DIA Options History — January 2017

In January 2017, DIA traded between $197.20 and $200.71. ATM implied volatility averaged 10.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 3.8% (HV 20d: 6.2%). Max pain ranged from $195.00 to $199.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-01-19: Highest Volume — 123,557 contracts
  • 2017-01-20: Largest IV drop — 12.7% change
  • 2017-01-03: Highest IV Rank — 14.9%
  • 2017-01-05: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.87$197.20$200.71$198.26$198.35
Max Pain$198.05$195.00$199.00$195.00$199.00
ATM IV10.0%8.8%11.2%11.2%9.8%
Expected Move2.9%2.5%3.2%3.0%2.9%
HV 20d6.2%5.3%8.0%7.7%6.5%
HV 60d7.9%7.7%8.2%8.1%7.9%
IV Rank7.0%0.0%14.9%14.9%6.6%
IV Percentile11.3%0.0%29.8%29.8%9.1%
Term Structure0.2%-0.3%0.8%0.1%0.3%
VWIV10.8%9.4%12.0%11.2%10.6%
Skew 25d3.2%2.4%3.8%3.8%3.7%
Skew 10d6.4%4.4%9.3%7.3%7.9%
Call IV 25d8.9%7.9%10.0%10.0%8.8%
Put IV 25d12.1%10.3%13.8%13.8%12.5%
Bid-Ask Spread %6.872.779.394.199.20
Gamma HHI0.080.060.140.070.06
Net GEX-2.4M-175.7M133.8M17.6M-51.9M
Net DEX-1.13B-1.65B-404.1M-1.18B-651.1M
Net VEX-8.7M-9.4M-8.1M-8.6M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.672.741.241.29
Total Volume74,220.4548,113123,55763,77858,922
Total OI499,924.65421,715576,619468,464458,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$198.26$195.0011.2%3.0%7.7%14.9%11.2%3.8%0.1%17.6M-1.18B-8.6M1.244.1928,43735,341229,515238,949
2017-01-04$199.29$195.0010.2%2.7%7.8%8.6%9.9%3.3%0.4%32.2M-1.50B-8.2M1.062.7726,02827,654236,378251,603
2017-01-05$198.76$198.0010.3%3.2%8.0%9.3%11.9%3.2%0.3%-6.2M-1.26B-8.5M1.223.3623,75628,984240,756258,614
2017-01-06$199.74$198.0010.3%3.1%6.2%8.8%11.4%2.8%0.2%133.8M-1.65B-8.6M0.893.3539,18434,730247,286266,730
2017-01-09$198.92$199.0010.3%3.1%6.3%8.9%12.0%3.2%0.6%5.6M-1.29B-8.4M0.673.9828,81219,301235,222260,977
2017-01-10$198.67$199.0010.4%3.1%6.0%9.6%11.4%3.1%0.3%15.0M-1.27B-8.4M0.814.9030,31724,482245,600265,256
2017-01-11$199.26$199.0010.0%3.1%6.0%7.4%11.6%3.1%0.8%66.5M-1.48B-8.5M1.074.7033,56735,785254,383273,385
2017-01-12$198.76$199.0010.2%3.1%5.5%8.2%11.4%3.3%0.6%28.7M-1.23B-8.6M1.107.8031,50034,592259,585282,851
2017-01-13$198.83$198.009.9%2.9%5.3%6.6%11.0%3.1%0.6%16.5M-1.28B-8.5M1.168.4835,90841,694266,167290,955
2017-01-17$197.94$198.0010.5%3.0%5.5%10.3%11.7%3.7%-0.2%-59.1M-901.2M-8.1M1.308.7631,59741,209258,233283,147
2017-01-18$197.95$198.0010.5%3.0%5.4%10.1%11.3%3.5%-0.2%-52.3M-913.3M-8.5M1.238.4530,04837,017266,333290,758
2017-01-19$197.20$198.0010.9%3.1%5.6%12.9%11.6%3.8%-0.3%-86.2M-632.8M-8.6M2.749.3933,06290,495273,074293,602
2017-01-20$197.82$198.009.5%2.7%5.5%4.3%10.0%3.5%-0.1%-175.7M-404.1M-9.2M1.968.5937,84974,101256,638319,981
2017-01-23$197.83$198.009.5%2.8%5.5%4.2%10.6%3.8%0.2%-24.8M-590.7M-8.9M2.698.1520,85856,118188,300233,415
2017-01-24$198.94$198.009.1%2.7%5.8%1.9%10.1%3.1%0.2%17.9M-936.7M-8.9M2.006.6429,78759,574192,353241,161
2017-01-25$200.43$198.008.9%2.6%6.4%0.7%9.5%2.4%0.2%88.9M-1.48B-8.5M1.949.2735,40668,818200,675246,171
2017-01-26$200.71$198.009.1%2.6%6.4%1.8%9.4%2.4%0.2%26.5M-1.50B-8.8M1.978.3722,53244,282206,320261,391
2017-01-27$200.52$199.008.8%2.5%6.0%0.0%9.4%2.4%0.2%6.1M-1.50B-8.9M1.428.0128,74840,874210,915268,077
2017-01-30$199.22$199.009.6%2.8%6.5%5.2%10.1%3.5%0.4%-46.9M-844.9M-9.1M1.659.0531,36151,679201,172244,034
2017-01-31$198.35$199.009.8%2.9%6.5%6.6%10.6%3.7%0.3%-51.9M-651.1M-9.4M1.299.2025,68833,234210,323248,208