DIA Options History — July 2019

In July 2019, DIA traded between $266.85 and $273.68. ATM implied volatility averaged 11.3%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.1% (HV 20d: 7.3%). Max pain ranged from $260.00 to $265.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-07-12: Highest Volume — 57,641 contracts
  • 2019-07-30: Largest IV spike — 6.8% change
  • 2019-07-31: Highest IV Rank — 16.7%
  • 2019-07-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$270.84$266.85$273.68$266.85$269.60
Max Pain$262.77$260.00$265.00$260.00$265.00
ATM IV11.3%10.5%12.4%12.0%12.4%
Expected Move3.3%2.8%3.7%3.3%3.7%
HV 20d7.3%6.4%10.2%10.2%7.3%
HV 60d12.2%12.1%12.4%12.2%12.2%
IV Rank11.5%8.0%16.7%14.5%16.7%
IV Percentile25.9%13.9%38.1%31.3%38.1%
Term Structure0.1%-0.2%0.6%0.1%-0.1%
VWIV12.2%9.8%13.6%12.1%12.9%
Skew 25d3.6%3.1%4.2%3.9%4.2%
Skew 10d7.1%5.8%8.4%7.5%8.4%
Call IV 25d10.0%9.0%11.1%10.8%11.1%
Put IV 25d13.6%12.2%15.2%14.7%15.2%
Bid-Ask Spread %3.882.466.763.454.00
Gamma HHI0.100.040.150.100.04
Net GEX146.0M15.9M293.0M150.5M15.9M
Net DEX-1.15B-2.01B-469.3M-1.04B-469.3M
Net VEX-10.3M-10.5M-10.1M-10.4M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.621.630.960.73
Total Volume35,441.90919,16657,64135,63651,889
Total OI396,931.909369,338429,237379,550387,835

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$266.85$260.0012.0%3.3%10.2%14.5%12.1%3.9%0.1%150.5M-1.04B-10.4M0.963.4518,17617,460209,681169,869
2019-07-02$267.26$261.0011.2%2.9%8.0%10.8%11.0%3.6%0.1%172.2M-1.06B-10.3M1.073.0912,53313,411214,395175,035
2019-07-03$269.11$261.0011.1%2.8%7.7%10.5%9.8%3.8%0.1%207.3M-1.42B-10.2M0.924.1414,46813,300216,299179,245
2019-07-05$269.11$260.0011.1%3.3%7.4%10.7%13.1%3.3%0.1%247.1M-1.37B-10.1M0.753.5927,18920,460216,716183,793
2019-07-08$268.21$260.0011.8%3.5%7.1%13.8%11.9%3.7%0.3%160.9M-1.07B-10.3M0.625.5214,3428,955209,988173,780
2019-07-09$267.52$260.0011.9%3.5%7.2%14.4%12.7%4.0%0.1%152.2M-963.2M-10.2M0.763.5711,6878,906216,544177,360
2019-07-10$268.65$260.0011.2%3.3%7.2%11.2%12.0%3.6%0.4%196.4M-1.17B-10.1M0.974.3319,13318,528217,455179,696
2019-07-11$270.54$260.0010.8%3.2%7.3%9.1%12.0%3.4%0.6%265.2M-1.52B-10.2M1.193.6123,15527,609221,338186,315
2019-07-12$273.11$261.0010.5%3.1%7.8%8.0%12.5%3.2%0.5%293.0M-2.01B-10.2M0.965.1329,37028,271222,339194,209
2019-07-15$273.35$263.0010.8%3.1%7.8%9.2%11.2%3.1%-0.0%203.7M-1.68B-10.2M0.923.4715,12713,862211,348197,047
2019-07-16$273.68$264.0010.9%3.1%7.7%9.7%13.6%4.0%-0.2%204.7M-1.69B-10.4M1.143.8515,83918,068212,733201,433
2019-07-17$272.51$265.0011.3%3.2%6.9%11.4%13.0%3.7%-0.0%155.9M-1.42B-10.4M0.996.7617,84217,648215,513208,836
2019-07-18$272.10$264.0011.6%3.3%6.9%12.8%13.0%3.8%-0.2%134.6M-1.25B-10.3M0.934.3525,78923,887217,344211,893
2019-07-19$272.15$264.0011.6%3.3%6.5%12.8%13.3%3.4%-0.1%166.6M-1.01B-10.5M1.313.8418,25323,869210,578215,310
2019-07-22$271.51$264.0011.6%3.4%6.6%12.7%12.2%3.9%0.1%45.4M-795.2M-10.3M1.633.2210,23316,641189,984179,354
2019-07-23$273.46$264.0011.0%3.2%6.9%10.2%12.1%3.7%0.1%133.1M-1.16B-10.1M1.483.7613,89220,591197,243186,063
2019-07-24$272.46$265.0010.7%3.1%6.4%8.5%11.3%3.4%0.2%91.4M-955.5M-10.1M1.143.6113,22515,026198,452186,196
2019-07-25$271.32$265.0011.4%3.3%6.7%11.8%11.7%3.6%0.0%49.8M-721.0M-10.4M0.823.4623,51819,233200,840188,369
2019-07-26$271.92$265.0010.9%3.2%6.7%9.8%11.8%3.4%0.1%69.7M-842.3M-10.4M0.823.4121,72017,762204,480190,880
2019-07-29$272.35$265.0011.0%3.3%6.7%10.1%11.8%3.5%0.1%51.9M-887.7M-10.2M0.952.649,8539,313193,408181,767
2019-07-30$271.62$265.0011.8%3.5%6.7%13.5%12.8%3.8%-0.1%43.5M-774.5M-10.3M0.882.4610,4469,243196,826184,713
2019-07-31$269.60$265.0012.4%3.7%7.3%16.7%12.9%4.2%-0.1%15.9M-469.3M-10.3M0.734.0029,99521,894201,138186,697