DIA Options History — May 2017

In May 2017, DIA traded between $206.77 and $210.71. ATM implied volatility averaged 8.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.9% (HV 20d: 7.5%). Max pain ranged from $202.00 to $207.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-05-18: Highest Volume — 113,204 contracts
  • 2017-05-17: Largest IV spike — 35.5% change
  • 2017-05-17: Highest IV Rank — 30.1%
  • 2017-05-17: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$209.27$206.77$210.71$209.25$209.98
Max Pain$205.80$202.00$207.00$206.50$207.00
ATM IV8.4%7.4%10.9%8.0%8.3%
Expected Move2.5%2.1%3.1%2.4%2.4%
HV 20d7.5%6.4%9.1%7.7%6.7%
HV 60d7.2%6.8%7.6%7.6%6.8%
IV Rank7.1%0.0%30.1%0.0%7.7%
IV Percentile8.1%0.0%57.1%0.0%6.7%
Term Structure0.3%-0.3%1.2%0.3%0.1%
VWIV9.6%7.9%14.7%8.9%9.9%
Skew 25d3.4%2.5%4.9%3.0%3.9%
Skew 10d7.0%5.0%10.9%6.6%8.1%
Call IV 25d7.3%6.5%9.4%7.0%7.0%
Put IV 25d10.6%9.5%14.3%10.0%11.0%
Bid-Ask Spread %7.936.8510.118.777.79
Gamma HHI0.090.060.190.100.07
Net GEX100.4M-51.5M188.2M114.2M80.8M
Net DEX-1.31B-1.56B-722.7M-1.37B-1.28B
Net VEX-7.1M-7.5M-6.8M-7.3M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.471.591.290.85
Total Volume53,420.18236,024113,20449,41436,399
Total OI429,733.955393,722477,618411,813406,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$209.25$206.508.0%2.4%7.7%0.0%8.9%3.0%0.3%114.2M-1.37B-7.3M1.298.7721,55727,857244,961166,852
2017-05-02$209.02$207.008.1%2.5%7.6%1.1%9.4%2.9%0.3%100.6M-1.33B-7.3M0.958.3724,53623,210247,301170,491
2017-05-03$209.30$207.008.3%2.5%7.6%3.3%9.1%3.1%0.1%113.8M-1.39B-7.3M0.8210.1127,94222,887250,857172,666
2017-05-04$209.16$202.008.2%2.6%7.6%1.7%9.2%2.9%0.2%127.0M-1.39B-7.4M0.947.2628,02026,477258,380172,619
2017-05-05$209.57$204.008.0%2.6%7.6%0.5%9.6%3.2%0.3%188.2M-1.46B-7.4M1.117.0929,89533,170262,153176,654
2017-05-08$209.73$204.007.4%2.4%7.6%0.0%8.9%2.6%0.8%128.7M-1.51B-6.8M1.077.8423,81225,595253,101174,570
2017-05-09$209.39$205.007.9%2.5%7.7%3.8%9.1%2.5%0.8%121.1M-1.45B-7.1M1.096.8522,86524,886257,875177,123
2017-05-10$209.45$205.007.9%2.5%7.6%3.9%9.1%2.7%1.0%94.6M-1.42B-6.9M1.047.1825,19626,085258,588179,336
2017-05-11$209.29$205.008.1%2.6%7.6%6.1%9.4%3.6%1.0%74.2M-1.33B-7.1M1.038.1228,96629,925261,602181,887
2017-05-12$208.92$205.008.1%2.5%7.4%5.6%9.4%3.2%1.2%74.7M-1.26B-7.0M1.097.9926,24428,608262,768183,994
2017-05-15$209.90$205.008.1%2.4%7.5%6.0%10.5%3.0%-0.1%135.8M-1.49B-6.9M0.767.1527,85721,197259,390183,913
2017-05-16$209.92$205.008.1%2.3%7.6%5.6%8.8%3.1%0.0%138.3M-1.49B-7.1M1.387.0316,19622,415262,409186,002
2017-05-17$206.77$205.0010.9%3.1%9.1%30.1%14.7%4.9%0.1%-51.5M-722.7M-7.2M1.518.1133,24550,200264,508188,958
2017-05-18$207.29$206.0010.7%3.1%8.2%27.9%12.2%4.7%-0.3%-2.6M-833.4M-7.5M0.478.8877,19236,012273,375199,841
2017-05-19$207.67$207.009.7%2.7%8.2%19.2%11.5%4.5%0.3%54.5M-904.6M-7.4M1.138.0032,89137,209270,499207,119
2017-05-22$208.69$207.008.8%2.5%7.6%11.5%9.1%3.8%0.0%90.3M-1.14B-7.1M1.337.0018,53124,620218,211175,511
2017-05-23$209.03$207.008.6%2.4%6.4%10.0%9.1%3.6%0.2%106.5M-1.22B-7.1M1.498.0217,67026,384222,958180,703
2017-05-24$209.87$207.007.8%2.2%6.6%3.7%7.9%3.4%0.3%139.4M-1.40B-7.1M1.407.5615,65821,953227,165184,879
2017-05-25$210.71$207.007.7%2.2%6.7%2.1%8.1%2.8%0.3%146.9M-1.56B-7.1M1.069.0925,43426,946226,711185,814
2017-05-26$210.56$207.007.4%2.1%6.6%0.0%8.1%3.0%0.3%137.1M-1.53B-7.1M1.198.7519,89023,588228,293189,812
2017-05-30$210.39$207.008.1%2.4%6.6%6.0%9.2%3.6%0.2%96.3M-1.34B-6.9M1.597.5513,88622,138221,391176,683
2017-05-31$209.98$207.008.3%2.4%6.7%7.7%9.9%3.9%0.1%80.8M-1.28B-7.1M0.857.7919,62216,777225,875180,349