DIA Options History — February 2018

In February 2018, DIA traded between $239.97 and $261.47. ATM implied volatility averaged 17.5%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 5.7% (HV 20d: 23.2%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.90.

Notable Days

2018-02-05: Highest Volume — 244,015 contracts
2018-02-05: Largest IV spike — 64.2% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$250.02	$239.97	$261.47	$261.47	$250.75
Max Pain	$250.00	$250.00	$250.00	$250.00	$250.00
ATM IV	17.5%	12.7%	26.0%	12.7%	15.9%
Expected Move	5.0%	3.6%	7.2%	3.6%	4.8%
HV 20d	23.2%	9.1%	26.9%	9.1%	26.9%
HV 60d	14.7%	7.5%	16.6%	7.5%	16.6%
IV Rank	62.8%	34.2%	100.0%	87.6%	47.6%
IV Percentile	97.5%	93.7%	100.0%	98.0%	96.0%
Term Structure	-0.3%	-1.2%	0.5%	0.1%	-0.1%
VWIV	18.1%	12.9%	25.7%	12.9%	16.9%
Skew 25d	6.5%	3.1%	10.8%	3.1%	5.2%
Skew 10d	12.4%	6.8%	21.5%	6.8%	10.0%
Call IV 25d	15.2%	11.4%	21.9%	11.4%	14.3%
Put IV 25d	21.6%	14.5%	32.7%	14.5%	19.5%
Bid-Ask Spread %	18.96	7.35	66.51	8.06	9.67
Gamma HHI	0.05	0.04	0.08	0.07	0.06
Net GEX	3.3M	-112.8M	256.1M	256.1M	32.6M
Net DEX	170.0M	-2.81B	3.07B	-2.81B	-582.1M
Net VEX	-19.8M	-21.8M	-18.5M	-20.2M	-19.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.50	1.46	0.80	0.87
Total Volume	128,732.895	92,672	244,015	111,836	98,061
Total OI	849,911.368	781,002	925,840	812,761	822,096

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$261.47	$250.00	12.7%	3.6%	9.1%	87.6%	12.9%	3.1%	0.1%	256.1M	-2.81B	-20.2M	0.80	8.06	62,074	49,762	448,843	363,918
2018-02-02	$254.84	$250.00	15.0%	4.2%	13.4%	100.0%	15.2%	4.9%	-0.0%	-112.8M	110.6M	-20.0M	0.99	9.66	94,708	94,234	450,530	370,633
2018-02-05	$244.96	$250.00	24.6%	6.8%	19.3%	100.0%	21.5%	9.2%	0.5%	-111.0M	2.26B	-18.9M	1.23	66.51	109,586	134,429	433,928	347,074
2018-02-06	$248.87	$250.00	21.8%	5.8%	20.3%	83.8%	21.5%	7.2%	-1.2%	-48.5M	1.02B	-21.8M	0.93	41.64	96,492	89,477	480,683	371,144
2018-02-07	$249.57	$250.00	17.4%	4.8%	20.2%	59.3%	18.0%	7.0%	-0.6%	-83.3M	860.4M	-20.5M	0.92	30.96	67,059	61,592	501,908	384,179
2018-02-08	$239.97	$250.00	26.0%	7.2%	24.4%	100.0%	24.6%	10.8%	-1.2%	-85.2M	3.07B	-20.3M	1.15	28.42	61,214	70,556	510,005	392,994
2018-02-09	$242.23	$250.00	23.7%	6.7%	24.5%	88.2%	25.7%	10.3%	-0.5%	-99.1M	2.77B	-20.2M	1.46	36.73	61,961	90,501	523,322	402,518
2018-02-12	$246.17	$250.00	19.1%	5.5%	25.1%	64.4%	18.9%	8.8%	0.1%	-62.8M	1.49B	-19.7M	1.02	16.57	52,784	53,766	480,940	392,807
2018-02-13	$246.66	$250.00	18.4%	5.3%	25.1%	60.4%	19.6%	7.9%	-0.6%	-47.6M	1.30B	-19.7M	0.63	11.80	61,708	39,107	487,436	393,068
2018-02-14	$249.24	$250.00	16.1%	4.6%	25.0%	48.7%	17.4%	6.3%	-0.4%	68.3M	360.4M	-19.8M	0.78	16.43	57,296	44,833	507,878	395,971
2018-02-15	$252.16	$250.00	15.7%	4.5%	25.5%	46.3%	17.0%	5.3%	-0.3%	64.3M	-903.4M	-20.0M	0.50	13.27	93,646	47,122	511,329	398,588
2018-02-16	$252.50	$250.00	15.2%	4.4%	25.5%	43.6%	15.9%	5.2%	-0.1%	-37.8M	-561.7M	-20.1M	0.73	12.17	79,213	57,507	493,347	405,542
2018-02-20	$249.63	$250.00	16.2%	4.7%	25.6%	49.1%	17.1%	6.0%	-0.2%	3.2M	-79.2M	-19.1M	0.84	11.68	51,560	43,398	452,431	348,525
2018-02-21	$248.06	$250.00	16.8%	4.9%	25.6%	52.2%	18.4%	5.7%	-0.4%	-41.4M	276.0M	-19.1M	0.86	11.13	50,346	43,058	464,600	356,087
2018-02-22	$249.46	$250.00	15.7%	4.8%	25.7%	46.6%	17.7%	6.0%	0.3%	-34.5M	-40.6M	-19.0M	1.10	12.42	49,190	54,148	460,487	362,707
2018-02-23	$252.74	$250.00	13.7%	4.0%	26.2%	35.8%	14.9%	4.8%	-0.2%	101.6M	-1.26B	-18.5M	0.97	7.35	47,054	45,618	465,620	371,258
2018-02-26	$256.71	$250.00	13.3%	3.9%	26.7%	34.2%	14.9%	3.9%	0.0%	189.4M	-2.39B	-19.3M	0.64	7.49	74,617	47,773	444,598	344,356
2018-02-27	$254.48	$250.00	15.6%	4.7%	26.8%	46.0%	16.7%	5.0%	-0.2%	110.4M	-1.67B	-20.5M	0.67	8.23	66,321	44,154	454,245	352,721
2018-02-28	$250.75	$250.00	15.9%	4.8%	26.9%	47.6%	16.9%	5.2%	-0.1%	32.6M	-582.1M	-19.5M	0.87	9.67	52,468	45,593	466,295	355,801