DIA Options History — April 2018

In April 2018, DIA traded between $236.10 and $248.18. ATM implied volatility averaged 16.8%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 6.6% (HV 20d: 23.4%). Max pain ranged from $243.00 to $246.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2018-04-06: Highest Volume — 125,179 contracts
  • 2018-04-06: Largest IV spike — 14.3% change
  • 2018-04-02: Highest IV Rank — 76.2%
  • 2018-04-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$243.05$236.10$248.18$236.10$242.38
Max Pain$244.00$243.00$246.00$246.00$243.00
ATM IV16.8%13.8%21.4%21.4%14.3%
Expected Move4.9%4.0%6.7%6.7%4.4%
HV 20d23.4%18.9%25.7%22.4%18.9%
HV 60d22.3%21.1%23.0%21.1%23.0%
IV Rank52.2%36.5%76.2%76.2%39.4%
IV Percentile88.9%80.2%98.0%98.0%80.2%
Term Structure-0.2%-0.5%0.2%-0.2%0.2%
VWIV17.9%14.9%23.0%23.0%15.5%
Skew 25d4.7%3.8%5.8%5.7%3.9%
Skew 10d9.0%7.1%11.4%11.4%7.6%
Call IV 25d14.8%12.5%18.5%18.5%12.7%
Put IV 25d19.5%16.3%24.2%24.2%16.6%
Bid-Ask Spread %9.695.0827.387.997.80
Gamma HHI0.030.020.080.030.03
Net GEX17.4M-81.0M113.1M-51.7M-18.0M
Net DEX61.0M-958.2M1.24B1.24B311.9M
Net VEX-15.7M-17.4M-13.9M-15.4M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.771.351.110.87
Total Volume81,343.14358,509125,179105,30864,942
Total OI648,068.619583,205684,512619,141607,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$236.10$246.0021.4%6.7%22.4%76.2%23.0%5.7%-0.2%-51.7M1.24B-15.4M1.117.9949,94255,366367,646251,495
2018-04-03$239.98$245.0019.7%6.1%22.7%67.3%22.0%5.3%-0.2%-1.3M518.1M-16.4M1.015.0843,37743,822382,320258,364
2018-04-04$242.90$245.0018.3%5.7%23.2%59.8%21.3%5.2%-0.1%23.9M24.3M-16.7M1.126.4545,07050,271384,494267,009
2018-04-05$245.14$243.0017.4%5.0%23.5%55.1%17.6%5.0%-0.1%74.9M-532.6M-17.2M0.848.9549,86341,764390,764272,638
2018-04-06$238.92$244.0019.9%5.7%25.1%68.1%20.0%5.8%-0.3%-45.0M856.9M-16.0M1.0311.8661,80163,378394,707277,115
2018-04-09$241.24$243.0020.0%5.7%24.3%68.5%20.5%5.7%-0.0%24.4M230.9M-16.7M1.0110.7239,68340,063390,317259,144
2018-04-10$244.13$244.0019.2%5.5%24.8%64.5%19.5%5.1%-0.1%64.4M-337.3M-17.4M1.109.4939,77243,584393,171265,631
2018-04-11$242.05$244.0018.8%5.4%24.8%62.6%19.8%5.1%0.2%19.9M166.9M-16.8M1.269.0229,23036,703395,806272,393
2018-04-12$245.51$243.0016.8%4.9%25.2%52.4%18.0%4.7%0.1%95.2M-603.9M-16.8M1.2810.0032,94342,092400,200275,147
2018-04-13$243.32$244.0016.8%4.8%25.3%52.1%17.2%4.3%0.2%17.3M-18.3M-16.2M1.319.3335,27446,201403,597280,816
2018-04-16$246.18$244.0015.0%4.3%25.7%42.8%16.3%4.1%-0.2%80.7M-597.5M-15.9M1.358.7028,45438,421390,558264,598
2018-04-17$248.18$244.0013.8%4.0%25.3%36.5%15.3%4.0%-0.2%113.1M-958.2M-16.0M0.909.8640,16435,982392,666272,901
2018-04-18$247.58$245.0013.8%4.0%25.3%36.6%14.9%3.8%-0.2%93.9M-814.3M-16.1M1.0111.3829,05929,450394,775279,631
2018-04-19$246.89$245.0014.1%4.1%25.3%38.3%15.5%4.0%-0.3%73.3M-606.6M-15.2M1.2327.3834,36842,213398,730283,489
2018-04-20$244.10$244.0015.4%4.4%23.3%44.7%16.6%4.4%-0.4%-81.0M271.8M-15.1M1.158.3937,04142,702395,383289,129
2018-04-23$244.03$244.0015.2%4.4%22.2%43.7%16.0%4.5%-0.3%1.1M79.0M-14.6M0.999.5031,18830,955340,846242,359
2018-04-24$238.98$244.0017.1%5.1%21.4%53.7%17.3%4.8%-0.5%-62.2M969.3M-13.9M0.838.0657,57047,506344,116246,624
2018-04-25$240.23$244.0016.7%5.0%20.8%51.4%17.6%4.6%-0.4%-39.6M691.4M-14.5M0.979.0542,89641,715363,804251,858
2018-04-26$243.29$243.0015.0%4.4%21.2%42.8%16.1%3.9%-0.3%6.4M122.5M-14.8M0.777.6541,72032,269369,535258,901
2018-04-27$242.91$243.0014.3%4.2%20.8%39.2%15.4%3.8%-0.2%-24.8M265.9M-14.4M1.006.8334,76034,632374,098264,748
2018-04-30$242.38$243.0014.3%4.4%18.9%39.4%15.5%3.9%0.2%-18.0M311.9M-14.2M0.877.8034,76730,175356,780251,138