DIA Options History — December 2017

In December 2017, DIA traded between $241.62 and $248.12. ATM implied volatility averaged 9.3%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.8% (HV 20d: 7.6%). Max pain ranged from $231.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-12-01: Highest Volume — 136,999 contracts
  • 2017-12-18: Largest IV spike — 7.4% change
  • 2017-12-01: Highest IV Rank — 83.4%
  • 2017-12-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$245.52$241.62$248.12$242.48$247.51
Max Pain$237.00$231.00$240.00$232.00$240.00
ATM IV9.3%8.3%11.8%11.8%8.5%
Expected Move2.7%2.4%3.6%3.6%2.4%
HV 20d7.6%4.9%8.5%8.0%4.9%
HV 60d6.0%5.8%6.1%6.0%6.0%
IV Rank42.0%25.5%83.4%83.4%28.4%
IV Percentile61.6%40.1%96.8%96.8%45.6%
Term Structure0.0%-1.2%0.4%-1.2%0.3%
VWIV9.9%8.7%13.5%13.5%10.0%
Skew 25d2.9%2.2%3.7%3.5%3.4%
Skew 10d5.9%4.2%7.6%7.0%6.7%
Call IV 25d8.4%7.0%10.5%10.2%7.2%
Put IV 25d11.3%10.1%14.2%13.7%10.6%
Bid-Ask Spread %9.467.4612.5512.5510.14
Gamma HHI0.120.080.150.100.13
Net GEX282.6M145.9M410.8M230.7M227.8M
Net DEX-3.15B-4.32B-2.33B-3.15B-2.62B
Net VEX-11.5M-12.4M-10.8M-11.3M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.351.050.850.88
Total Volume78,208.9546,346136,999136,99960,923
Total OI635,603.55554,350720,243622,452594,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$242.48$232.0011.8%3.6%8.0%83.4%13.5%3.5%-1.2%230.7M-3.15B-11.3M0.8512.5573,93763,062286,051336,401
2017-12-04$243.28$231.0011.6%3.3%8.0%80.1%11.9%3.7%-0.1%268.7M-3.28B-11.6M0.6711.2571,40647,612302,272335,323
2017-12-05$242.10$235.0010.9%3.1%8.4%68.2%11.0%3.5%0.1%264.3M-2.91B-12.2M0.8110.3247,12638,019326,010350,907
2017-12-06$241.62$235.0010.2%2.9%8.5%56.8%10.7%3.2%0.1%277.8M-2.77B-12.4M0.9111.2334,90531,865335,203359,613
2017-12-07$242.32$235.009.7%2.9%8.5%48.5%10.7%2.7%0.2%336.6M-3.18B-11.8M0.898.1335,51531,650339,811366,325
2017-12-08$243.44$235.009.1%2.7%8.4%38.9%9.3%2.5%0.3%356.3M-3.69B-11.4M0.768.5138,24029,185345,853374,390
2017-12-11$244.14$235.008.8%2.5%8.3%34.3%9.2%2.7%0.0%410.8M-3.89B-10.8M0.787.8928,89922,407338,964344,541
2017-12-12$245.47$235.009.1%2.6%8.4%38.2%9.2%2.6%-0.1%385.8M-4.31B-11.0M0.659.1546,88130,238340,207347,390
2017-12-13$246.27$235.009.1%2.6%8.3%38.7%9.6%2.3%0.1%335.7M-4.32B-11.5M0.599.1760,73635,978339,358356,356
2017-12-14$245.68$235.008.9%2.6%7.9%35.3%9.5%2.6%0.0%366.4M-3.97B-11.5M0.359.1497,78034,663340,756365,834
2017-12-15$246.03$238.008.5%2.5%7.7%29.3%9.2%2.2%0.0%346.8M-2.86B-11.1M0.7211.2649,23235,664285,679371,153
2017-12-18$247.74$239.009.2%2.6%7.1%39.7%9.9%2.2%-0.0%292.7M-3.10B-11.1M0.639.4153,68233,932253,253303,009
2017-12-19$247.51$240.009.0%2.6%7.2%37.1%9.2%2.5%-0.1%319.3M-2.98B-11.4M0.528.9950,66226,422267,354313,366
2017-12-20$247.11$240.008.7%2.5%7.2%32.0%8.7%2.5%0.1%274.3M-2.85B-11.5M0.7410.1239,44629,246272,700318,402
2017-12-21$247.65$240.008.9%2.5%7.0%35.0%9.1%2.5%0.1%297.5M-2.99B-11.9M0.618.8040,54924,882277,997325,480
2017-12-22$247.30$240.008.3%2.4%7.1%25.5%9.1%2.8%0.2%148.3M-2.74B-11.7M0.987.4629,69129,171277,227329,824
2017-12-26$247.15$240.008.8%2.5%7.2%33.0%9.2%3.4%0.2%145.9M-2.33B-11.4M1.058.2324,79626,159254,312300,038
2017-12-27$247.48$240.008.7%2.5%6.6%31.8%9.0%3.4%0.3%164.7M-2.42B-11.5M0.948.5323,84622,500256,756307,775
2017-12-28$248.12$240.008.4%2.4%6.5%26.8%9.3%3.5%0.4%202.2M-2.63B-11.3M0.758.9836,23627,036260,740311,161
2017-12-29$247.51$240.008.5%2.4%4.9%28.4%10.0%3.4%0.3%227.8M-2.62B-11.7M0.8810.1432,49128,432273,925320,355