DIA Options History — February 2019

In February 2019, DIA traded between $250.33 and $261.15. ATM implied volatility averaged 13.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.2% (HV 20d: 11.9%). Max pain ranged from $245.00 to $250.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2019-02-15: Highest Volume — 81,619 contracts
  • 2019-02-12: Largest IV drop — 9.1% change
  • 2019-02-11: Highest IV Rank — 26.1%
  • 2019-02-07: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$256.04$250.33$261.15$250.33$259.24
Max Pain$249.37$245.00$250.00$245.00$250.00
ATM IV13.2%12.0%14.5%14.3%12.7%
Expected Move3.8%3.4%4.3%4.2%3.6%
HV 20d11.9%9.1%14.6%14.6%9.1%
HV 60d20.6%19.5%21.7%21.7%19.5%
IV Rank20.0%14.8%26.1%25.2%18.0%
IV Percentile39.5%33.7%49.6%46.0%39.3%
Term Structure0.3%-0.2%0.9%0.3%0.1%
VWIV14.1%12.8%15.8%15.0%12.8%
Skew 25d3.5%3.1%3.9%3.7%3.9%
Skew 10d6.9%5.9%8.8%8.0%7.5%
Call IV 25d11.9%11.0%13.1%13.0%11.2%
Put IV 25d15.4%14.4%16.9%16.7%15.1%
Bid-Ask Spread %3.412.675.024.923.22
Gamma HHI0.100.060.240.170.12
Net GEX144.3M57.1M208.7M203.0M108.7M
Net DEX-1.46B-1.87B-849.6M-1.30B-1.29B
Net VEX-10.5M-11.1M-10.2M-11.1M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.601.541.171.01
Total Volume48,434.26326,36481,61963,11830,559
Total OI471,831.737418,285508,564489,945463,358

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$250.33$245.0014.3%4.2%14.6%25.2%15.0%3.7%0.3%203.0M-1.30B-11.1M1.174.9229,09534,023272,209217,736
2019-02-04$251.58$245.0013.6%4.2%11.6%22.0%14.9%3.3%0.9%152.6M-1.30B-10.5M1.305.0213,94618,170258,145210,115
2019-02-05$253.93$249.0013.2%3.9%11.7%20.2%14.7%3.1%0.3%173.2M-1.68B-10.4M0.813.2325,36920,628257,934219,102
2019-02-06$253.84$249.0013.1%3.8%11.7%19.9%14.9%3.2%0.3%169.7M-1.62B-10.7M1.313.2611,42214,942262,498225,291
2019-02-07$251.71$250.0014.1%4.3%12.4%24.2%15.8%3.6%0.9%132.5M-1.15B-10.6M1.543.5525,06838,552265,783230,258
2019-02-08$250.51$250.0014.0%4.1%12.6%23.7%14.8%3.7%0.7%102.3M-849.6M-10.5M1.394.5323,47932,685269,437239,127
2019-02-11$250.78$250.0014.5%4.2%12.5%26.1%15.0%3.8%-0.2%124.8M-895.1M-10.7M0.992.7515,81015,724259,827227,950
2019-02-12$254.24$250.0013.2%3.8%13.0%20.1%14.1%3.3%0.5%184.6M-1.65B-10.5M0.863.5426,51222,825264,539233,484
2019-02-13$255.92$250.0013.5%3.9%13.0%21.6%13.9%3.1%0.1%173.6M-1.87B-10.6M0.693.6532,71122,580260,430238,509
2019-02-14$255.68$250.0013.7%3.9%13.0%22.5%14.3%3.3%-0.1%139.5M-1.77B-10.6M0.642.8937,79824,273261,491245,207
2019-02-15$258.48$250.0012.6%3.5%13.3%17.2%14.3%3.2%0.6%177.3M-1.79B-10.4M0.963.0941,63239,987240,724248,182
2019-02-19$259.22$250.0012.9%3.7%12.7%19.0%13.3%3.4%0.1%99.0M-1.47B-10.2M0.602.6734,77520,810218,257200,028
2019-02-20$259.34$250.0012.6%3.6%11.2%17.2%13.2%3.8%0.1%127.2M-1.53B-10.2M0.993.1024,95424,781227,277206,678
2019-02-21$258.11$250.0012.8%3.7%11.2%18.2%13.5%3.5%0.2%57.1M-1.21B-10.2M1.463.3520,35429,639232,131216,702
2019-02-22$259.92$250.0012.0%3.4%11.2%14.8%13.7%3.5%0.2%208.7M-1.60B-10.4M0.783.1331,99124,842234,467221,490
2019-02-25$261.15$250.0012.2%3.5%11.1%15.7%12.8%3.4%0.2%141.7M-1.68B-10.2M0.762.7923,84018,154227,853207,763
2019-02-26$261.01$250.0012.4%3.6%10.1%16.5%13.5%3.6%0.1%139.4M-1.62B-10.5M1.472.9412,45718,338233,185214,262
2019-02-27$259.80$250.0012.5%3.6%10.5%17.0%13.7%3.8%0.1%126.1M-1.41B-10.2M1.013.1118,70218,824236,425216,949
2019-02-28$259.24$250.0012.7%3.6%9.1%18.0%12.8%3.9%0.1%108.7M-1.29B-10.4M1.013.2215,17915,380241,886221,472