DIA Options History — June 2017

In June 2017, DIA traded between $211.18 and $214.92. ATM implied volatility averaged 8.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.5% (HV 20d: 5.7%). Max pain ranged from $207.00 to $211.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-06-29: Highest Volume — 91,008 contracts
  • 2017-06-27: Largest IV spike — 23.3% change
  • 2017-06-27: Highest IV Rank — 15.1%
  • 2017-06-06: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.07$211.18$214.92$211.18$213.83
Max Pain$210.05$207.00$211.00$207.00$211.00
ATM IV8.2%7.4%9.2%7.8%7.6%
Expected Move2.4%2.2%2.6%2.3%2.3%
HV 20d5.7%3.9%7.1%6.9%5.5%
HV 60d6.6%6.3%6.9%6.8%6.7%
IV Rank7.0%0.3%15.1%3.8%2.1%
IV Percentile9.1%0.8%27.8%1.2%2.0%
Term Structure0.0%-0.5%0.8%0.1%0.2%
VWIV9.2%7.7%9.9%7.7%9.3%
Skew 25d3.5%2.8%4.3%3.2%3.6%
Skew 10d7.2%5.0%9.2%7.4%7.0%
Call IV 25d7.0%6.6%7.5%6.7%6.9%
Put IV 25d10.5%9.4%11.6%10.0%10.4%
Bid-Ask Spread %9.266.4312.377.5911.60
Gamma HHI0.130.080.290.090.16
Net GEX140.0M16.9M282.5M139.5M158.6M
Net DEX-1.59B-2.09B-1.14B-1.54B-1.56B
Net VEX-7.6M-7.9M-7.0M-7.0M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.491.620.570.89
Total Volume49,891.95530,76091,00868,68962,558
Total OI413,312.591351,149467,995414,477410,790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$211.18$207.007.8%2.3%6.9%3.8%7.7%3.2%0.1%139.5M-1.54B-7.0M0.577.5943,85124,838229,502184,975
2017-06-02$211.95$208.007.5%2.3%7.0%1.2%8.7%2.8%0.3%244.0M-1.80B-7.6M0.726.4333,21323,882249,682194,370
2017-06-05$211.92$209.007.7%2.4%7.0%2.5%9.5%3.4%0.0%172.3M-1.65B-7.8M0.678.6323,17615,492246,489189,370
2017-06-06$211.46$209.008.3%2.6%7.1%7.9%9.9%3.2%0.0%151.4M-1.60B-7.9M1.059.2915,00815,752254,452191,398
2017-06-07$211.92$210.008.2%2.5%7.1%7.1%9.7%3.1%-0.0%161.1M-1.67B-7.8M1.299.3914,64618,966255,760191,659
2017-06-08$211.81$210.008.0%2.4%7.1%5.1%9.1%3.1%-0.0%174.2M-1.68B-7.7M0.988.6619,77819,439255,700194,844
2017-06-09$212.31$210.008.2%2.6%7.1%7.1%9.6%3.9%0.3%212.6M-1.74B-7.7M1.3311.4922,97630,612258,065197,570
2017-06-12$212.11$210.008.4%2.6%7.0%8.4%9.3%4.1%0.6%133.8M-1.60B-7.7M0.949.5121,11919,940252,645193,785
2017-06-13$213.27$210.008.2%2.4%7.1%6.8%9.2%3.6%0.2%214.5M-1.89B-7.4M0.749.6727,03620,082254,435195,460
2017-06-14$213.67$210.008.5%2.3%7.1%9.5%8.9%4.3%-0.4%282.5M-2.09B-7.6M1.3910.7019,55727,169261,143200,267
2017-06-15$213.60$210.008.6%2.4%3.9%10.5%9.2%3.5%-0.3%268.9M-1.97B-7.5M0.498.8754,47326,928260,969207,026
2017-06-16$213.41$210.008.5%2.5%4.0%9.3%9.2%3.9%0.2%176.1M-1.47B-7.5M0.959.5326,09624,675240,355210,736
2017-06-19$214.92$210.007.8%2.3%4.5%3.8%9.0%3.3%0.0%107.1M-1.65B-7.7M1.399.1622,04030,602201,829149,320
2017-06-20$214.46$210.008.8%2.5%4.5%11.5%9.7%3.3%-0.5%90.1M-1.55B-7.8M1.588.8518,50129,163205,951156,144
2017-06-21$213.90$211.008.7%2.5%4.7%10.9%9.2%3.5%-0.5%45.0M-1.38B-7.7M1.478.5717,55325,843208,312162,107
2017-06-22$213.86$211.008.3%2.4%4.6%7.6%9.5%3.3%-0.4%49.3M-1.38B-7.6M1.477.7416,68024,595209,245162,719
2017-06-23$213.52$211.008.1%2.2%4.5%6.0%8.5%3.3%0.8%34.5M-1.31B-7.6M1.219.2522,34326,998211,102164,581
2017-06-26$214.03$211.007.4%2.2%4.6%0.3%8.3%3.5%0.2%87.5M-1.46B-7.4M1.448.2215,28621,940210,957152,965
2017-06-27$213.26$211.009.2%2.6%4.8%15.1%9.7%3.8%0.1%61.7M-1.29B-7.5M1.6210.0715,21624,700212,269155,382
2017-06-28$214.30$211.007.6%2.3%4.9%1.8%8.7%3.4%0.2%98.5M-1.52B-7.3M1.468.0917,80926,084214,450157,956
2017-06-29$212.77$211.009.0%2.6%5.4%15.1%9.8%4.1%0.0%16.9M-1.14B-7.4M0.8312.3749,84241,166215,530160,611
2017-06-30$213.83$211.007.6%2.3%5.5%2.1%9.3%3.6%0.2%158.6M-1.56B-7.5M0.8911.6033,07629,482245,765165,025