DIA Options History — July 2018

In July 2018, DIA traded between $241.66 and $255.10. ATM implied volatility averaged 11.4%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.0% (HV 20d: 10.4%). Max pain ranged from $245.00 to $252.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2018-07-27: Highest Volume — 90,478 contracts
2018-07-06: Largest IV drop — 11.0% change
2018-07-03: Highest IV Rank — 39.6%
2018-07-03: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$249.68	$241.66	$255.10	$242.36	$254.04
Max Pain	$247.43	$245.00	$252.00	$245.00	$252.00
ATM IV	11.4%	10.0%	14.4%	14.1%	10.8%
Expected Move	3.3%	2.9%	4.2%	4.2%	3.2%
HV 20d	10.4%	8.2%	12.2%	10.8%	8.5%
HV 60d	11.8%	10.5%	12.9%	12.9%	10.5%
IV Rank	24.0%	16.8%	39.6%	38.1%	20.7%
IV Percentile	57.7%	42.9%	77.8%	75.8%	52.4%
Term Structure	0.1%	-0.3%	0.6%	0.1%	-0.0%
VWIV	12.1%	10.8%	15.1%	15.1%	11.7%
Skew 25d	3.7%	2.8%	5.0%	4.8%	3.9%
Skew 10d	7.4%	5.4%	10.0%	9.8%	8.3%
Call IV 25d	10.0%	9.1%	12.2%	12.1%	9.6%
Put IV 25d	13.8%	12.1%	17.2%	16.9%	13.4%
Bid-Ask Spread %	6.51	4.16	7.99	4.16	5.26
Gamma HHI	0.07	0.04	0.16	0.04	0.06
Net GEX	213.5M	33.4M	409.6M	47.3M	174.5M
Net DEX	-1.04B	-1.97B	412.3M	323.1M	-1.24B
Net VEX	-14.0M	-14.9M	-13.2M	-13.4M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.65	1.32	1.32	1.01
Total Volume	71,012.286	45,498	90,478	74,195	55,350
Total OI	558,954.524	489,813	610,056	551,802	530,581

Daily Data (21 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
2018-07-02	$242.36	$245.00	14.1%	4.2%	10.8%	38.1%	15.1%	4.8%	0.1%	47.3M	323.1M	-13.4M	1.32	4.16	31,946	42,249	346,362	205,440
2018-07-03	$241.66	$245.00	14.4%	4.2%	10.8%	39.6%	14.9%	5.0%	0.1%	33.4M	412.3M	-13.2M	0.97	5.85	32,111	31,026	352,475	212,701
2018-07-05	$243.38	$245.00	13.7%	4.0%	10.1%	36.3%	14.6%	4.5%	0.1%	59.9M	75.8M	-13.2M	1.07	7.54	38,727	41,302	351,743	215,628
2018-07-06	$244.53	$245.00	12.2%	3.6%	10.0%	28.5%	13.5%	3.8%	-0.0%	74.8M	-197.1M	-13.4M	1.08	7.22	38,516	41,679	359,537	222,789
2018-07-09	$247.95	$245.00	11.3%	3.4%	11.4%	23.8%	11.9%	3.4%	0.4%	206.7M	-969.6M	-13.8M	0.81	6.98	49,361	40,217	343,799	214,880
2018-07-10	$249.26	$245.00	11.2%	3.3%	11.5%	23.1%	11.5%	3.6%	0.4%	285.1M	-1.40B	-13.9M	0.75	7.02	49,993	37,516	358,334	223,034
2018-07-11	$247.31	$245.00	11.9%	3.6%	11.8%	26.8%	12.8%	3.9%	0.5%	165.9M	-685.3M	-14.0M	0.97	7.10	38,288	37,119	360,173	230,508
2018-07-12	$249.15	$245.00	11.2%	3.3%	12.1%	23.2%	11.7%	3.5%	0.5%	301.3M	-1.33B	-13.9M	0.82	7.99	39,139	31,994	367,436	233,110
2018-07-13	$250.15	$245.00	10.8%	3.2%	12.2%	20.8%	10.9%	3.6%	0.6%	409.6M	-1.67B	-14.2M	0.80	7.72	48,024	38,253	372,410	237,646
2018-07-16	$250.57	$246.00	10.7%	3.1%	12.0%	20.3%	12.2%	3.5%	-0.1%	257.7M	-1.34B	-13.9M	0.92	7.19	26,275	24,179	350,236	224,946
2018-07-17	$251.52	$247.00	10.2%	2.9%	12.0%	18.0%	11.0%	2.9%	-0.2%	299.6M	-1.61B	-13.5M	0.85	6.20	33,654	28,441	349,840	228,970
2018-07-18	$251.96	$247.00	10.4%	3.0%	11.1%	18.8%	11.2%	2.8%	-0.2%	328.0M	-1.80B	-14.6M	0.70	6.16	34,970	24,441	352,326	227,881
2018-07-19	$250.98	$248.00	10.9%	3.1%	11.3%	21.8%	11.4%	3.6%	-0.3%	293.8M	-1.38B	-14.7M	0.81	7.15	37,026	30,005	360,165	236,036
2018-07-20	$250.54	$249.00	10.7%	3.1%	10.4%	20.6%	11.2%	3.6%	-0.1%	276.0M	-953.0M	-13.9M	1.02	6.50	31,066	31,585	343,852	239,590
2018-07-23	$250.33	$250.00	11.0%	3.2%	10.0%	21.9%	11.1%	3.8%	0.2%	125.3M	-702.7M	-13.5M	0.91	6.66	23,773	21,725	300,512	189,301
2018-07-24	$251.82	$250.00	10.6%	3.1%	8.2%	20.2%	11.1%	3.6%	0.1%	197.0M	-1.09B	-14.7M	0.65	6.06	44,863	29,219	305,333	193,114
2018-07-25	$253.59	$250.00	10.0%	2.9%	8.4%	16.8%	10.8%	3.0%	0.2%	271.8M	-1.58B	-14.1M	0.69	7.67	40,281	27,817	317,640	197,923
2018-07-26	$255.10	$250.00	10.5%	3.1%	8.2%	19.3%	11.2%	3.1%	0.0%	294.1M	-1.97B	-14.4M	0.75	5.61	45,036	33,756	324,169	202,931
2018-07-27	$254.30	$251.00	10.8%	3.2%	8.4%	20.8%	11.5%	3.6%	0.1%	239.7M	-1.65B	-14.5M	0.76	5.89	51,474	39,004	323,746	213,363
2018-07-30	$252.88	$251.00	11.5%	3.4%	8.8%	24.2%	12.7%	4.1%	0.0%	142.4M	-984.5M	-14.2M	1.19	4.78	31,940	37,918	312,008	205,577
2018-07-31	$254.04	$252.00	10.8%	3.2%	8.5%	20.7%	11.7%	3.9%	-0.0%	174.5M	-1.24B	-14.9M	1.01	5.26	27,512	27,838	316,706	213,875