DIA Options History — November 2017

In November 2017, DIA traded between $233.02 and $242.83. ATM implied volatility averaged 8.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.4% (HV 20d: 5.4%). Max pain ranged from $225.00 to $232.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-11-30: Highest Volume — 149,766 contracts
  • 2017-11-29: Largest IV spike — 17.7% change
  • 2017-11-15: Highest IV Rank — 72.3%
  • 2017-11-30: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.56$233.02$242.83$234.17$242.83
Max Pain$229.05$225.00$232.00$230.00$232.00
ATM IV8.8%7.8%11.2%8.2%10.1%
Expected Move2.7%2.3%3.4%2.5%3.4%
HV 20d5.4%4.6%8.0%4.8%8.0%
HV 60d5.8%5.3%6.3%6.3%6.0%
IV Rank31.8%9.3%72.3%13.0%55.3%
IV Percentile48.2%20.2%93.7%35.3%79.4%
Term Structure0.3%-0.4%0.9%0.4%0.3%
VWIV10.2%8.6%13.1%9.4%13.1%
Skew 25d3.1%2.3%4.5%2.9%2.7%
Skew 10d6.7%4.8%10.3%6.1%5.4%
Call IV 25d8.0%7.0%9.8%7.5%9.8%
Put IV 25d11.1%9.5%14.0%10.4%12.5%
Bid-Ask Spread %10.957.3815.8710.6014.79
Gamma HHI0.150.100.580.160.12
Net GEX299.9M82.2M1.19B320.1M257.7M
Net DEX-2.28B-3.58B-905.6M-2.55B-3.58B
Net VEX-10.8M-11.8M-9.9M-10.9M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.441.570.920.44
Total Volume68,435.52442,879149,76665,983149,766
Total OI584,163.095551,418638,847559,579589,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$234.17$230.008.2%2.5%4.8%13.0%9.4%2.9%0.4%320.1M-2.55B-10.9M0.9210.6034,34731,636296,403263,176
2017-11-02$235.00$225.008.2%2.7%4.6%13.0%10.1%2.6%0.4%365.1M-2.85B-11.1M0.9410.3923,84422,364302,625270,872
2017-11-03$235.04$225.007.8%2.5%4.6%9.3%9.7%2.5%0.6%1.19B-2.92B-10.9M0.8810.2834,66430,393304,496275,048
2017-11-06$235.38$225.007.9%2.5%4.6%10.1%8.9%2.3%0.9%322.9M-2.92B-10.7M0.7710.4235,62727,336301,090273,937
2017-11-07$235.34$228.008.0%2.6%4.6%15.8%9.1%2.7%0.8%297.7M-2.82B-10.5M0.779.8528,31821,741302,261279,331
2017-11-08$235.43$228.007.8%2.5%4.6%14.7%9.5%2.4%0.8%325.1M-2.80B-10.5M1.028.9321,22221,657302,296281,967
2017-11-09$234.75$229.008.4%2.6%4.8%27.7%9.9%3.4%0.9%302.3M-2.49B-10.8M1.4811.2830,44845,081303,560285,719
2017-11-10$234.44$229.009.1%2.8%4.9%37.9%9.0%3.5%0.8%187.7M-2.33B-11.2M1.159.0129,37633,712307,970299,847
2017-11-13$234.65$229.009.7%2.8%4.8%48.2%10.2%3.7%0.1%187.3M-2.14B-11.5M0.8511.7345,26538,527298,536298,177
2017-11-14$234.30$230.009.9%2.9%4.9%51.1%10.3%3.8%-0.2%210.7M-2.01B-11.8M0.848.9927,82523,256310,527314,453
2017-11-15$233.02$230.0011.2%3.2%4.9%72.3%12.1%4.5%-0.3%82.2M-1.49B-11.8M1.579.1125,92740,750312,359317,048
2017-11-16$234.94$230.009.2%2.7%5.6%40.9%10.2%3.4%0.0%297.9M-2.37B-11.5M0.6110.8264,23538,936312,955325,892
2017-11-17$233.43$230.009.9%2.8%5.8%51.6%10.4%3.8%-0.1%134.4M-905.6M-11.5M1.1413.1333,70138,448281,141334,410
2017-11-20$234.10$230.009.1%2.6%5.9%38.4%10.3%3.7%-0.4%193.8M-1.37B-11.0M0.8711.3926,67523,229263,172288,246
2017-11-21$235.70$230.007.9%2.3%5.9%18.6%9.2%2.8%0.4%285.2M-1.91B-10.5M0.719.9937,56726,613265,087295,142
2017-11-22$235.22$230.008.3%2.4%5.7%25.9%9.9%2.5%-0.1%262.7M-1.69B-10.6M0.6613.8929,97519,711265,418300,406
2017-11-24$235.47$230.008.6%2.6%5.6%30.6%11.5%2.5%-0.1%271.4M-1.79B-10.7M0.8115.8731,67025,711268,082303,190
2017-11-27$235.87$230.008.5%2.4%5.6%27.8%8.6%3.1%-0.2%248.0M-1.73B-10.3M0.507.3834,65617,222257,889296,195
2017-11-28$238.22$230.008.0%2.6%6.5%21.2%9.7%2.9%0.5%290.5M-2.45B-9.9M0.559.7046,01525,442256,329299,261
2017-11-29$239.50$230.009.5%3.1%6.6%44.4%12.7%3.5%0.2%260.4M-2.73B-9.9M0.6512.3657,15037,108258,309304,722
2017-11-30$242.83$232.0010.1%3.4%8.0%55.3%13.1%2.7%0.3%257.7M-3.58B-10.0M0.4414.79104,12945,637271,802318,079