DIA Options History — February 2017

In February 2017, DIA traded between $198.57 and $208.19. ATM implied volatility averaged 9.2%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.5% (HV 20d: 6.7%). Max pain ranged from $196.00 to $204.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.27.

Notable Days

  • 2017-02-16: Highest Volume — 127,579 contracts
  • 2017-02-03: Largest IV drop — 11.6% change
  • 2017-02-28: Highest IV Rank — 18.7%
  • 2017-02-28: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.10$198.57$208.19$198.75$207.97
Max Pain$199.21$196.00$204.00$199.00$204.00
ATM IV9.2%8.3%10.3%9.3%10.3%
Expected Move2.8%2.6%3.1%2.8%3.1%
HV 20d6.7%5.9%7.2%6.2%6.1%
HV 60d6.8%6.3%7.8%7.8%6.7%
IV Rank6.9%0.0%18.7%3.3%18.7%
IV Percentile6.7%0.0%28.2%4.4%28.2%
Term Structure0.4%-0.5%0.9%0.4%0.4%
VWIV10.4%9.4%11.7%10.0%11.7%
Skew 25d2.8%2.2%3.5%3.3%2.9%
Skew 10d5.8%3.9%9.1%6.6%5.9%
Call IV 25d8.4%7.6%9.5%8.3%9.5%
Put IV 25d11.2%10.2%12.4%11.6%12.4%
Bid-Ask Spread %8.876.9513.2110.519.13
Gamma HHI0.090.060.120.060.10
Net GEX51.8M-43.6M162.4M-18.4M24.9M
Net DEX-1.62B-2.55B-749.3M-834.7M-1.56B
Net VEX-8.9M-9.9M-7.9M-9.8M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.622.451.210.94
Total Volume73,052.84246,530127,57958,62072,685
Total OI492,157.421446,926542,883465,946481,015

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$198.75$199.009.3%2.8%6.2%3.3%10.0%3.3%0.4%-18.4M-834.7M-9.8M1.2110.5126,55232,068216,877249,069
2017-02-02$198.57$196.009.4%2.9%5.9%4.0%11.4%3.5%0.4%-11.0M-749.3M-9.9M2.458.9318,92046,385219,340255,569
2017-02-03$200.54$196.008.3%2.7%6.8%0.0%10.6%2.8%0.6%28.0M-1.43B-9.6M1.718.9626,90746,004222,235275,533
2017-02-06$200.15$196.008.9%2.8%6.7%3.2%10.1%3.3%0.8%-34.2M-1.11B-9.4M1.906.9516,06230,468211,474272,948
2017-02-07$200.55$196.008.8%2.8%6.5%2.9%10.3%3.1%0.8%-32.7M-1.19B-9.6M1.826.9520,69937,754214,007277,201
2017-02-08$200.57$196.008.8%2.7%6.5%2.6%9.9%3.3%0.8%-43.6M-1.15B-9.5M1.468.0519,55628,545217,364283,702
2017-02-09$201.80$196.008.8%2.7%6.7%2.5%10.2%2.8%0.9%80.4M-1.59B-9.2M1.817.8622,30740,289220,354282,990
2017-02-10$202.75$197.008.7%2.7%6.8%2.2%10.1%2.4%0.9%107.1M-1.90B-9.1M1.209.1430,77036,943223,590289,733
2017-02-13$204.24$197.009.2%2.7%7.1%6.3%9.9%2.5%-0.2%121.8M-2.08B-8.5M1.367.9328,00738,101216,714282,885
2017-02-14$205.07$198.008.8%2.6%6.8%3.6%9.4%2.2%0.0%162.4M-2.31B-7.9M1.428.9026,42637,531221,177294,016
2017-02-15$206.40$199.009.5%2.7%7.0%10.5%10.2%2.2%-0.5%148.6M-2.55B-8.1M1.298.4536,43646,859223,744302,671
2017-02-16$206.39$200.009.4%2.7%6.7%9.9%10.4%2.5%-0.5%146.9M-2.43B-8.7M0.627.0178,63248,947228,089314,794
2017-02-17$205.69$202.009.2%2.6%7.0%7.9%10.0%2.6%0.4%7.3M-1.32B-8.8M0.687.9851,96435,506182,601314,744
2017-02-21$207.20$202.009.3%2.8%7.2%9.4%10.7%2.5%0.4%77.4M-1.65B-8.3M0.839.4851,24142,453176,691270,235
2017-02-22$207.42$202.009.4%2.8%7.1%10.3%10.2%2.6%0.3%68.6M-1.68B-8.6M0.7110.0345,15032,260182,675285,299
2017-02-23$207.78$203.009.4%2.7%6.8%10.3%9.8%2.9%0.2%64.1M-1.75B-8.7M0.7810.2051,79540,588185,750292,680
2017-02-24$207.81$203.009.3%2.7%6.8%9.0%10.8%2.9%0.0%39.9M-1.71B-8.6M1.0013.2139,63639,628190,435302,534
2017-02-27$208.19$203.009.9%2.9%6.8%14.3%11.0%2.8%0.5%46.9M-1.68B-8.6M0.958.8232,70831,222184,229286,027
2017-02-28$207.97$204.0010.3%3.1%6.1%18.7%11.7%2.9%0.4%24.9M-1.56B-9.0M0.949.1337,46235,223186,476294,539