DIA Options History — January 2019

In January 2019, DIA traded between $227.53 and $250.05. ATM implied volatility averaged 17.7%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 6.0% (HV 20d: 23.7%). Max pain ranged from $240.00 to $245.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2019-01-04: Highest Volume — 89,170 contracts
  • 2019-01-22: Largest IV spike — 17.0% change
  • 2019-01-03: Highest IV Rank — 73.1%
  • 2019-01-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$241.42$227.53$250.05$232.32$249.86
Max Pain$242.07$240.00$245.00$240.00$245.00
ATM IV17.7%14.7%24.5%22.4%14.7%
Expected Move5.2%4.3%6.7%6.5%4.3%
HV 20d23.7%16.1%28.1%25.8%17.2%
HV 60d22.5%21.5%23.5%22.4%21.8%
IV Rank41.5%26.9%73.1%64.0%26.9%
IV Percentile71.6%49.6%96.8%94.4%49.6%
Term Structure-0.0%-0.5%0.5%0.1%0.2%
VWIV18.7%15.4%23.4%23.4%15.4%
Skew 25d4.8%3.5%6.2%5.8%3.5%
Skew 10d9.8%7.2%12.1%11.2%7.2%
Call IV 25d15.7%13.4%21.4%19.7%13.4%
Put IV 25d20.6%17.0%27.6%25.5%17.0%
Bid-Ask Spread %5.793.078.633.075.45
Gamma HHI0.050.030.150.040.08
Net GEX63.1M-48.3M203.9M-24.0M137.3M
Net DEX-237.5M-1.19B1.33B783.8M-1.13B
Net VEX-10.2M-11.0M-8.7M-9.4M-11.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.611.781.280.61
Total Volume56,442.47616,74189,17052,87067,024
Total OI495,680.762415,116555,547494,226474,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$232.32$240.0022.4%6.5%25.8%64.0%23.4%5.8%0.1%-24.0M783.8M-9.4M1.283.0723,20429,666297,156197,070
2019-01-03$227.53$244.0024.5%6.7%25.0%73.1%23.1%6.2%-0.3%-48.3M1.33B-8.7M1.086.7835,71238,673300,598202,740
2019-01-04$234.10$242.0020.8%6.1%27.7%56.7%21.2%5.2%0.1%16.5M398.9M-9.6M0.846.8548,34640,824308,975206,851
2019-01-07$235.90$242.0020.8%6.0%28.0%56.5%20.6%5.5%0.0%1.4M322.9M-9.8M0.805.1314,55011,643296,784194,845
2019-01-08$237.87$242.0019.5%5.7%27.9%50.7%20.0%5.4%0.2%29.1M49.4M-10.2M0.935.7633,15930,789307,684201,657
2019-01-09$238.60$242.0019.3%5.5%27.9%48.7%19.7%5.0%0.0%35.6M-32.3M-10.4M0.716.1836,64525,970317,004211,093
2019-01-10$240.03$242.0017.9%5.2%28.1%42.7%19.2%5.3%0.5%95.9M-279.4M-10.4M0.897.5331,28427,812331,451216,864
2019-01-11$239.79$242.0017.3%5.0%27.9%39.6%18.0%4.5%0.4%105.0M-171.6M-10.2M0.945.7725,32723,766334,861220,686
2019-01-14$239.18$241.0017.4%5.0%27.9%39.5%17.4%5.0%-0.5%18.5M55.6M-9.5M0.926.0117,02215,734315,461206,147
2019-01-15$240.62$241.0016.3%4.7%26.9%34.5%18.2%4.8%-0.4%44.1M-157.1M-10.0M0.966.8520,14519,307320,520211,777
2019-01-16$242.33$242.0016.3%4.7%25.5%34.5%17.4%4.7%-0.5%87.1M-462.1M-10.0M1.358.0018,75625,356324,191213,640
2019-01-17$243.27$242.0015.7%4.5%25.3%31.8%15.9%4.5%-0.5%103.6M-626.5M-9.9M0.708.6336,68525,708325,759221,875
2019-01-18$246.60$242.0014.9%4.3%24.6%27.8%16.0%3.7%-0.5%131.3M-1.02B-10.4M0.916.3246,38342,176321,088231,161
2019-01-22$243.16$242.0017.4%5.2%23.7%39.4%19.6%5.1%-0.1%19.6M-171.4M-10.6M1.786.6022,51740,148236,352178,764
2019-01-23$245.59$242.0017.1%5.0%22.7%38.2%20.0%4.9%-0.3%58.6M-519.9M-10.8M1.245.2226,24332,442241,294191,739
2019-01-24$245.20$242.0016.4%4.9%19.8%35.1%17.6%4.9%0.0%52.1M-454.9M-10.7M0.836.0328,51623,627245,640201,405
2019-01-25$247.25$242.0015.5%4.6%16.1%30.7%16.6%4.1%0.3%203.9M-884.9M-10.9M0.804.2439,34631,437256,407206,686
2019-01-28$244.82$242.0016.7%5.1%16.7%36.2%17.8%4.5%0.1%51.0M-333.1M-10.6M1.593.806,45610,285244,418188,879
2019-01-29$245.75$242.0016.5%5.0%16.7%35.3%18.2%4.5%0.0%66.2M-499.8M-10.9M1.423.2514,91821,142252,814195,973
2019-01-30$250.05$242.5015.2%4.6%17.2%29.4%16.8%3.9%0.2%140.2M-1.19B-10.9M1.104.1636,45040,099255,511200,750
2019-01-31$249.86$245.0014.7%4.3%17.2%26.9%15.4%3.5%0.2%137.3M-1.13B-11.0M0.615.4541,56225,462261,846212,880