DIA Options History — June 2018

In June 2018, DIA traded between $242.21 and $253.77. ATM implied volatility averaged 12.0%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.0% (HV 20d: 12.0%). Max pain ranged from $245.00 to $249.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-06-25: Highest Volume — 116,894 contracts
  • 2018-06-25: Largest IV spike — 22.5% change
  • 2018-06-27: Highest IV Rank — 44.9%
  • 2018-06-27: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$248.01$242.21$253.77$246.12$243.51
Max Pain$246.67$245.00$249.00$245.00$245.00
ATM IV12.0%10.1%15.4%11.7%13.6%
Expected Move3.5%3.1%4.5%3.4%4.0%
HV 20d12.0%11.3%13.9%12.6%11.3%
HV 60d16.5%13.9%18.3%18.2%13.9%
IV Rank27.4%17.5%44.9%25.6%35.8%
IV Percentile67.7%56.7%84.1%67.5%73.0%
Term Structure0.1%-0.3%0.5%-0.1%0.3%
VWIV12.6%10.7%16.2%11.9%14.0%
Skew 25d3.8%2.8%5.8%3.7%4.8%
Skew 10d7.8%5.3%11.9%7.0%9.6%
Call IV 25d10.5%9.1%13.1%10.4%11.8%
Put IV 25d14.4%12.1%18.4%14.1%16.6%
Bid-Ask Spread %7.924.3010.854.306.96
Gamma HHI0.060.040.130.040.05
Net GEX89.6M-60.9M228.4M88.7M62.4M
Net DEX-705.1M-2.35B718.7M-414.2M119.6M
Net VEX-14.2M-14.9M-13.5M-14.2M-14.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.761.490.830.93
Total Volume85,522.71460,606116,89484,86387,549
Total OI648,416.333530,017710,801694,775659,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$246.12$245.0011.7%3.4%12.6%25.6%11.9%3.7%-0.1%88.7M-414.2M-14.2M0.834.3046,28338,580416,864277,911
2018-06-04$248.30$246.0011.1%3.3%11.7%22.6%11.3%3.4%0.3%131.4M-958.3M-14.1M0.9410.6336,89034,676399,570268,584
2018-06-05$248.03$246.0011.0%3.3%11.7%22.0%11.9%3.4%0.3%93.6M-780.6M-13.5M0.998.1730,46430,142398,837272,637
2018-06-06$251.10$246.0010.1%3.1%12.3%17.5%10.7%3.1%0.4%198.4M-1.82B-13.8M0.779.8251,92140,169399,850274,311
2018-06-07$252.62$247.0010.4%3.1%12.3%18.8%11.9%3.3%0.4%219.3M-2.20B-14.4M0.828.2049,32640,300408,031282,134
2018-06-08$253.05$247.0010.4%3.2%11.9%19.0%11.5%3.1%0.4%211.5M-2.35B-14.4M0.9510.2043,40841,304411,906289,726
2018-06-11$253.77$247.0010.4%3.1%11.9%19.2%12.5%3.1%0.4%228.4M-2.27B-14.5M0.858.5946,01138,909405,814278,226
2018-06-12$253.11$247.0010.5%3.1%11.9%19.6%11.3%2.9%0.4%223.8M-2.12B-14.7M0.807.7436,05628,733414,680281,169
2018-06-13$252.72$247.0010.8%3.1%11.3%21.0%11.8%3.0%0.2%216.1M-1.99B-14.9M0.908.9732,24629,091418,971284,746
2018-06-14$252.17$247.0010.5%3.1%11.3%19.4%11.8%2.8%0.5%189.5M-1.75B-13.8M0.768.0050,19238,260421,755289,046
2018-06-15$250.56$248.0010.7%3.1%11.6%20.6%11.6%2.9%0.4%-38.1M-656.7M-14.2M1.118.6853,33159,318400,071297,883
2018-06-18$249.51$249.0011.1%3.2%11.7%22.4%10.9%3.4%-0.2%74.9M-509.3M-14.3M1.007.6838,76138,722312,907217,110
2018-06-19$246.60$248.0012.6%3.6%11.9%30.2%13.2%4.2%-0.2%11.5M101.1M-13.8M1.117.8049,37755,031322,906219,726
2018-06-20$246.61$247.0012.2%3.5%11.8%28.1%12.1%3.7%-0.3%22.6M-3.1M-14.5M0.816.3039,57632,222340,560231,281
2018-06-21$243.97$247.0013.8%4.0%12.3%36.7%13.7%4.3%-0.3%-16.2M583.3M-14.0M1.056.5447,98050,491354,198234,804
2018-06-22$246.22$247.0012.3%3.5%12.8%28.9%12.4%4.1%-0.0%79.8M-137.1M-14.5M0.997.5041,88941,341372,971247,233
2018-06-25$242.52$246.0015.1%4.4%13.9%43.3%14.9%5.8%0.0%-14.3M718.7M-13.7M1.2710.8551,43665,458366,600234,875
2018-06-26$243.23$246.0014.1%4.1%12.8%38.2%14.6%5.1%0.2%3.2M441.0M-13.9M1.036.7436,35637,488379,465245,010
2018-06-27$242.21$246.0015.4%4.5%11.9%44.9%15.3%5.2%-0.1%-43.9M631.1M-14.1M1.106.6945,11549,537384,756250,114
2018-06-28$242.34$246.0014.8%4.3%11.5%41.8%16.2%5.0%-0.1%-60.9M566.7M-14.0M1.496.0236,91755,121397,506252,645
2018-06-29$243.51$245.0013.6%4.0%11.3%35.8%14.0%4.8%0.3%62.4M119.6M-14.1M0.936.9645,26942,280400,294259,060