DIA Options History — November 2016

In November 2016, DIA traded between $178.72 and $191.66. ATM implied volatility averaged 12.6%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.4% (HV 20d: 9.2%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-11-10: Highest Volume — 116,707 contracts
  • 2016-11-07: Largest IV drop — 17.9% change
  • 2016-11-04: Highest IV Rank — 57.8%
  • 2016-11-02: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$186.91$178.72$191.66$180.13$191.66
Max Pain$182.52$180.00$185.00$182.00$185.00
ATM IV12.6%10.5%18.1%15.8%10.8%
Expected Move3.8%3.1%5.4%5.4%3.3%
HV 20d9.2%6.3%10.4%6.7%9.3%
HV 60d10.1%8.9%10.4%9.0%10.4%
IV Rank23.5%10.5%57.8%43.6%12.1%
IV Percentile37.8%13.5%87.3%80.2%16.3%
Term Structure0.1%-0.6%1.2%-0.3%0.1%
VWIV13.9%10.7%19.1%19.1%12.4%
Skew 25d4.8%3.1%7.8%6.2%3.8%
Skew 10d9.5%5.4%14.6%12.3%8.0%
Call IV 25d10.7%9.0%14.9%13.1%9.3%
Put IV 25d15.5%12.7%22.8%19.3%13.1%
Bid-Ask Spread %5.133.758.258.253.79
Gamma HHI0.080.030.130.030.10
Net GEX149.1M-44.5M319.0M-7.6M274.0M
Net DEX-1.41B-2.21B101.3M-146.0M-2.07B
Net VEX-8.7M-9.5M-7.7M-8.0M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.331.801.011.00
Total Volume61,83637,245116,70753,77545,097
Total OI524,592.952438,043619,376438,043534,339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$180.13$182.0015.8%5.4%6.7%43.6%19.1%6.2%-0.3%-7.6M-146.0M-8.0M1.018.2526,80426,971242,382195,661
2016-11-02$179.73$182.0015.9%5.4%6.3%43.9%18.9%6.2%-0.2%-9.3M-102.3M-8.1M0.674.3724,98516,631250,375203,325
2016-11-03$178.97$180.0017.4%4.9%6.4%53.0%18.1%7.2%-0.6%-18.2M16.6M-8.2M1.804.0319,97535,891255,642205,336
2016-11-04$178.72$180.0018.1%5.0%6.4%57.8%17.8%7.8%-0.6%-44.5M101.3M-8.2M1.074.9023,72325,462258,528226,849
2016-11-07$182.00$180.0014.9%4.3%9.2%37.7%17.7%6.8%0.1%34.1M-544.7M-8.1M1.074.0326,43128,177251,237220,153
2016-11-08$183.67$180.0013.7%4.0%8.9%30.3%16.3%6.7%0.2%66.8M-847.1M-8.2M1.055.8322,28623,358258,446228,851
2016-11-09$185.99$180.0011.9%3.6%9.8%19.1%14.2%5.3%0.7%139.3M-1.46B-7.7M1.085.8943,70447,277263,093234,932
2016-11-10$188.19$180.0011.7%3.6%10.4%17.7%12.8%4.6%0.8%168.8M-1.98B-8.1M1.145.1954,64462,063271,641249,791
2016-11-11$188.49$182.0011.6%3.6%10.3%17.4%12.2%4.5%1.2%69.3M-1.94B-8.7M0.955.3044,48242,405291,482275,259
2016-11-14$188.49$182.0012.3%3.6%10.1%21.6%12.5%4.6%-0.3%173.7M-1.81B-8.8M0.783.8848,92338,087297,484263,533
2016-11-15$189.14$182.0011.8%3.4%10.1%18.2%11.6%4.0%0.0%189.4M-2.02B-9.1M0.666.0648,31731,852311,791275,133
2016-11-16$188.97$182.0011.8%3.4%10.1%18.5%14.2%3.9%-0.2%203.4M-1.99B-9.3M0.774.8634,33726,592329,122283,018
2016-11-17$189.25$183.0011.4%3.3%10.0%16.1%12.3%3.1%0.1%276.1M-2.21B-9.3M0.646.1041,70126,584335,747283,629
2016-11-18$188.60$184.0011.3%3.2%10.1%15.1%12.1%3.7%0.2%94.6M-1.36B-9.5M0.954.1925,23023,992303,577288,393
2016-11-21$189.21$184.0010.8%3.1%10.0%12.4%11.9%3.7%0.1%194.4M-1.53B-9.0M1.035.0921,28921,926292,458219,178
2016-11-22$190.17$185.0010.5%3.1%9.9%10.7%11.0%3.7%0.2%252.2M-1.80B-9.2M0.804.0825,69720,484295,724223,478
2016-11-23$190.63$185.0010.6%3.1%9.9%11.0%11.6%3.6%0.2%276.0M-1.96B-9.3M0.793.7524,72319,562300,714227,951
2016-11-25$191.30$185.0010.5%3.1%9.8%10.5%10.7%3.5%0.3%319.0M-2.18B-9.1M0.336.4764,42721,508303,744231,976
2016-11-28$190.74$185.0011.1%3.4%9.9%13.8%10.8%3.8%0.1%225.5M-1.77B-9.0M0.444.8838,61817,096289,193215,051
2016-11-29$191.07$185.0010.8%3.3%9.9%12.2%12.8%3.9%0.1%253.2M-1.91B-9.1M0.846.8920,20717,038310,270217,966
2016-11-30$191.66$185.0010.8%3.3%9.3%12.1%12.4%3.8%0.1%274.0M-2.07B-9.0M1.003.7922,56322,534313,292221,047