DIA Options History — September 2017

In September 2017, DIA traded between $217.66 and $223.95. ATM implied volatility averaged 7.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.4% (HV 20d: 7.3%). Max pain ranged from $219.00 to $222.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-09-05: Highest Volume — 80,366 contracts
  • 2017-09-05: Largest IV spike — 29.8% change
  • 2017-09-05: Highest IV Rank — 25.7%
  • 2017-09-05: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.70$217.66$223.95$219.99$223.68
Max Pain$220.50$219.00$222.00$219.00$222.00
ATM IV7.6%6.9%9.7%7.5%7.3%
Expected Move2.2%1.9%2.8%1.9%2.0%
HV 20d7.3%6.2%8.6%7.1%6.2%
HV 60d6.4%6.0%6.7%6.0%6.0%
IV Rank7.6%1.2%25.7%6.3%4.5%
IV Percentile11.7%0.8%49.6%5.2%5.6%
Term Structure0.3%0.1%0.7%0.6%0.3%
VWIV8.3%7.0%10.5%7.0%7.9%
Skew 25d3.6%2.8%5.3%3.3%2.8%
Skew 10d7.1%5.0%10.8%6.3%5.0%
Call IV 25d6.4%5.7%7.8%6.2%6.5%
Put IV 25d10.0%9.0%13.1%9.5%9.3%
Bid-Ask Spread %8.876.5212.1010.1510.01
Gamma HHI0.100.060.300.300.10
Net GEX108.7M-24.0M315.5M315.5M124.0M
Net DEX-1.11B-1.60B-478.1M-1.16B-1.23B
Net VEX-8.1M-8.4M-7.7M-7.8M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.601.451.150.92
Total Volume52,379.533,55180,36661,75644,512
Total OI477,512.45419,749518,877488,365468,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$219.99$219.007.5%1.9%7.1%6.3%7.0%3.3%0.6%315.5M-1.16B-7.8M1.1510.1528,68433,072242,956245,409
2017-09-05$217.66$220.009.7%2.8%8.0%25.7%10.5%5.3%0.2%-21.3M-478.1M-7.9M1.039.0039,56240,804235,595242,226
2017-09-06$218.30$220.008.7%2.7%8.1%17.0%10.1%4.5%0.3%22.8M-658.9M-7.9M1.146.5226,25530,035245,655252,460
2017-09-07$218.02$220.008.6%2.6%8.1%16.7%9.7%4.7%0.3%-24.0M-514.0M-8.0M1.117.6325,34028,111248,161259,399
2017-09-08$218.22$220.009.0%2.7%7.6%19.5%9.9%5.3%0.2%-23.5M-563.7M-8.1M1.247.8127,13833,672250,859264,400
2017-09-11$220.65$220.007.2%2.2%8.6%4.1%9.0%3.8%0.6%135.5M-1.25B-7.7M0.949.0135,02032,814246,338256,794
2017-09-12$221.34$220.007.4%2.3%8.5%5.6%8.0%3.6%0.5%152.8M-1.44B-7.8M0.788.3932,26425,130251,741262,024
2017-09-13$221.70$220.006.9%2.1%8.5%1.6%7.7%3.3%0.4%160.6M-1.44B-8.0M1.048.1623,30224,314251,339266,502
2017-09-14$222.32$220.006.9%2.1%8.5%1.5%8.2%3.4%0.7%184.0M-1.60B-7.9M0.608.3239,82424,027251,934266,943
2017-09-15$222.45$220.007.1%2.2%7.4%2.9%7.6%3.3%0.7%201.2M-1.29B-7.7M1.079.0226,94828,806232,410271,673
2017-09-18$223.19$220.007.1%2.1%7.0%3.2%8.1%3.2%0.1%147.6M-1.27B-7.9M1.4510.8421,61431,284217,468202,281
2017-09-19$223.53$220.006.9%2.0%7.0%1.2%7.6%3.1%0.1%130.1M-1.27B-8.1M0.748.1630,25922,242219,743211,865
2017-09-20$223.95$220.007.1%2.0%6.5%2.8%7.4%3.0%0.1%138.5M-1.34B-8.3M0.8312.1024,66520,462229,631216,737
2017-09-21$223.40$221.007.4%2.1%6.4%5.8%7.3%3.1%0.1%111.8M-1.24B-8.4M0.859.2224,36720,834234,534219,029
2017-09-22$223.39$221.007.3%2.1%6.3%5.3%7.6%3.1%0.1%108.6M-1.22B-8.4M0.898.7423,48320,911240,405222,374
2017-09-25$222.79$221.007.6%2.2%6.5%7.3%8.0%3.8%0.3%88.1M-1.03B-8.3M1.258.5719,03623,715237,162208,955
2017-09-26$222.68$222.007.9%2.2%6.4%10.0%8.4%3.7%0.2%55.5M-966.9M-8.3M0.928.7217,55516,095239,427215,170
2017-09-27$223.22$222.007.6%2.2%6.3%7.6%7.6%3.3%0.3%66.3M-1.11B-8.4M0.748.3827,46020,423240,443217,965
2017-09-28$223.58$222.007.2%2.0%6.3%4.0%7.6%3.1%0.4%99.0M-1.22B-8.3M0.828.5818,47615,075243,017220,665
2017-09-29$223.68$222.007.3%2.0%6.2%4.5%7.9%2.8%0.3%124.0M-1.23B-8.4M0.9210.0123,18921,323244,579223,981