DIA Options History — July 2017

In July 2017, DIA traded between $213.06 and $219.00. ATM implied volatility averaged 7.8%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.6% (HV 20d: 6.2%). Max pain ranged from $211.00 to $215.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-07-03: Highest Volume — 77,334 contracts
  • 2017-07-06: Largest IV spike — 23.1% change
  • 2017-07-06: Highest IV Rank — 25.8%
  • 2017-07-06: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$215.68$213.06$219.00$214.49$219.00
Max Pain$213.65$211.00$215.00$211.00$215.00
ATM IV7.8%6.8%10.2%8.4%7.2%
Expected Move2.3%2.0%2.9%2.6%2.1%
HV 20d6.2%5.4%6.6%5.6%5.4%
HV 60d6.4%5.8%6.9%6.7%5.9%
IV Rank6.3%0.0%25.8%9.0%3.7%
IV Percentile6.6%0.0%51.2%14.3%0.8%
Term Structure0.3%-0.3%1.0%0.2%0.1%
VWIV8.9%7.3%10.8%10.8%8.2%
Skew 25d3.5%2.9%4.7%3.8%3.7%
Skew 10d7.2%5.8%10.0%7.6%7.4%
Call IV 25d6.7%6.1%8.1%7.2%6.2%
Put IV 25d10.2%9.1%12.8%11.0%9.9%
Bid-Ask Spread %9.977.9212.359.428.91
Gamma HHI0.100.060.140.140.10
Net GEX111.1M11.3M162.0M155.5M138.3M
Net DEX-1.41B-1.82B-876.2M-1.66B-1.44B
Net VEX-7.2M-7.7M-6.8M-7.6M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.341.440.751.11
Total Volume52,839.5539,84477,33477,33450,377
Total OI388,143339,836411,636375,542390,642

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$214.49$211.008.4%2.6%5.6%9.0%10.8%3.8%0.2%155.5M-1.66B-7.6M0.759.4244,07433,260233,003142,539
2017-07-05$214.72$211.008.3%2.3%5.5%8.1%10.3%3.8%0.1%115.5M-1.58B-7.4M0.7712.2432,22824,737229,940150,231
2017-07-06$213.06$213.0010.2%2.9%6.2%25.8%10.7%4.7%0.2%93.4M-1.19B-7.6M0.7311.5834,21225,120236,672153,226
2017-07-07$214.06$213.007.9%2.6%6.4%4.9%9.5%3.9%0.3%104.2M-1.48B-7.3M1.4410.4017,15524,763238,218156,044
2017-07-10$214.20$213.007.9%2.6%6.4%4.5%9.6%3.8%1.0%90.5M-1.38B-7.2M0.8310.6521,72318,121231,594154,503
2017-07-11$214.05$214.008.1%2.6%6.4%6.0%10.1%3.9%1.0%77.5M-1.37B-7.7M0.8911.1323,69121,141238,392158,385
2017-07-12$215.32$214.008.0%2.4%6.4%5.2%9.1%3.4%0.4%126.4M-1.63B-7.6M0.7911.1629,95023,768237,883163,341
2017-07-13$215.43$214.007.8%2.4%6.4%3.7%9.5%3.3%0.5%131.7M-1.62B-7.4M0.7110.0127,13819,391237,153166,773
2017-07-14$216.54$214.007.0%2.2%6.6%0.0%8.0%3.0%0.8%144.9M-1.82B-7.2M0.5512.3543,06823,545236,838170,547
2017-07-17$216.17$214.007.9%2.3%6.6%8.6%8.3%3.1%0.4%145.0M-1.71B-7.2M0.628.3628,89817,883239,013166,849
2017-07-18$215.65$214.007.6%2.2%6.3%5.7%8.6%3.2%0.4%138.8M-1.58B-7.1M0.678.5233,86222,559239,889169,565
2017-07-19$216.21$214.007.6%2.2%6.3%5.9%8.2%2.9%0.3%162.0M-1.68B-7.0M0.529.3933,16317,367239,918171,692
2017-07-20$216.25$214.007.6%2.2%6.2%5.8%8.1%3.2%0.4%134.4M-1.66B-7.0M0.3410.0948,31316,382239,163172,473
2017-07-21$215.34$214.007.7%2.2%6.4%6.6%8.5%2.9%-0.1%11.3M-908.6M-6.9M0.797.9228,25322,199213,008174,749
2017-07-24$215.23$214.007.4%2.1%6.4%4.1%7.8%3.1%0.1%44.1M-876.2M-6.8M0.889.7323,44920,712194,921144,915
2017-07-25$215.83$214.007.6%2.1%6.4%5.4%8.0%3.4%-0.3%65.4M-975.8M-6.8M0.629.2227,35617,015197,417153,806
2017-07-26$216.59$214.006.8%2.0%6.3%0.0%7.3%3.5%0.6%88.3M-1.10B-6.9M0.5610.2833,92318,834201,140156,979
2017-07-27$217.41$214.007.3%2.1%6.2%5.2%7.7%3.4%0.2%126.1M-1.25B-7.1M0.589.1736,86021,372211,915162,013
2017-07-28$218.09$215.007.6%2.1%5.5%7.2%9.3%3.8%-0.2%128.6M-1.35B-7.4M0.978.8225,86225,067219,098168,413
2017-07-31$219.00$215.007.2%2.1%5.4%3.7%8.2%3.7%0.1%138.3M-1.44B-7.3M1.118.9123,83226,545218,073172,569