DIA Options History — March 2018

In March 2018, DIA traded between $235.49 and $253.41. ATM implied volatility averaged 16.7%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.3% (HV 20d: 20.1%). Max pain ranged from $246.00 to $250.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-03-01: Highest Volume — 141,644 contracts
  • 2018-03-22: Largest IV spike — 30.0% change
  • 2018-03-23: Highest IV Rank — 81.0%
  • 2018-03-23: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$245.97$235.49$253.41$246.35$241.65
Max Pain$249.19$246.00$250.00$250.00$246.00
ATM IV16.7%12.9%22.4%18.2%18.4%
Expected Move4.9%3.8%6.5%5.7%5.5%
HV 20d20.1%16.3%27.4%27.4%21.0%
HV 60d18.3%17.0%20.6%17.0%20.6%
IV Rank51.9%32.2%81.0%59.6%60.7%
IV Percentile94.4%88.5%98.8%97.6%96.0%
Term Structure0.0%-0.5%0.5%-0.2%-0.2%
VWIV17.7%13.9%22.4%19.6%19.3%
Skew 25d5.3%3.1%7.4%6.1%5.2%
Skew 10d10.4%6.0%15.7%13.6%10.4%
Call IV 25d14.7%11.8%18.8%15.8%16.4%
Put IV 25d20.0%15.0%26.2%21.9%21.5%
Bid-Ask Spread %11.656.3720.1916.396.37
Gamma HHI0.070.030.530.060.03
Net GEX-26.1M-608.4M207.9M-55.6M9.0M
Net DEX10.4M-2.00B1.70B662.4M260.5M
Net VEX-17.5M-19.3M-15.2M-19.3M-16.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.731.411.011.01
Total Volume103,358.47674,210141,644141,64497,358
Total OI771,874.333624,000878,525836,204702,250

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$246.35$250.0018.2%5.7%27.4%59.6%19.6%6.1%-0.2%-55.6M662.4M-19.3M1.0116.3970,57571,069476,668359,536
2018-03-02$245.76$250.0016.9%5.3%27.4%52.6%19.4%5.6%-0.3%-113.2M819.5M-18.4M1.3110.5350,28166,025488,258368,296
2018-03-05$249.14$250.0015.8%4.6%26.6%46.9%17.5%5.3%0.2%8.8M-321.0M-18.7M0.8610.8748,99942,130465,496356,547
2018-03-06$248.56$250.0015.7%4.6%22.5%46.4%16.3%5.3%0.2%-4.0M-213.8M-18.5M0.759.2643,70132,815472,104363,108
2018-03-07$248.23$250.0016.0%4.6%21.8%47.9%16.5%5.0%0.2%-5.0M-125.1M-18.2M0.809.1650,79440,392479,453363,851
2018-03-08$248.70$250.0015.3%4.4%21.7%44.5%17.2%4.9%0.1%9.8M-258.9M-18.2M0.929.0345,54941,707489,351369,046
2018-03-09$253.41$250.0012.9%3.8%17.2%32.2%13.9%3.1%0.4%207.9M-2.00B-17.9M0.7511.4565,02049,072493,527375,941
2018-03-12$252.34$250.0013.8%4.1%17.2%36.8%15.3%3.5%0.4%115.6M-1.47B-17.9M0.7510.8654,27940,707473,204357,456
2018-03-13$250.21$250.0014.6%4.3%16.7%40.8%15.1%3.8%0.4%7.6M-796.9M-18.1M0.7310.7157,07941,594484,317362,359
2018-03-14$247.80$250.0014.8%4.4%17.1%41.9%15.6%4.2%0.3%-71.3M-12.0M-17.6M1.0610.6051,45154,412493,509365,267
2018-03-15$249.11$250.0014.5%4.3%16.8%40.3%16.0%4.3%0.5%-40.6M-451.3M-17.5M0.7610.0464,54849,233505,599372,926
2018-03-16$249.73$250.0013.3%3.9%16.3%33.9%14.4%3.9%0.4%-608.4M-78.6M-17.4M0.8914.5246,61741,571486,865380,785
2018-03-19$246.05$250.0016.2%4.6%17.0%49.1%16.8%5.5%-0.2%36.4M-17.0M-16.5M1.0711.3454,24358,176367,856256,144
2018-03-20$247.16$250.0016.0%4.6%16.7%47.8%16.4%6.0%0.1%80.4M-289.0M-17.6M1.208.7533,79240,418383,428267,029
2018-03-21$246.78$250.0015.6%4.5%16.6%45.7%16.3%5.3%-0.1%50.7M-185.4M-16.6M1.2610.6834,42143,327384,252269,679
2018-03-22$239.73$250.0020.2%5.8%19.3%70.0%19.7%7.2%-0.4%-67.4M1.15B-15.7M1.0715.3761,24365,790387,358273,963
2018-03-23$235.49$248.0022.4%6.5%19.2%81.0%21.5%7.4%-0.5%-63.8M1.70B-15.2M1.3920.1958,98082,179406,853276,625
2018-03-26$242.09$247.0018.9%5.5%21.2%62.9%19.6%6.1%-0.1%19.8M207.1M-17.4M1.049.9751,83253,922393,965269,092
2018-03-27$238.49$246.0021.4%6.3%21.5%75.9%21.8%6.8%-0.2%-29.9M841.9M-16.6M1.2418.4649,30761,042404,936278,630
2018-03-28$238.56$246.0020.8%6.1%21.1%72.9%22.4%6.3%-0.2%-34.9M796.5M-16.6M1.4110.1343,58461,294402,822281,010
2018-03-29$241.65$246.0018.4%5.5%21.0%60.7%19.3%5.2%-0.2%9.0M260.5M-16.9M1.016.3748,47648,882409,646292,604