DIA Options History — December 2016

In December 2016, DIA traded between $191.70 and $199.42. ATM implied volatility averaged 10.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.5% (HV 20d: 7.2%). Max pain ranged from $185.00 to $195.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-12-07: Highest Volume — 137,457 contracts
  • 2016-12-05: Largest IV drop — 8.6% change
  • 2016-12-30: Highest IV Rank — 20.7%
  • 2016-12-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.03$191.70$199.42$191.77$197.13
Max Pain$190.33$185.00$195.00$185.00$195.00
ATM IV10.6%9.8%12.2%11.2%12.2%
Expected Move3.1%2.9%3.6%3.6%3.4%
HV 20d7.2%6.3%9.1%9.1%7.6%
HV 60d8.9%8.1%10.4%10.4%8.1%
IV Rank11.3%5.9%20.7%15.0%20.7%
IV Percentile18.0%5.2%48.4%22.6%48.4%
Term Structure0.4%0.2%0.6%0.2%0.3%
VWIV11.4%10.2%13.4%13.4%12.0%
Skew 25d3.1%2.5%4.2%4.2%4.2%
Skew 10d6.0%4.4%8.8%8.7%8.2%
Call IV 25d9.6%8.7%10.5%9.7%10.5%
Put IV 25d12.7%11.8%14.7%13.9%14.7%
Bid-Ask Spread %5.822.0011.833.734.19
Gamma HHI0.130.090.180.100.09
Net GEX186.4M-44.3M356.7M259.8M-44.3M
Net DEX-2.19B-3.60B-846.1M-2.04B-846.1M
Net VEX-8.9M-9.6M-8.4M-9.0M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.371.441.291.44
Total Volume68,51437,017137,45753,23066,087
Total OI544,716.19474,999650,621534,659505,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$191.77$185.0011.2%3.6%9.1%15.0%13.4%4.2%0.2%259.8M-2.04B-9.0M1.293.7323,29129,939313,413221,246
2016-12-02$191.70$186.0011.1%3.4%8.8%13.8%12.7%4.1%0.2%201.1M-1.93B-9.1M1.145.0121,73124,815316,730233,373
2016-12-05$192.16$185.0010.1%3.1%8.6%7.9%11.8%3.6%0.5%295.7M-2.04B-8.6M1.145.8622,41425,509313,960221,294
2016-12-06$192.36$186.009.8%3.1%6.7%5.9%12.1%3.4%0.4%293.8M-2.05B-8.6M1.035.4818,26318,754317,370229,424
2016-12-07$195.38$186.0010.3%3.2%7.8%8.9%11.2%3.1%0.3%356.7M-3.08B-8.4M0.537.7489,82047,637320,832231,891
2016-12-08$196.34$187.0010.7%3.3%7.0%11.6%11.9%3.0%0.3%350.2M-3.48B-8.9M0.9911.8055,14854,487340,232254,922
2016-12-09$197.58$188.0010.3%3.1%6.3%8.9%11.8%2.6%0.4%276.6M-3.32B-9.0M0.6411.8352,99033,908317,017282,829
2016-12-12$198.03$189.0011.0%3.3%6.3%13.4%11.6%3.1%0.3%260.7M-3.18B-9.0M0.598.1044,20626,040310,735274,882
2016-12-13$199.42$189.0011.2%3.4%6.4%14.4%12.0%2.5%0.6%260.1M-3.60B-8.9M0.407.4586,88834,579324,551283,874
2016-12-14$198.56$189.0011.1%3.2%6.9%13.9%11.8%2.9%0.2%265.5M-3.31B-9.6M0.7111.4555,88439,790337,022296,555
2016-12-15$198.78$190.0010.5%3.1%6.8%10.7%11.2%2.6%0.3%254.7M-3.17B-9.4M0.376.7477,07028,372343,112307,509
2016-12-16$198.17$191.0010.4%3.1%7.1%10.0%10.9%2.7%0.3%48.1M-1.55B-9.3M0.727.8544,43031,836274,381314,409
2016-12-19$198.48$192.0010.0%2.9%6.8%7.4%10.2%2.7%0.4%114.1M-1.54B-8.9M0.803.8728,75323,057234,268240,731
2016-12-20$199.31$192.0010.0%2.9%6.8%7.5%10.2%2.5%0.4%154.0M-1.79B-8.6M0.734.7036,33726,648239,360245,244
2016-12-21$199.30$194.0010.1%2.9%6.8%7.8%10.6%2.5%0.4%152.9M-1.79B-8.8M0.833.1023,99819,945245,614253,176
2016-12-22$198.91$194.0010.2%2.9%6.9%8.5%10.4%2.6%0.4%129.1M-1.66B-8.8M0.863.6424,02220,771248,785255,984
2016-12-23$198.97$194.0010.2%2.9%7.0%8.8%10.7%2.8%0.5%176.1M-1.62B-9.0M1.092.9019,55421,321251,419260,289
2016-12-27$199.27$195.0010.5%2.9%6.7%10.3%10.7%3.1%0.4%103.7M-1.64B-8.6M0.872.4421,75418,999238,037245,729
2016-12-28$198.10$195.0011.2%3.1%7.3%14.9%10.8%3.5%0.3%36.5M-1.25B-8.9M1.012.2926,07626,269242,361250,001
2016-12-29$197.95$195.0011.6%3.2%7.3%17.1%11.5%3.8%0.4%-31.1M-1.11B-9.2M1.162.0021,93125,471244,241256,554
2016-12-30$197.13$195.0012.2%3.4%7.6%20.7%12.0%4.2%0.3%-44.3M-846.1M-9.2M1.444.1927,11738,970244,903260,781