DIA Options History — November 2018

In November 2018, DIA traded between $242.81 and $261.45. ATM implied volatility averaged 17.4%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 3.3% (HV 20d: 20.6%). Max pain ranged from $254.00 to $257.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-11-07: Highest Volume — 100,088 contracts
  • 2018-11-12: Largest IV spike — 19.7% change
  • 2018-11-20: Highest IV Rank — 71.1%
  • 2018-11-20: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$252.61$242.81$261.45$253.31$255.52
Max Pain$254.74$254.00$257.00$257.00$254.00
ATM IV17.4%14.0%20.8%17.2%16.1%
Expected Move5.2%4.3%6.0%5.5%5.1%
HV 20d20.6%19.0%22.1%20.9%19.7%
HV 60d15.3%13.9%17.1%13.9%17.1%
IV Rank52.3%33.9%71.1%51.6%45.4%
IV Percentile83.7%67.1%95.2%86.5%75.4%
Term Structure-0.1%-1.1%0.7%0.0%0.3%
VWIV18.5%14.7%20.4%20.1%18.8%
Skew 25d4.7%3.7%5.5%5.1%3.7%
Skew 10d9.2%7.1%10.7%10.5%7.9%
Call IV 25d15.4%12.6%18.5%15.1%14.6%
Put IV 25d20.1%16.7%23.5%20.2%18.3%
Bid-Ask Spread %4.873.506.444.284.17
Gamma HHI0.050.030.070.040.07
Net GEX60.0M-76.0M247.6M106.9M156.2M
Net DEX-212.7M-2.14B1.48B-471.4M-1.18B
Net VEX-14.6M-16.7M-12.0M-15.6M-14.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.571.430.910.82
Total Volume74,419.95252,946100,08868,52862,131
Total OI664,549.476614,035707,429675,817669,795

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$253.31$257.0017.2%5.5%20.9%51.6%20.1%5.1%0.0%106.9M-471.4M-15.6M0.914.2835,88232,646421,728254,089
2018-11-02$252.47$257.0017.5%5.6%20.9%53.6%20.3%5.3%0.1%91.7M-285.8M-15.4M0.964.3842,49940,696429,309259,233
2018-11-05$254.37$254.0017.6%5.2%21.1%53.8%18.7%5.4%0.3%78.5M-452.9M-15.7M1.435.4223,73833,887404,473250,988
2018-11-06$255.47$254.0017.3%5.1%21.2%52.2%18.9%5.2%0.3%94.2M-715.0M-16.7M1.125.3227,27130,416408,757258,973
2018-11-07$261.45$254.0014.0%4.3%20.3%33.9%16.3%4.0%0.6%233.6M-2.14B-16.0M0.845.6954,47845,610414,401263,632
2018-11-08$261.42$255.0014.0%4.3%19.0%34.2%15.9%4.2%0.7%247.6M-2.10B-15.6M0.935.4142,42539,606419,818270,197
2018-11-09$260.81$255.0014.7%4.3%19.1%37.6%14.7%4.4%-0.0%227.1M-1.82B-15.9M0.933.8543,93440,996426,739280,690
2018-11-12$254.73$255.0017.6%5.1%21.1%53.5%17.9%5.5%0.2%5.7M-96.2M-15.8M1.005.0141,81642,009409,447274,521
2018-11-13$253.01$255.0017.8%5.2%20.3%54.9%18.8%5.4%0.2%-35.4M365.3M-14.9M1.175.5833,44739,158413,981281,417
2018-11-14$251.91$255.0018.4%5.4%20.3%58.1%18.9%5.3%0.3%-22.5M480.5M-14.2M1.116.0834,30438,005414,698276,695
2018-11-15$252.97$255.0017.9%5.2%20.0%55.5%18.7%5.0%0.3%13.9M151.7M-15.2M0.926.3644,24840,674418,169279,614
2018-11-16$254.38$255.0016.7%4.9%20.1%48.4%17.1%4.5%0.4%56.3M-196.7M-14.6M0.976.4435,11234,043423,271282,890
2018-11-19$249.48$255.0019.3%5.5%21.2%62.9%19.1%5.0%-1.0%-2.2M478.1M-13.8M0.894.5734,51430,561377,084236,951
2018-11-20$244.83$255.0020.8%6.0%22.1%71.1%20.4%5.0%-1.1%-41.8M1.14B-13.6M1.074.8848,09851,362385,363239,528
2018-11-21$244.90$254.5019.1%5.5%21.6%61.9%19.3%4.7%-0.8%-40.3M1.09B-13.2M0.794.1629,54023,406390,204237,489
2018-11-23$242.81$254.0019.8%5.7%21.6%65.5%19.5%4.5%-0.7%-76.0M1.48B-12.0M1.064.9527,22328,823395,628241,175
2018-11-26$246.24$254.0017.8%5.3%21.8%54.5%18.5%4.2%-0.6%-24.7M801.4M-12.7M0.743.9937,33827,486382,049237,923
2018-11-27$247.23$254.0017.5%5.3%20.5%52.8%19.0%4.1%-0.3%-8.8M616.7M-12.7M0.913.5034,58131,633388,144242,702
2018-11-28$253.21$254.0016.8%5.1%20.4%48.8%18.5%3.8%-0.3%87.0M-649.5M-13.5M0.734.2357,55741,928391,911248,230
2018-11-29$254.39$254.0016.6%5.1%19.7%48.2%18.6%3.8%-0.4%113.4M-959.5M-14.5M0.573.9350,71529,023397,328256,305
2018-11-30$255.52$254.0016.1%5.1%19.7%45.4%18.8%3.7%0.3%156.2M-1.18B-14.1M0.824.1734,22727,904406,432263,363