6%13.4%5.0%0.1%-2.6M-369.2M-7.8M0.842.5123,25619,652240,514191,917
2016-10-26$181.92$182.0012.3%3.8%8.0%21.6%13.9%5.2%0.0%18.5M-453.0M-7.9M0.923.0524,68022,610244,308192,742
2016-10-27$181.50$182.5013.0%4.0%7.5%25.9%14.9%5.2%-0.0%-6.9M-366.2M-7.9M1.353.0116,14521,747247,080196,491
2016-10-28$181.45$182.0014.1%4.4%6.7%33.0%15.9%5.8%-0.2%-43.9M-320.4M-8.1M1.333.7822,82730,311249,428201,026
2016-10-31$181.29$182.0014.6%4.8%6.6%35.9%18.3%6.3%-0.1%14.6M-352.5M-8.0M0.903.5520,54818,425238,631192,542