DIA Options History — September 2018

In September 2018, DIA traded between $259.16 and $267.07. ATM implied volatility averaged 10.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.8% (HV 20d: 7.6%). Max pain ranged from $255.00 to $260.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-09-20: Highest Volume — 142,532 contracts
  • 2018-09-17: Largest IV spike — 12.5% change
  • 2018-09-07: Highest IV Rank — 24.0%
  • 2018-09-07: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$262.55$259.16$267.07$259.70$264.25
Max Pain$257.26$255.00$260.00$255.00$260.00
ATM IV10.4%9.4%11.5%10.9%10.3%
Expected Move3.0%2.7%3.4%3.1%2.9%
HV 20d7.6%5.8%9.3%9.3%6.4%
HV 60d8.7%8.0%9.4%9.4%8.0%
IV Rank18.2%13.4%24.0%20.9%17.1%
IV Percentile41.8%28.6%60.3%52.0%36.1%
Term Structure0.2%-0.2%0.4%0.1%0.3%
VWIV11.1%10.0%12.8%11.8%10.5%
Skew 25d3.3%2.6%4.0%3.3%3.4%
Skew 10d6.3%5.1%8.3%6.4%6.4%
Call IV 25d9.4%8.6%10.2%9.9%9.0%
Put IV 25d12.7%11.2%14.2%13.2%12.4%
Bid-Ask Spread %6.845.169.825.165.19
Gamma HHI0.110.050.310.190.09
Net GEX293.2M46.0M587.1M436.5M46.0M
Net DEX-2.17B-3.63B-1.41B-2.18B-1.48B
Net VEX-15.8M-17.3M-14.5M-16.0M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.401.291.091.17
Total Volume68,713.73746,394142,53259,30448,407
Total OI632,373.474567,837669,731634,788598,590

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$259.70$255.0010.9%3.1%9.3%20.9%11.8%3.3%0.1%436.5M-2.18B-16.0M1.095.1628,41230,892397,465237,323
2018-09-05$259.77$255.0011.1%3.1%9.1%21.8%11.7%3.5%0.1%498.5M-2.18B-16.1M0.875.5633,47629,223402,881243,129
2018-09-06$260.54$255.0011.3%3.3%9.1%23.3%12.6%3.8%-0.2%587.1M-2.45B-16.0M0.817.8645,80037,270405,960248,960
2018-09-07$259.61$255.0011.5%3.4%9.2%24.0%12.8%4.0%0.2%524.9M-1.81B-16.0M0.976.3341,48540,110397,219255,322
2018-09-10$259.16$255.0011.2%3.3%8.5%22.7%12.3%3.8%0.2%170.2M-1.54B-15.5M0.907.4326,64424,031381,771244,165
2018-09-11$260.12$256.0010.7%3.2%8.4%19.7%11.6%3.3%0.3%216.4M-1.87B-15.2M0.868.2142,98237,137387,190247,582
2018-09-12$260.50$256.0010.4%3.0%8.3%18.4%11.0%3.3%0.2%285.5M-2.03B-15.2M0.849.8237,27731,152400,732257,089
2018-09-13$261.43$256.0010.1%3.0%7.9%16.7%10.6%2.9%0.3%355.4M-2.42B-15.3M0.798.2839,53731,276403,343260,569
2018-09-14$261.85$256.009.4%2.8%5.8%13.4%10.4%2.6%0.3%333.9M-2.55B-16.3M1.129.2332,87936,923401,035261,990
2018-09-17$260.67$257.0010.6%3.1%6.1%19.6%11.1%3.5%-0.1%230.7M-1.93B-14.5M1.296.9524,06431,145389,962249,811
2018-09-18$263.14$257.0010.2%2.9%6.8%17.2%10.7%3.0%0.1%354.8M-2.76B-16.2M0.806.7738,50830,932395,167254,289
2018-09-19$264.55$257.009.5%2.7%6.9%13.7%10.0%2.8%0.2%390.5M-3.09B-15.0M0.888.4143,41838,108394,188257,812
2018-09-20$267.05$258.009.8%2.8%7.3%14.2%11.0%3.6%0.0%322.8M-3.63B-15.7M0.407.08102,16840,364398,489271,242
2018-09-21$267.07$260.009.8%2.8%7.0%14.2%10.7%2.8%0.2%312.2M-2.60B-17.2M0.935.6737,82135,017365,636283,422
2018-09-24$265.49$260.0010.5%3.0%7.5%18.1%10.7%3.4%0.1%120.5M-1.91B-17.3M1.125.6031,82435,636340,263227,574
2018-09-25$264.88$260.0010.4%2.9%6.9%17.4%10.8%3.4%0.3%145.2M-1.74B-16.1M1.005.4423,24023,154347,540229,237
2018-09-26$264.56$260.0010.3%2.9%6.9%17.1%10.7%3.3%0.3%138.1M-1.57B-16.3M0.785.3727,09921,029352,144232,170
2018-09-27$264.10$260.0010.4%2.9%6.9%17.3%10.4%3.5%0.4%101.2M-1.41B-15.7M1.025.5723,32923,792358,342235,493
2018-09-28$264.25$260.0010.3%2.9%6.4%17.1%10.5%3.4%0.3%46.0M-1.48B-15.5M1.175.1922,32026,087361,118237,472