DIA Options History — August 2017

In August 2017, DIA traded between $216.81 and $220.88. ATM implied volatility averaged 8.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.9% (HV 20d: 5.7%). Max pain ranged from $215.00 to $220.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.20.

Notable Days

  • 2017-08-10: Highest Volume — 95,683 contracts
  • 2017-08-17: Largest IV spike — 28.0% change
  • 2017-08-18: Highest IV Rank — 34.4%
  • 2017-08-18: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$219.11$216.81$220.88$219.42$219.63
Max Pain$219.00$215.00$220.00$215.00$219.00
ATM IV8.6%6.8%10.7%6.8%7.8%
Expected Move2.5%2.1%3.1%2.1%2.2%
HV 20d5.7%3.9%7.1%5.4%7.1%
HV 60d5.8%5.2%6.1%5.9%6.0%
IV Rank15.9%0.7%34.4%0.7%9.6%
IV Percentile26.7%0.4%67.5%0.4%10.3%
Term Structure0.4%-1.2%2.0%0.4%0.6%
VWIV9.7%6.7%12.3%6.7%8.6%
Skew 25d4.5%3.4%6.4%3.4%3.6%
Skew 10d9.1%6.8%12.4%6.8%7.1%
Call IV 25d7.1%5.9%8.5%5.9%6.7%
Put IV 25d11.6%9.3%14.5%9.3%10.3%
Bid-Ask Spread %8.826.1012.078.657.23
Gamma HHI0.090.060.170.090.08
Net GEX62.8M-7.1M132.8M128.8M113.3M
Net DEX-999.3M-1.56B-247.4M-1.48B-1.03B
Net VEX-8.1M-9.0M-7.5M-7.5M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.612.660.790.76
Total Volume59,205.1340,82095,68366,82857,448
Total OI460,253.478404,865499,135404,865481,014

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$219.42$215.006.8%2.1%5.4%0.7%6.7%3.4%0.4%128.8M-1.48B-7.5M0.798.6537,23829,590222,831182,034
2017-08-02$219.76$215.007.1%2.1%5.4%3.4%7.8%3.6%0.1%113.1M-1.49B-7.9M1.1811.8528,42933,472235,876192,154
2017-08-03$219.94$215.007.3%2.3%4.2%5.3%8.3%3.8%0.2%35.6M-1.46B-8.0M1.0112.0728,34028,580240,872203,476
2017-08-04$220.47$220.007.4%2.3%4.1%6.0%8.1%3.6%0.2%52.6M-1.56B-8.0M1.069.4028,57730,348244,953213,121
2017-08-07$220.88$220.007.0%2.3%4.1%2.6%9.0%4.2%1.0%132.8M-1.56B-7.9M1.128.4921,50224,032241,949197,536
2017-08-08$220.73$220.007.8%2.5%4.1%9.2%9.2%4.2%1.0%103.8M-1.45B-8.3M0.8410.3939,60133,408245,975205,839
2017-08-09$220.40$220.008.5%2.6%3.9%15.7%10.6%4.8%0.4%28.9M-1.25B-8.4M2.239.3024,50754,708243,366212,712
2017-08-10$218.76$220.0010.3%2.9%4.9%31.4%12.3%6.3%-0.4%-1.2M-780.1M-8.9M2.669.5226,14269,541243,932232,626
2017-08-11$218.86$220.0010.4%3.0%4.7%32.0%11.4%6.4%0.2%31.8M-842.1M-9.0M2.379.9918,07042,852247,462235,238
2017-08-14$220.03$220.008.5%2.5%4.9%15.3%9.3%4.9%0.2%87.3M-1.24B-8.0M1.209.3619,51723,456243,267235,007
2017-08-15$220.32$220.008.1%2.3%4.7%11.8%8.4%4.3%0.3%111.9M-1.32B-7.9M0.968.3321,14820,309245,362238,215
2017-08-16$220.50$220.008.1%2.3%4.7%11.6%7.5%4.1%0.4%83.1M-1.32B-7.9M0.889.3024,53621,697248,581241,770
2017-08-17$218.07$220.0010.3%3.0%6.4%31.4%10.9%5.5%0.2%62.3M-739.9M-8.5M0.6110.7958,93135,674251,431242,331
2017-08-18$216.93$220.0010.7%3.1%6.5%34.4%11.0%5.3%0.0%44.6K-247.4M-8.1M1.188.8133,78140,011249,703249,432
2017-08-21$216.81$220.0010.2%2.9%6.5%30.4%10.3%4.8%1.2%-7.1M-382.2M-7.8M0.888.2529,29525,911219,988205,584
2017-08-22$218.74$219.008.8%2.5%7.1%17.9%9.6%4.2%-0.5%68.4M-820.4M-8.0M1.036.1023,33224,083228,167214,253
2017-08-23$218.10$219.009.3%2.7%7.1%22.6%10.6%4.4%-1.0%36.1M-638.5M-8.2M0.917.5121,37919,441230,788220,721
2017-08-24$217.69$219.009.6%2.8%7.0%24.9%10.8%4.5%-1.2%13.3M-535.3M-8.1M0.768.1126,27319,848232,557223,196
2017-08-25$218.24$219.008.5%2.5%7.0%14.9%9.3%4.1%-0.9%60.6M-716.1M-8.0M0.987.9324,75924,266237,901224,535
2017-08-28$217.81$219.007.9%2.5%6.9%10.5%10.9%4.8%2.0%34.9M-539.9M-7.9M1.076.3622,85224,372236,275218,134
2017-08-29$218.66$219.008.2%2.5%7.0%12.5%10.1%5.1%2.0%81.6M-780.6M-8.0M1.297.5625,69233,186238,415220,983
2017-08-30$218.74$219.008.0%2.4%7.0%10.7%12.0%4.7%2.0%72.9M-803.5M-8.0M1.797.5422,03639,548241,148225,120
2017-08-31$219.63$219.007.8%2.2%7.1%9.6%8.6%3.6%0.6%113.3M-1.03B-7.9M0.767.2332,72124,727241,450239,564