DIA Options History — April 2017

In April 2017, DIA traded between $203.66 and $209.85. ATM implied volatility averaged 10.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.3% (HV 20d: 6.3%). Max pain ranged from $205.00 to $207.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-04-25: Highest Volume — 75,020 contracts
  • 2017-04-24: Largest IV drop — 27.2% change
  • 2017-04-17: Highest IV Rank — 42.2%
  • 2017-04-17: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$206.64$203.66$209.85$206.30$209.00
Max Pain$206.03$205.00$207.00$207.00$206.50
ATM IV10.5%8.2%12.9%9.9%8.2%
Expected Move3.0%2.4%3.7%2.6%2.4%
HV 20d6.3%4.4%8.0%6.0%7.7%
HV 60d7.2%6.9%7.8%7.1%7.6%
IV Rank20.8%0.0%42.2%14.5%0.0%
IV Percentile40.1%0.0%80.2%23.4%0.0%
Term Structure-0.0%-0.6%0.5%0.3%0.2%
VWIV11.0%7.7%15.0%9.7%7.7%
Skew 25d4.3%2.1%5.9%3.6%3.4%
Skew 10d8.9%4.6%12.6%8.5%6.2%
Call IV 25d8.9%7.0%10.7%8.6%7.0%
Put IV 25d13.2%10.0%16.1%12.2%10.4%
Bid-Ask Spread %9.897.2812.8812.4311.69
Gamma HHI0.080.050.130.080.13
Net GEX-4.7M-117.3M126.2M4.7M17.9M
Net DEX-848.7M-1.60B-220.7M-771.4M-1.35B
Net VEX-7.6M-8.1M-6.7M-8.1M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.641.361.210.64
Total Volume59,263.73742,48975,02054,41773,277
Total OI437,762.316377,528472,021436,074416,293

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$206.30$207.009.9%2.6%6.0%14.5%9.7%3.6%0.3%4.7M-771.4M-8.1M1.2112.4324,60029,817236,341199,733
2017-04-04$206.63$207.009.6%2.4%6.0%11.6%9.3%4.0%0.4%11.5M-853.1M-7.9M1.318.6720,47426,921239,662203,075
2017-04-05$206.55$207.009.9%2.6%6.0%14.7%9.4%4.0%0.5%9.2M-819.8M-8.0M0.9211.7136,39633,429240,955205,259
2017-04-06$206.50$206.0010.0%3.1%6.0%15.9%10.6%4.0%0.5%-23.4M-753.4M-7.9M1.018.2327,06127,279241,492209,064
2017-04-07$206.46$206.0010.4%3.2%5.9%19.2%11.0%4.1%0.4%-13.0M-785.6M-7.9M1.309.4927,07735,146247,592210,297
2017-04-10$206.43$206.0011.0%3.3%5.9%25.1%11.2%5.1%0.1%-10.8M-778.6M-7.9M1.0510.0126,77228,056234,293204,828
2017-04-11$206.10$206.0012.0%3.5%5.9%34.6%13.8%5.9%-0.0%-42.6M-647.2M-8.0M1.277.2827,62334,951240,853208,620
2017-04-12$205.58$206.0012.8%3.5%5.5%41.4%13.9%5.7%-0.5%-58.5M-548.7M-7.9M1.167.3423,04726,832241,481209,603
2017-04-13$204.82$206.0012.7%3.6%5.5%40.6%12.7%5.8%-0.1%-95.1M-332.8M-7.8M1.187.8128,33033,427243,084210,669
2017-04-17$204.99$206.0012.9%3.7%5.6%42.2%15.0%5.6%-0.3%-74.0M-508.4M-7.5M1.2110.6019,25823,231239,143203,506
2017-04-18$205.13$206.0012.2%3.5%5.6%35.8%12.0%5.4%-0.5%-71.9M-520.5M-7.4M1.208.4031,71438,086242,800212,184
2017-04-19$203.66$206.0012.6%3.6%4.4%39.6%12.2%5.3%-0.2%-117.3M-220.7M-7.2M1.277.4927,19534,588247,755213,285
2017-04-20$205.99$205.0010.9%3.1%6.2%23.6%10.9%4.6%-0.3%-5.8M-785.0M-7.4M1.349.3427,12736,379253,269218,752
2017-04-21$205.47$205.0011.9%3.5%6.2%33.0%11.9%5.1%-0.6%-45.3M-656.2M-7.4M1.1910.9326,76831,848249,982218,463
2017-04-24$207.50$205.008.6%2.5%7.1%2.8%10.4%3.3%-0.1%74.4M-1.17B-6.7M1.3612.5824,54933,509214,597162,931
2017-04-25$209.85$206.008.3%2.5%8.0%0.1%9.0%2.5%-0.1%126.2M-1.60B-7.0M0.8810.7239,84535,175219,314167,352
2017-04-26$209.62$206.008.3%2.5%7.7%0.0%9.1%2.1%-0.1%120.1M-1.55B-7.2M1.1212.8825,90929,109227,231176,064
2017-04-27$209.55$206.008.2%2.5%7.6%0.0%8.9%2.7%-0.1%104.1M-1.46B-7.1M1.0810.3124,56426,642227,829179,833
2017-04-28$209.00$206.508.2%2.4%7.7%0.0%7.7%3.4%0.2%17.9M-1.35B-7.4M0.6411.6944,78828,489234,098182,195