DIA Options History — October 2017

In October 2017, DIA traded between $225.35 and $234.19. ATM implied volatility averaged 8.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.5% (HV 20d: 4.5%). Max pain ranged from $222.00 to $230.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-10-30: Highest Volume — 85,753 contracts
  • 2017-10-27: Largest IV drop — 13.2% change
  • 2017-10-26: Highest IV Rank — 28.8%
  • 2017-10-26: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$230.22$225.35$234.19$225.35$233.62
Max Pain$226.59$222.00$230.00$222.00$230.00
ATM IV8.1%7.1%10.0%7.4%8.2%
Expected Move2.4%2.0%3.0%2.0%2.5%
HV 20d4.5%3.8%6.6%6.6%4.8%
HV 60d6.1%5.9%6.3%6.1%6.3%
IV Rank11.5%2.9%28.8%5.6%12.5%
IV Percentile26.3%3.2%68.7%7.1%32.9%
Term Structure0.2%-0.4%0.8%0.3%0.4%
VWIV9.0%7.4%11.8%7.4%10.3%
Skew 25d3.1%2.3%4.6%2.8%3.2%
Skew 10d6.1%4.5%10.1%4.9%6.0%
Call IV 25d7.1%6.2%8.6%6.4%7.5%
Put IV 25d10.3%8.8%13.2%9.2%10.7%
Bid-Ask Spread %9.907.8311.329.208.77
Gamma HHI0.140.090.200.120.15
Net GEX229.9M149.2M385.5M190.1M282.4M
Net DEX-2.15B-2.66B-1.59B-1.59B-2.33B
Net VEX-9.0M-10.7M-8.0M-8.1M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.581.440.661.20
Total Volume56,563.81839,17885,75360,12462,862
Total OI484,486.273433,003547,349433,003547,349

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$225.35$222.007.4%2.0%6.6%5.6%7.4%2.8%0.3%190.1M-1.59B-8.1M0.669.2036,14423,980224,555208,448
2017-10-03$226.21$222.007.4%2.0%5.0%5.5%7.7%2.8%0.3%223.4M-1.74B-8.3M0.7910.2829,80023,533232,961215,699
2017-10-04$226.34$222.007.2%2.0%5.0%4.0%7.5%2.8%0.3%210.8M-1.71B-8.6M0.809.8826,48321,083236,906223,057
2017-10-05$227.55$225.007.1%2.2%5.0%2.9%8.3%2.3%0.3%274.6M-2.04B-8.2M0.899.8426,21323,214238,367225,765
2017-10-06$227.56$225.007.3%2.2%5.1%4.6%8.2%2.4%0.2%385.5M-2.06B-8.8M0.8410.9926,62322,256242,434231,965
2017-10-09$227.48$225.007.5%2.4%3.9%6.3%8.5%2.9%0.8%224.4M-1.87B-8.4M0.9411.3222,25020,843239,354223,950
2017-10-10$228.16$225.007.6%2.3%3.8%7.2%8.6%2.9%0.5%261.1M-2.03B-8.6M1.0211.0220,73521,222243,897226,984
2017-10-11$228.61$225.007.2%2.2%3.8%4.0%8.3%2.9%0.5%277.6M-2.18B-8.7M1.1110.2919,22621,385246,915230,122
2017-10-12$228.35$226.007.7%2.3%3.9%8.2%8.3%2.9%0.4%266.8M-2.08B-8.4M0.6910.2430,66521,121248,108231,810
2017-10-13$228.66$226.007.2%2.2%3.9%4.3%8.1%2.9%0.7%305.3M-2.19B-8.3M1.3110.0818,34824,123253,379234,659
2017-10-16$229.48$226.007.5%2.2%3.9%6.4%8.0%3.0%-0.2%231.1M-2.22B-8.0M1.168.9218,14021,038245,551228,468
2017-10-17$229.92$226.007.4%2.1%3.9%6.0%8.0%3.0%-0.3%248.1M-2.36B-8.4M1.319.6519,24225,166248,579232,622
2017-10-18$231.46$227.008.2%2.4%4.4%12.9%9.0%2.9%-0.4%242.5M-2.62B-8.9M1.0610.9535,25037,496250,634238,173
2017-10-19$231.53$228.008.0%2.3%4.1%11.3%9.3%3.1%-0.3%204.0M-2.66B-8.9M0.609.9042,03325,163259,954254,113
2017-10-20$232.92$228.008.1%2.4%4.3%11.7%8.6%2.9%-0.4%201.5M-2.39B-9.0M0.8810.2240,92135,854239,610255,093
2017-10-23$232.66$228.008.8%2.6%4.1%18.2%9.6%3.2%0.1%168.6M-2.14B-9.3M0.909.0023,04520,750241,114226,961
2017-10-24$234.19$229.009.8%3.0%4.3%27.1%10.9%3.9%0.0%200.9M-2.49B-9.8M0.7210.6544,62732,354246,696233,539
2017-10-25$233.16$230.009.8%3.0%4.9%26.4%10.5%4.1%0.2%149.2M-2.05B-9.8M1.229.5432,85239,976251,008244,213
2017-10-26$234.05$230.0010.0%3.0%5.0%28.8%10.8%4.6%0.2%173.1M-2.21B-10.4M1.1410.2726,88530,558258,127254,669
2017-10-27$233.96$230.008.7%2.6%5.0%17.2%10.8%3.4%0.3%179.6M-2.27B-10.3M1.447.8326,73938,453266,159264,446
2017-10-30$233.51$230.009.3%2.9%4.8%22.6%11.8%3.7%0.3%158.1M-2.07B-10.4M0.589.0754,18631,567262,200250,085
2017-10-31$233.62$230.008.2%2.5%4.8%12.5%10.3%3.2%0.4%282.4M-2.33B-10.7M1.208.7728,51634,346290,426256,923