DIA Options History — May 2018

In May 2018, DIA traded between $238.78 and $249.62. ATM implied volatility averaged 12.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.2% (HV 20d: 13.8%). Max pain ranged from $243.00 to $246.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2018-05-03: Highest Volume — 114,792 contracts
2018-05-29: Largest IV spike — 26.7% change
2018-05-03: Highest IV Rank — 42.5%
2018-05-01: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$245.55	$238.78	$249.62	$240.10	$244.32
Max Pain	$244.27	$243.00	$246.00	$243.00	$245.00
ATM IV	12.6%	10.9%	14.9%	14.6%	13.1%
Expected Move	3.7%	3.1%	4.5%	4.5%	3.9%
HV 20d	13.8%	10.2%	18.4%	18.4%	12.5%
HV 60d	19.1%	17.8%	22.5%	22.5%	18.1%
IV Rank	30.4%	21.8%	42.5%	41.0%	32.7%
IV Percentile	72.9%	65.5%	81.3%	81.0%	73.4%
Term Structure	0.1%	-0.3%	0.7%	0.1%	-0.3%
VWIV	13.5%	11.1%	16.1%	15.9%	13.4%
Skew 25d	3.6%	2.5%	5.1%	3.7%	4.4%
Skew 10d	7.2%	5.1%	9.4%	7.3%	8.6%
Call IV 25d	11.3%	9.6%	13.4%	13.1%	11.3%
Put IV 25d	14.9%	13.3%	17.2%	16.8%	15.7%
Bid-Ask Spread %	7.61	4.75	9.44	7.57	6.14
Gamma HHI	0.04	0.03	0.07	0.03	0.04
Net GEX	43.6M	-73.6M	155.6M	-63.4M	-38.9M
Net DEX	-302.5M	-1.27B	959.7M	777.3M	262.9M
Net VEX	-13.5M	-14.2M	-12.7M	-13.7M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.73	1.18	0.75	0.93
Total Volume	80,414.773	59,549	114,792	89,915	88,273
Total OI	646,446.455	584,699	676,644	618,509	676,644

Daily Data (22 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
2018-05-01	$240.10	$243.00	14.6%	4.5%	18.4%	41.0%	15.9%	3.7%	0.1%	-63.4M	777.3M	-13.7M	0.75	7.57	51,445	38,470	361,206	257,303
2018-05-02	$239.26	$243.00	14.6%	4.5%	17.8%	40.7%	16.1%	3.6%	0.3%	-62.9M	878.3M	-13.4M	0.97	4.75	34,533	33,520	373,197	261,346
2018-05-03	$238.78	$244.00	14.9%	4.4%	17.5%	42.5%	15.4%	3.8%	0.1%	-73.6M	959.7M	-13.3M	1.05	8.67	55,909	58,883	379,033	265,498
2018-05-04	$242.75	$243.00	13.6%	4.0%	16.0%	35.5%	14.0%	3.4%	0.4%	81.9M	-80.0M	-14.0M	0.92	7.28	53,709	49,381	388,276	272,732
2018-05-07	$243.27	$243.00	13.8%	4.1%	15.7%	36.3%	14.6%	3.4%	0.4%	9.7M	-11.8M	-13.8M	1.01	8.11	34,528	34,720	374,870	260,489
2018-05-08	$243.40	$244.00	13.7%	4.1%	15.1%	36.0%	15.0%	3.5%	0.4%	11.4M	14.1M	-14.0M	1.09	7.67	28,424	31,125	377,810	264,422
2018-05-09	$244.97	$243.00	12.7%	3.8%	14.9%	30.8%	14.0%	3.1%	0.6%	55.5M	-417.3M	-13.3M	0.98	8.09	33,693	33,165	379,899	266,382
2018-05-10	$247.51	$243.00	11.8%	3.5%	14.5%	26.4%	13.3%	2.5%	0.6%	111.2M	-1.10B	-13.6M	0.88	8.55	43,638	38,575	383,400	269,988
2018-05-11	$248.42	$244.00	11.8%	3.5%	14.1%	26.0%	13.3%	2.6%	0.7%	155.6M	-1.27B	-14.0M	0.82	8.50	45,247	37,212	387,158	277,505
2018-05-14	$249.17	$244.00	11.7%	3.4%	13.6%	25.4%	12.7%	2.9%	-0.0%	115.6M	-1.20B	-13.4M	0.88	7.99	34,620	30,359	379,217	267,916
2018-05-15	$246.79	$244.00	12.7%	3.7%	13.7%	31.0%	13.4%	3.8%	-0.2%	44.5M	-523.9M	-13.4M	1.04	9.37	35,019	36,257	383,365	271,629
2018-05-16	$247.84	$244.00	11.9%	3.4%	13.8%	26.6%	13.0%	3.4%	-0.1%	88.2M	-819.5M	-13.2M	1.18	8.18	28,694	33,807	387,092	275,070
2018-05-17	$247.40	$245.00	11.9%	3.4%	13.8%	26.6%	12.6%	3.5%	-0.1%	58.7M	-647.5M	-12.9M	0.85	8.69	44,364	37,901	389,005	280,499
2018-05-18	$247.17	$245.00	11.7%	3.4%	13.1%	25.7%	12.8%	3.2%	0.0%	-2.6M	-286.0M	-12.7M	1.06	9.44	35,786	38,092	375,650	282,672
2018-05-21	$249.62	$245.00	11.4%	3.3%	13.5%	24.0%	12.0%	3.8%	0.2%	104.9M	-988.5M	-12.8M	0.73	8.51	54,761	39,950	346,842	237,857
2018-05-22	$248.30	$245.00	11.7%	3.4%	11.0%	25.8%	11.8%	3.8%	-0.1%	66.4M	-695.2M	-13.6M	0.74	6.75	41,472	30,629	364,714	248,048
2018-05-23	$248.14	$245.00	11.3%	3.3%	11.0%	23.3%	12.5%	3.5%	0.1%	69.5M	-654.7M	-13.4M	1.12	6.72	43,775	49,069	371,954	250,561
2018-05-24	$247.85	$245.00	10.9%	3.1%	10.2%	21.8%	11.1%	3.9%	0.1%	71.9M	-550.8M	-14.0M	0.90	6.37	36,452	32,690	385,868	270,015
2018-05-25	$247.22	$246.00	11.3%	3.3%	10.2%	23.7%	12.3%	3.7%	0.0%	90.4M	-302.7M	-13.9M	0.81	6.27	33,785	27,348	391,996	273,906
2018-05-29	$243.37	$246.00	14.3%	4.4%	11.8%	39.4%	15.0%	5.1%	-0.3%	-41.3M	489.1M	-13.5M	1.04	7.82	54,336	56,472	383,974	259,351
2018-05-30	$246.54	$245.00	12.2%	3.6%	12.0%	28.1%	12.9%	4.1%	-0.0%	105.4M	-485.6M	-14.2M	0.96	5.90	45,507	43,530	402,158	265,305
2018-05-31	$244.32	$245.00	13.1%	3.9%	12.5%	32.7%	13.4%	4.4%	-0.3%	-38.9M	262.9M	-14.0M	0.93	6.14	45,801	42,472	402,380	274,264