DIA Options History — October 2018

In October 2018, DIA traded between $241.94 and $267.96. ATM implied volatility averaged 16.8%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 13.4%). Max pain ranged from $257.00 to $265.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.00.

Notable Days

2018-10-11: Highest Volume — 137,651 contracts
2018-10-10: Largest IV spike — 31.9% change
2018-10-29: Highest IV Rank — 86.9%
2018-10-29: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$256.16	$241.94	$267.96	$265.87	$251.94
Max Pain	$261.89	$257.00	$265.00	$261.00	$257.00
ATM IV	16.8%	10.2%	23.6%	10.3%	18.5%
Expected Move	5.0%	2.8%	7.9%	2.8%	6.0%
HV 20d	13.4%	6.7%	20.8%	6.7%	20.8%
HV 60d	10.3%	7.7%	13.9%	8.1%	13.9%
IV Rank	50.7%	16.3%	86.9%	17.1%	58.7%
IV Percentile	80.9%	32.5%	98.8%	35.3%	90.9%
Term Structure	-0.2%	-0.9%	0.8%	0.7%	-0.2%
VWIV	17.9%	10.3%	26.7%	11.1%	22.2%
Skew 25d	5.5%	3.1%	7.0%	3.9%	5.4%
Skew 10d	10.5%	7.5%	13.5%	7.7%	10.7%
Call IV 25d	14.6%	9.0%	20.6%	9.3%	16.4%
Put IV 25d	20.1%	12.3%	27.7%	13.2%	21.8%
Bid-Ask Spread %	6.59	4.61	9.74	5.78	6.07
Gamma HHI	0.05	0.03	0.08	0.07	0.04
Net GEX	55.1M	-34.8M	212.9M	163.2M	81.4M
Net DEX	-84.3M	-2.40B	1.56B	-1.95B	-215.6M
Net VEX	-15.7M	-17.8M	-13.6M	-15.6M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.74	1.39	0.81	1.04
Total Volume	82,677.522	56,759	137,651	60,637	73,564
Total OI	625,521.391	537,594	692,418	537,594	662,714

Daily Data (23 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
2018-10-01	$265.87	$261.00	10.3%	2.8%	6.7%	17.1%	11.1%	3.9%	0.7%	163.2M	-1.95B	-15.6M	0.81	5.78	33,557	27,080	330,647	206,947
2018-10-02	$267.51	$262.00	10.2%	2.8%	6.9%	16.3%	10.6%	3.6%	0.8%	212.9M	-2.34B	-17.0M	1.05	5.07	29,087	30,551	336,719	212,793
2018-10-03	$267.96	$262.00	10.3%	2.8%	6.9%	16.8%	10.3%	3.1%	0.8%	200.9M	-2.40B	-16.1M	1.17	4.61	38,743	45,471	342,797	222,534
2018-10-04	$265.63	$265.00	12.3%	3.7%	7.8%	27.7%	13.1%	4.3%	0.7%	72.2M	-1.58B	-17.8M	1.06	6.36	44,069	46,876	352,483	236,104
2018-10-05	$264.02	$265.00	13.5%	4.0%	8.0%	33.7%	14.2%	5.1%	0.5%	66.7M	-1.08B	-16.5M	0.99	9.29	45,691	45,398	363,554	235,972
2018-10-08	$265.11	$265.00	13.5%	3.9%	8.0%	33.3%	13.7%	5.2%	0.1%	144.3M	-1.62B	-17.6M	0.98	5.50	35,754	35,034	355,746	223,527
2018-10-09	$264.34	$265.00	13.9%	4.0%	8.1%	35.7%	13.8%	5.3%	0.1%	131.0M	-1.35B	-16.7M	0.89	6.63	32,344	28,800	365,332	230,914
2018-10-10	$256.81	$265.00	18.4%	5.2%	13.3%	59.4%	17.2%	6.7%	-0.3%	6.9M	400.3M	-15.9M	0.75	9.74	65,887	49,649	371,736	236,517
2018-10-11	$252.12	$264.00	21.4%	5.9%	14.6%	75.4%	20.1%	7.0%	-0.8%	-13.0M	1.16B	-15.0M	1.12	7.79	65,006	72,645	386,559	241,820
2018-10-12	$252.85	$264.00	19.1%	5.4%	14.6%	63.3%	19.7%	6.5%	-0.5%	-34.5M	1.13B	-14.9M	1.25	6.42	50,803	63,461	402,407	256,779
2018-10-15	$253.49	$263.00	18.3%	5.2%	14.7%	58.9%	17.7%	6.3%	-0.9%	-574.1K	773.8M	-14.8M	0.81	5.97	38,510	31,381	392,898	254,802
2018-10-16	$257.64	$263.00	15.5%	4.4%	15.5%	43.6%	17.4%	5.3%	-0.6%	90.9M	-242.2M	-15.7M	0.83	6.44	43,958	36,423	399,818	258,727
2018-10-17	$256.59	$262.00	15.6%	4.5%	15.3%	43.9%	16.4%	5.3%	-0.9%	73.9M	40.3M	-15.1M	0.91	7.07	39,293	35,722	404,933	264,723
2018-10-18	$253.74	$262.00	17.5%	5.0%	15.1%	53.1%	17.5%	6.0%	-0.5%	9.5M	734.9M	-15.1M	0.98	8.16	46,866	46,062	410,298	270,675
2018-10-19	$254.62	$261.00	16.9%	4.9%	15.3%	50.2%	18.2%	5.5%	-0.9%	86.6M	537.6M	-15.5M	1.06	7.42	42,240	44,695	414,672	277,746
2018-10-22	$253.59	$261.00	17.2%	5.0%	15.2%	51.6%	18.4%	5.6%	-0.6%	1.2M	367.8M	-15.8M	0.74	5.42	32,654	24,105	378,929	234,058
2018-10-23	$252.25	$261.00	17.8%	5.5%	15.2%	54.9%	19.4%	5.7%	-0.0%	-5.2M	534.5M	-15.8M	0.86	6.04	48,581	41,608	386,361	236,931
2018-10-24	$248.75	$260.00	20.4%	6.1%	15.8%	69.3%	22.5%	6.1%	-0.4%	-18.2M	1.08B	-14.9M	1.39	6.19	35,480	49,398	396,948	239,328
2018-10-25	$250.23	$260.00	19.7%	6.1%	16.1%	65.3%	21.9%	5.6%	-0.5%	4.7M	688.9M	-15.2M	1.14	6.10	32,420	37,047	405,355	242,970
2018-10-26	$246.76	$260.00	21.9%	7.0%	16.5%	77.3%	24.8%	6.4%	-0.9%	-34.8M	1.28B	-14.8M	1.01	5.97	47,250	47,612	409,700	247,836
2018-10-29	$241.94	$258.00	23.6%	7.9%	17.1%	86.9%	26.7%	7.0%	-0.5%	-16.4M	1.56B	-13.6M	1.03	7.88	35,888	36,799	397,105	237,410
2018-10-30	$247.95	$257.50	21.0%	6.9%	19.7%	72.7%	24.6%	5.9%	-0.5%	42.9M	542.2M	-15.4M	1.18	5.69	31,264	36,857	410,535	239,633
2018-10-31	$251.94	$257.00	18.5%	6.0%	20.8%	58.7%	22.2%	5.4%	-0.2%	81.4M	-215.6M	-15.7M	1.04	6.07	36,010	37,554	414,661	248,053