DIA Options History — March 2017

In March 2017, DIA traded between $205.36 and $211.38. ATM implied volatility averaged 9.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.8% (HV 20d: 7.7%). Max pain ranged from $204.00 to $209.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-03-01: Highest Volume — 136,519 contracts
  • 2017-03-21: Largest IV spike — 20.5% change
  • 2017-03-23: Highest IV Rank — 22.6%
  • 2017-03-23: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.18$205.36$211.38$211.38$206.70
Max Pain$206.24$204.00$209.00$204.00$207.00
ATM IV9.5%8.5%10.8%10.1%9.5%
Expected Move2.7%2.4%3.1%3.0%2.4%
HV 20d7.7%6.0%8.7%7.4%6.0%
HV 60d7.1%6.7%7.5%7.3%7.1%
IV Rank10.7%1.0%22.6%16.4%10.9%
IV Percentile15.2%0.4%42.5%21.8%17.5%
Term Structure0.2%-0.4%0.6%-0.2%0.3%
VWIV10.1%8.9%11.6%10.9%8.9%
Skew 25d3.0%2.0%3.9%2.2%3.4%
Skew 10d6.3%3.8%8.4%4.4%7.7%
Call IV 25d8.4%7.5%9.4%9.4%8.4%
Put IV 25d11.4%10.3%12.9%11.6%11.8%
Bid-Ask Spread %8.755.7513.168.378.19
Gamma HHI0.140.060.280.120.10
Net GEX40.2M-109.2M154.7M83.9M19.8M
Net DEX-1.33B-2.32B-495.1M-2.32B-903.1M
Net VEX-8.7M-9.5M-7.9M-8.3M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.532.190.740.98
Total Volume76,428.34855,521136,519136,51955,521
Total OI521,607.783425,802607,933494,612497,179

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$211.38$204.0010.1%3.0%7.4%16.4%10.9%2.2%-0.2%83.9M-2.32B-8.3M0.748.3778,41358,106194,050300,562
2017-03-02$210.09$205.009.7%2.8%8.1%12.9%10.1%2.2%0.4%22.1M-1.96B-8.8M0.836.5050,53141,733216,500317,528
2017-03-03$209.87$205.009.2%2.6%8.1%7.5%9.2%2.0%0.4%-45.1M-1.93B-8.8M0.665.7557,52337,690224,960322,234
2017-03-06$209.73$205.009.1%2.8%7.8%7.0%10.3%2.2%0.2%49.9M-1.80B-8.5M0.5313.1667,51036,059221,913308,214
2017-03-07$209.05$205.009.0%2.7%7.9%6.0%9.7%2.4%0.5%78.0M-1.71B-9.0M0.6210.7548,76230,154245,174312,852
2017-03-08$208.63$205.009.8%2.7%8.0%13.2%10.4%2.8%-0.3%70.8M-1.56B-9.3M0.7210.5143,93331,579261,000315,724
2017-03-09$208.75$205.0010.0%2.8%8.0%15.8%10.0%3.2%-0.4%87.0M-1.63B-9.5M0.7710.5642,98432,924267,914315,384
2017-03-10$209.03$205.009.0%2.8%7.9%5.9%9.5%3.5%0.5%154.7M-1.73B-9.2M0.979.3149,50047,925274,184317,113
2017-03-13$209.03$205.009.1%2.7%7.8%7.2%10.5%3.2%0.3%99.2M-1.69B-9.0M0.928.3336,78933,884264,912320,986
2017-03-14$208.55$205.009.5%2.8%7.6%10.5%10.7%3.3%0.3%73.2M-1.53B-9.3M1.007.8336,75636,602269,647327,880
2017-03-15$209.75$205.008.8%2.6%7.7%4.6%10.2%2.8%0.3%142.2M-1.89B-9.2M1.0112.6135,19635,579273,031334,902
2017-03-16$209.37$206.008.7%2.6%7.5%3.5%9.3%2.6%0.3%124.2M-1.80B-8.9M0.548.5363,49034,169271,437335,337
2017-03-17$208.99$208.008.5%2.5%7.6%1.0%9.1%3.0%0.4%-109.2M-1.18B-8.8M1.559.4926,69241,435255,974338,552
2017-03-20$208.94$208.008.5%2.5%7.4%1.5%9.0%2.8%0.6%69.4M-1.24B-8.5M1.637.5421,99935,769219,514206,288
2017-03-21$206.42$208.0010.2%2.9%8.3%17.8%10.5%3.6%0.1%1.9M-696.8M-8.5M1.708.9326,20244,434222,226209,010
2017-03-22$206.36$209.0010.3%3.0%8.3%18.5%10.5%3.6%0.1%-2.5M-661.8M-8.6M1.016.8031,38731,678224,923213,551
2017-03-23$206.16$208.0010.8%3.1%8.3%22.6%11.1%3.8%0.1%-5.4M-657.5M-8.7M1.106.3731,16934,210234,516215,685
2017-03-24$205.81$207.5010.3%3.0%8.3%18.8%10.4%3.9%0.2%-31.2M-558.7M-8.6M1.499.0025,18637,519240,888222,826
2017-03-27$205.36$207.0010.4%2.9%8.2%19.1%10.3%3.7%-0.0%-18.1M-495.1M-8.2M1.609.1324,01138,494237,900219,747
2017-03-28$206.83$207.009.3%2.6%8.7%9.3%9.4%2.7%-0.1%22.5M-891.8M-8.1M1.267.3825,00631,573241,527223,662
2017-03-29$206.35$207.009.3%2.5%6.1%8.7%11.3%2.7%-0.4%960.7K-777.4M-8.0M2.197.8820,35544,658244,574226,616
2017-03-30$206.96$207.009.1%2.4%6.0%7.1%11.6%3.0%0.5%36.1M-866.8M-8.1M1.358.2126,71436,049246,162242,221
2017-03-31$206.70$207.009.5%2.4%6.0%10.9%8.9%3.4%0.3%19.8M-903.1M-7.9M0.988.1928,06027,461252,992244,187