DIA Options History — December 2018

In December 2018, DIA traded between $219.01 and $258.38. ATM implied volatility averaged 22.4%, placing in the 74.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.1% (HV 20d: 22.3%). Max pain ranged from $240.00 to $254.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-12-21: Highest Volume — 116,579 contracts
  • 2018-12-04: Largest IV spike — 24.5% change
  • 2018-12-21: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$238.91$219.01$258.38$258.38$232.72
Max Pain$248.40$240.00$254.00$254.00$240.00
ATM IV22.4%14.8%30.6%14.8%24.2%
Expected Move6.6%4.6%9.1%4.6%7.3%
HV 20d22.3%19.4%27.5%20.0%26.4%
HV 60d19.5%17.2%22.4%17.2%22.4%
IV Rank74.3%38.0%100.0%38.0%72.0%
IV Percentile93.9%65.9%100.0%65.9%96.8%
Term Structure-0.2%-1.0%0.4%0.1%-0.1%
VWIV23.1%16.4%32.5%16.4%25.4%
Skew 25d5.4%3.4%7.4%3.4%6.3%
Skew 10d10.8%6.3%14.8%6.3%11.8%
Call IV 25d20.0%13.2%27.0%13.2%21.1%
Put IV 25d25.3%16.7%34.4%16.7%27.4%
Bid-Ask Spread %6.204.5710.264.574.68
Gamma HHI0.040.030.070.060.03
Net GEX-35.8M-110.0M168.3M168.3M-6.5M
Net DEX1.37B-1.67B3.60B-1.67B667.7M
Net VEX-11.3M-13.4M-8.4M-13.2M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.661.470.661.00
Total Volume78,907.648,037116,57988,34748,037
Total OI678,836.25595,631771,167642,636595,631

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$258.38$254.0014.8%4.6%20.0%38.0%16.4%3.4%0.1%168.3M-1.67B-13.2M0.664.5753,32835,019392,872249,764
2018-12-04$251.21$254.0018.4%6.1%22.4%58.0%20.9%4.7%0.1%12.4M144.7M-13.4M0.926.2940,71137,429401,345259,294
2018-12-05$250.72$254.0018.5%6.2%22.3%58.7%21.4%4.9%0.1%-5.3M288.8M-12.9M0.916.2342,84138,927401,345259,294
2018-12-06$249.59$250.0019.1%5.5%20.4%61.6%19.9%4.7%0.1%-26.8M536.0M-12.9M0.956.9659,86356,704413,819264,134
2018-12-07$245.98$250.0020.6%5.9%20.8%69.9%21.0%5.2%-0.0%-71.2M1.18B-12.7M0.955.0930,25628,714430,664276,229
2018-12-10$245.04$250.0020.9%6.0%20.8%71.6%20.4%5.3%0.0%-36.8M1.12B-12.6M0.815.8647,74038,736417,635264,550
2018-12-11$244.86$250.0020.2%5.8%19.4%67.8%20.2%5.0%0.1%-26.2M1.07B-12.9M0.815.9342,59534,324427,286269,505
2018-12-12$246.65$250.0019.3%5.6%19.6%63.1%19.8%4.8%0.3%-11.9M755.2M-12.7M1.015.4629,62430,062435,399276,033
2018-12-13$246.35$250.0018.9%5.5%19.5%60.9%19.8%4.4%0.4%-24.2M871.4M-12.3M1.006.2129,56129,611438,063278,647
2018-12-14$240.91$250.0020.7%6.0%20.8%70.7%20.6%4.5%0.2%-90.6M1.96B-12.0M1.136.3743,31548,957441,521281,905
2018-12-17$235.34$250.0023.3%6.7%21.8%85.2%22.5%5.2%-0.6%-101.7M2.55B-10.3M0.915.1336,09733,002431,561269,344
2018-12-18$237.76$250.0022.6%6.5%21.6%81.0%22.9%5.0%-0.5%-73.0M2.11B-11.3M0.846.2938,23032,264446,476273,358
2018-12-19$233.49$250.0022.7%6.5%21.5%81.4%21.7%5.0%-0.4%-103.6M2.79B-10.2M0.8010.2646,85837,389450,693277,677
2018-12-20$228.42$250.0025.1%7.2%22.6%94.8%24.1%5.5%-0.5%-110.0M3.38B-9.1M0.967.7456,52054,396461,183283,186
2018-12-21$224.88$247.0026.7%7.7%22.9%100.0%25.7%6.1%-1.0%-104.0M3.60B-9.3M1.477.5147,25769,322479,468291,699
2018-12-24$219.01$245.0030.6%9.1%23.2%100.0%32.5%7.4%-1.0%-53.0M2.42B-8.4M1.075.3731,92334,314384,860211,531
2018-12-26$227.15$243.0027.3%8.3%27.5%85.5%29.0%6.6%-0.6%-31.8M1.58B-9.4M1.055.9637,84839,737395,186211,198
2018-12-27$229.61$241.0027.6%8.4%26.1%86.9%29.4%6.7%-0.5%-15.0M1.03B-10.3M1.036.3433,92735,017398,927212,040
2018-12-28$230.19$240.0026.0%7.8%26.0%79.6%27.4%6.8%-0.3%-5.1M995.0M-9.8M0.985.6834,13133,566405,116218,287
2018-12-31$232.72$240.0024.2%7.3%26.4%72.0%25.4%6.3%-0.1%-6.5M667.7M-10.1M1.004.6823,95924,078387,148208,483