DIA Options History — January 2018

In January 2018, DIA traded between $247.92 and $265.66. ATM implied volatility averaged 10.0%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.9% (HV 20d: 6.2%). Max pain ranged from $240.00 to $259.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2018-01-16: Highest Volume — 205,054 contracts
  • 2018-01-16: Largest IV spike — 17.7% change
  • 2018-01-30: Highest IV Rank — 100.0%
  • 2018-01-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$257.91$247.92$265.66$247.92$261.48
Max Pain$254.14$240.00$259.00$240.00$259.00
ATM IV10.0%7.9%13.5%8.6%12.8%
Expected Move3.0%2.2%4.3%2.3%4.0%
HV 20d6.2%4.7%9.1%4.8%9.1%
HV 60d6.5%5.9%7.5%5.9%7.5%
IV Rank52.9%18.9%100.0%29.5%89.0%
IV Percentile73.1%25.4%100.0%48.4%98.8%
Term Structure0.2%-0.4%0.6%0.1%0.2%
VWIV11.1%8.7%16.1%9.1%15.7%
Skew 25d2.5%1.9%3.4%3.2%3.2%
Skew 10d5.2%3.6%6.5%6.0%6.2%
Call IV 25d9.2%7.2%12.2%7.4%11.5%
Put IV 25d11.8%9.4%15.7%10.6%14.7%
Bid-Ask Spread %8.354.9412.745.9312.74
Gamma HHI0.100.050.170.130.07
Net GEX220.7M106.1M333.9M248.3M273.3M
Net DEX-3.64B-4.82B-2.49B-2.70B-2.89B
Net VEX-15.9M-21.3M-10.7M-10.9M-21.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.401.660.820.95
Total Volume128,880.95263,738205,05463,738128,023
Total OI687,527.381552,450809,571552,450800,267

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$247.92$240.008.6%2.3%4.8%29.5%9.1%3.2%0.1%248.3M-2.70B-10.9M0.825.9335,01928,719264,453287,997
2018-01-03$249.08$240.008.1%2.2%4.9%22.2%8.7%2.7%0.3%260.3M-3.11B-10.7M0.954.9438,35536,256268,496297,503
2018-01-04$250.63$250.007.9%2.6%4.7%18.9%9.0%2.1%0.3%279.4M-3.51B-10.8M0.595.8879,62447,097271,371311,580
2018-01-05$252.72$250.008.3%2.5%5.0%24.8%9.3%2.0%0.3%281.3M-3.89B-11.4M0.846.4450,81242,576278,424327,449
2018-01-08$252.66$250.008.2%2.5%5.1%23.8%9.0%2.5%0.6%254.7M-3.43B-11.4M1.668.1647,41378,830269,199314,058
2018-01-09$253.80$252.008.6%2.6%5.1%30.4%9.6%2.3%0.6%179.9M-3.51B-13.2M0.866.6551,51244,499283,129368,764
2018-01-10$253.54$253.008.6%2.6%5.2%29.5%9.8%2.6%0.5%169.3M-3.36B-13.9M0.586.6665,07537,930295,100385,201
2018-01-11$255.49$253.008.5%2.6%5.4%28.9%9.2%1.9%0.5%210.9M-3.94B-14.4M0.776.5451,57439,480314,830392,882
2018-01-12$257.76$254.009.0%2.7%6.0%37.5%9.8%2.4%0.5%178.0M-4.50B-14.6M0.606.4487,66752,695323,182402,899
2018-01-16$257.93$255.0010.6%3.1%5.7%63.8%10.9%2.9%-0.4%160.6M-4.01B-15.6M0.608.71128,43176,623324,098402,063
2018-01-17$260.98$256.0010.7%3.1%6.6%64.7%12.1%2.5%-0.1%175.5M-4.64B-16.3M0.747.6782,44260,979348,677432,626
2018-01-18$260.23$258.0011.0%3.2%6.7%69.9%11.4%2.5%-0.4%172.6M-4.31B-17.1M0.759.5976,73357,272357,873451,698
2018-01-19$260.40$259.0010.3%3.0%6.6%57.8%10.8%2.5%-0.3%211.0M-3.16B-17.2M0.938.6158,08453,913327,453471,640
2018-01-22$261.98$258.0010.4%3.0%6.6%59.2%11.3%2.7%0.1%165.0M-3.22B-17.2M1.019.3951,93852,211313,551301,670
2018-01-23$261.94$258.0010.6%3.2%6.7%63.1%11.5%2.4%0.1%197.2M-3.39B-18.8M0.8210.9455,31145,628330,132318,196
2018-01-24$262.73$258.0010.9%3.3%6.5%68.8%12.0%2.2%0.2%240.5M-3.69B-19.5M0.569.77120,34067,727344,679328,833
2018-01-25$263.74$258.0011.0%3.3%6.3%69.8%12.2%2.3%0.1%299.5M-4.05B-19.5M0.409.63133,43553,851369,596340,972
2018-01-26$265.66$258.0010.9%3.3%6.4%68.0%12.1%2.2%0.2%333.9M-4.82B-19.6M0.5210.20101,93553,079387,438350,073
2018-01-29$264.56$259.0012.3%3.9%7.0%91.8%14.4%2.7%0.1%238.0M-3.86B-20.2M0.6310.5382,27451,465397,646327,871
2018-01-30$260.91$259.0013.5%4.3%9.1%100.0%16.1%3.4%0.1%106.1M-2.49B-21.2M0.819.94110,51589,158411,701342,805
2018-01-31$261.48$259.0012.8%4.0%9.1%89.0%15.7%3.2%0.2%273.3M-2.89B-21.3M0.9512.7465,57462,449449,372350,895