DIA Options History — March 2019

In March 2019, DIA traded between $254.34 and $260.79. ATM implied volatility averaged 13.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.7% (HV 20d: 9.7%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2019-03-22: Highest Volume — 79,721 contracts
  • 2019-03-22: Largest IV spike — 23.0% change
  • 2019-03-22: Highest IV Rank — 31.5%
  • 2019-03-07: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$257.31$254.34$260.79$260.79$258.94
Max Pain$257.14$250.00$260.00$250.00$260.00
ATM IV13.4%11.5%15.7%11.5%12.7%
Expected Move4.0%3.2%4.5%3.2%3.8%
HV 20d9.7%8.4%10.6%9.2%10.3%
HV 60d16.5%12.8%19.4%19.4%12.8%
IV Rank21.3%12.4%31.5%12.4%17.6%
IV Percentile46.7%29.8%65.9%29.8%40.1%
Term Structure0.1%-0.2%0.4%0.2%0.4%
VWIV15.0%12.0%16.7%12.0%14.6%
Skew 25d3.9%3.0%4.9%3.5%3.7%
Skew 10d7.8%5.6%10.0%6.9%7.4%
Call IV 25d11.8%10.2%13.9%10.2%10.8%
Put IV 25d15.7%13.7%18.1%13.7%14.5%
Bid-Ask Spread %3.672.815.293.533.28
Gamma HHI0.070.040.110.110.09
Net GEX57.6M-51.1M133.3M132.7M124.0M
Net DEX-713.5M-1.63B-114.5M-1.63B-807.7M
Net VEX-10.7M-11.1M-10.1M-10.1M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.571.891.361.28
Total Volume50,628.76225,42479,72157,79547,725
Total OI463,992.619415,605517,152467,760458,911

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$260.79$250.0011.5%3.2%9.2%12.4%12.0%3.5%0.2%132.7M-1.63B-10.1M1.363.5324,51833,277243,585224,175
2019-03-04$258.17$250.0013.3%3.9%10.1%20.8%14.1%4.4%0.1%54.8M-960.2M-10.4M0.813.6437,18030,151231,397216,162
2019-03-05$258.74$250.0012.8%3.7%10.1%18.3%13.9%4.1%0.1%94.3M-1.14B-10.5M1.482.9513,84420,549242,656223,216
2019-03-06$256.99$250.0013.9%4.1%10.0%23.3%14.7%4.6%-0.0%32.9M-742.1M-10.9M1.893.0318,82735,505245,563231,087
2019-03-07$254.71$250.0014.9%4.5%10.6%28.1%16.4%4.9%-0.1%-51.1M-225.7M-11.1M1.383.0128,63639,398247,455243,429
2019-03-08$254.34$250.0014.9%4.3%10.1%28.1%15.6%4.9%0.1%12.4M-225.7M-11.1M1.862.8127,19850,480254,899246,875
2019-03-11$256.75$260.0013.8%4.2%10.4%23.0%15.9%4.5%-0.0%76.8M-805.9M-10.8M1.154.0827,57931,650244,424226,879
2019-03-12$256.09$260.0013.4%4.0%10.4%21.2%16.7%4.0%0.0%62.8M-687.4M-10.8M1.574.6015,25023,956250,780240,408
2019-03-13$257.46$260.0012.8%4.0%9.5%18.1%16.7%3.7%0.1%121.1M-1.06B-10.7M1.404.0325,07934,993254,821240,165
2019-03-14$257.65$260.0012.4%3.6%9.2%16.7%14.8%3.6%-0.0%126.3M-1.03B-10.8M0.574.7723,00713,083261,117256,035
2019-03-15$258.32$260.0012.1%3.6%9.2%15.3%15.2%3.0%0.2%95.1M-863.2M-10.6M1.364.0226,20135,723245,974258,109
2019-03-18$259.06$260.0012.2%3.6%8.4%15.6%13.9%3.1%0.0%93.1M-931.4M-10.3M1.102.9312,09913,325213,531202,074
2019-03-19$258.26$260.0012.8%3.7%8.5%18.2%13.8%3.2%-0.1%72.0M-799.5M-10.4M0.883.5923,73220,932218,719207,193
2019-03-20$257.71$260.0012.8%3.7%8.5%18.5%14.4%3.3%-0.0%56.4M-680.4M-10.5M1.204.2023,55428,317221,955213,252
2019-03-21$259.75$260.0012.7%3.8%8.8%18.1%14.0%3.1%-0.1%133.3M-1.08B-10.7M0.982.9723,07822,528227,369218,794
2019-03-22$255.40$260.0015.7%4.5%10.3%31.5%15.7%4.2%-0.2%-46.4M-114.5M-11.0M1.405.2933,18446,537226,326225,457
2019-03-25$255.24$260.0015.5%4.5%10.1%30.7%16.2%4.4%-0.1%-12.9M-116.4M-10.9M1.054.1722,77123,906222,002214,135
2019-03-26$255.61$260.0014.2%4.3%10.2%24.9%15.4%4.0%0.1%-2.8M-235.2M-10.7M1.323.8013,70518,027226,422218,320
2019-03-27$256.52$260.0014.1%4.3%10.2%24.5%15.2%4.0%0.3%10.4M-372.0M-10.7M1.243.0815,73819,470227,047221,105
2019-03-28$257.04$260.0013.7%4.3%10.2%22.6%16.2%3.9%0.3%24.4M-470.1M-10.5M1.783.2513,83524,657228,162223,860
2019-03-29$258.94$260.0012.7%3.8%10.3%17.6%14.6%3.7%0.4%124.0M-807.7M-10.6M1.283.2820,96426,761229,501229,410