DIA Options History — June 2019

In June 2019, DIA traded between $247.82 and $268.09. ATM implied volatility averaged 14.1%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.0% (HV 20d: 14.2%). Max pain ranged from $255.00 to $261.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2019-06-20: Highest Volume — 69,350 contracts
  • 2019-06-04: Largest IV drop — 10.5% change
  • 2019-06-03: Highest IV Rank — 42.5%
  • 2019-06-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$261.88$247.82$268.09$247.82$265.49
Max Pain$258.75$255.00$261.00$255.00$261.00
ATM IV14.1%12.5%18.1%18.1%13.9%
Expected Move4.1%3.6%5.4%5.4%4.0%
HV 20d14.2%10.5%17.7%15.5%10.5%
HV 60d12.5%11.7%12.7%11.7%12.2%
IV Rank24.5%17.0%42.5%42.5%23.2%
IV Percentile54.5%37.7%83.3%83.3%51.6%
Term Structure0.0%-0.3%0.4%-0.2%0.3%
VWIV14.9%12.2%18.8%18.8%14.3%
Skew 25d4.0%3.3%5.0%5.0%4.0%
Skew 10d7.7%6.7%9.7%9.7%8.2%
Call IV 25d12.4%11.0%15.9%15.9%11.9%
Put IV 25d16.4%14.6%20.9%20.9%15.9%
Bid-Ask Spread %3.832.326.033.903.52
Gamma HHI0.070.040.200.060.09
Net GEX95.3M-122.0M347.7M-122.0M134.6M
Net DEX-799.7M-1.97B1.26B1.26B-812.1M
Net VEX-10.9M-11.5M-10.3M-11.0M-10.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.411.801.080.97
Total Volume39,99021,22269,35051,44740,117
Total OI460,841.55366,741502,488460,314416,171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$247.82$255.0018.1%5.4%15.5%42.5%18.8%5.0%-0.2%-122.0M1.26B-11.0M1.083.9024,76326,684227,335232,979
2019-06-04$253.00$255.0016.2%4.8%17.7%33.8%17.4%4.4%-0.2%-59.6M358.6M-11.4M1.052.9824,21425,437236,010239,813
2019-06-05$255.44$255.0015.4%4.5%16.6%30.3%16.6%4.3%-0.1%-44.1M-54.4M-11.5M1.802.8614,45025,941235,600247,713
2019-06-06$257.81$258.0014.4%4.1%16.7%25.8%15.2%4.0%0.1%24.6M-548.2M-11.4M1.222.6118,33922,417236,720249,494
2019-06-07$260.30$258.0014.2%4.1%16.9%24.7%16.2%3.7%-0.1%77.7M-993.2M-11.2M1.182.3226,81331,536237,366253,887
2019-06-10$261.18$258.0014.3%4.0%16.9%25.2%15.0%3.6%-0.2%76.3M-950.8M-11.0M0.893.9319,92917,769230,851243,559
2019-06-11$260.86$258.0014.3%4.0%14.3%25.2%15.8%4.0%-0.2%81.3M-914.3M-11.1M1.602.9710,66917,114235,101249,439
2019-06-12$260.28$259.0014.2%4.1%13.9%24.7%14.3%4.0%0.2%69.4M-793.5M-10.9M1.193.4912,51914,841236,456252,812
2019-06-13$260.88$259.0014.3%4.1%13.8%25.1%14.8%3.9%-0.2%87.2M-900.5M-11.0M1.253.2111,80414,733239,722257,544
2019-06-14$261.83$259.0013.4%3.9%13.7%20.9%14.8%3.8%0.3%141.9M-1.08B-10.9M1.584.0414,17722,396241,350261,138
2019-06-17$261.76$259.0013.5%3.9%13.5%21.5%13.0%4.0%-0.3%90.5M-912.4M-10.6M0.493.5514,2566,966233,500235,579
2019-06-18$265.25$259.0013.4%3.8%14.1%20.9%13.1%4.0%-0.2%155.2M-1.51B-10.5M0.653.3027,29817,677237,832237,154
2019-06-19$266.06$260.0012.5%3.6%13.9%17.0%12.2%3.6%0.3%154.2M-1.58B-10.3M0.636.0326,40916,653235,502242,287
2019-06-20$268.09$260.0012.5%3.6%14.0%17.0%14.4%3.5%0.0%269.5M-1.97B-10.3M0.695.2641,11128,239241,378248,036
2019-06-21$267.90$260.0013.0%3.7%12.7%19.2%14.2%3.3%-0.0%347.7M-1.25B-10.4M1.045.4321,05221,950217,391256,062
2019-06-24$267.30$260.0013.4%3.8%12.7%21.0%14.3%3.7%0.2%77.1M-950.9M-10.3M0.414.6725,99810,717182,721184,020
2019-06-25$265.41$260.0014.2%4.1%12.6%24.7%14.1%4.1%0.3%94.0M-778.4M-11.0M1.083.7122,05223,861202,490186,800
2019-06-26$265.49$261.0014.1%4.1%11.7%24.3%15.1%4.2%0.4%105.8M-814.1M-11.1M1.063.7213,73314,561211,145192,221
2019-06-27$265.49$261.0014.0%4.0%11.8%23.7%14.3%3.9%0.3%145.9M-811.4M-11.1M0.905.1616,09714,508217,438194,215
2019-06-28$265.49$261.0013.9%4.0%10.5%23.2%14.3%4.0%0.3%134.6M-812.1M-10.9M0.973.5220,37919,738219,977196,194