DIA Options History — August 2019

In August 2019, DIA traded between $255.88 and $266.28. ATM implied volatility averaged 17.3%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.4% (HV 20d: 16.9%). Max pain ranged from $260.00 to $266.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2019-08-23: Highest Volume — 108,969 contracts
2019-08-05: Largest IV spike — 30.5% change
2019-08-05: Highest IV Rank — 54.4%
2019-08-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$260.81	$255.88	$266.28	$266.28	$263.97
Max Pain	$260.50	$260.00	$266.00	$265.00	$260.00
ATM IV	17.3%	15.1%	20.6%	15.2%	15.7%
Expected Move	5.0%	4.3%	5.9%	4.7%	4.7%
HV 20d	16.9%	8.2%	21.6%	8.2%	21.5%
HV 60d	13.3%	11.6%	14.6%	11.6%	13.9%
IV Rank	37.8%	27.0%	54.4%	29.4%	29.7%
IV Percentile	74.8%	59.1%	91.7%	64.7%	61.9%
Term Structure	-0.1%	-0.5%	0.5%	-0.4%	0.4%
VWIV	17.9%	14.6%	21.0%	15.8%	17.3%
Skew 25d	6.3%	5.1%	7.2%	5.9%	6.1%
Skew 10d	11.6%	9.7%	12.9%	11.2%	11.7%
Call IV 25d	14.5%	12.3%	17.4%	12.9%	13.3%
Put IV 25d	20.8%	18.1%	24.1%	18.8%	19.5%
Bid-Ask Spread %	4.13	2.93	8.71	5.12	4.47
Gamma HHI	0.04	0.03	0.07	0.04	0.03
Net GEX	13.4M	-89.8M	114.7M	-25.8M	78.4M
Net DEX	210.8M	-683.1M	1.16B	35.5M	-683.1M
Net VEX	-11.2M	-12.5M	-10.4M	-10.6M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.70	1.74	1.38	1.52
Total Volume	59,456.682	21,522	108,969	95,533	48,726
Total OI	485,678.818	393,913	549,564	393,913	549,564

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-08-01	$266.28	$265.00	15.2%	4.7%	8.2%	29.4%	15.8%	5.9%	-0.4%	-25.8M	35.5M	-10.6M	1.38	5.12	40,155	55,378	205,618	188,295
2019-08-02	$264.88	$266.00	15.8%	4.8%	8.3%	32.2%	17.8%	6.1%	-0.4%	-89.8M	382.3M	-10.6M	1.74	8.71	31,081	54,178	211,262	200,071
2019-08-05	$257.64	$260.00	20.6%	5.6%	12.7%	54.4%	20.4%	6.9%	-0.5%	-58.3M	997.4M	-10.4M	0.84	5.11	53,422	44,833	209,285	194,556
2019-08-06	$259.74	$260.00	18.1%	5.1%	13.2%	42.4%	18.6%	6.5%	-0.2%	-19.1M	608.6M	-10.5M	1.04	3.87	33,052	34,382	239,205	202,034
2019-08-07	$260.26	$260.00	17.8%	5.1%	13.1%	41.2%	18.0%	6.5%	-0.3%	-11.5M	494.7M	-10.8M	0.88	3.82	38,144	33,409	249,344	213,067
2019-08-08	$263.99	$260.00	15.1%	4.5%	13.9%	29.0%	16.4%	6.3%	0.0%	51.7M	-239.7M	-10.9M	1.30	3.88	23,024	29,888	259,982	220,653
2019-08-09	$264.19	$260.00	15.2%	4.5%	13.4%	28.7%	14.6%	6.8%	0.1%	19.0M	-194.5M	-11.0M	1.18	4.53	27,197	32,113	260,131	229,465
2019-08-12	$259.41	$260.00	18.6%	5.4%	14.6%	43.2%	18.5%	7.2%	0.2%	-34.9M	598.1M	-10.9M	0.70	3.04	27,777	19,503	252,083	224,487
2019-08-13	$263.01	$260.00	16.0%	4.7%	15.6%	31.0%	18.2%	6.5%	0.4%	55.7M	-108.6M	-11.0M	0.99	3.79	24,801	24,440	263,169	229,395
2019-08-14	$255.88	$260.00	20.4%	5.9%	18.1%	52.0%	19.6%	6.6%	0.1%	-70.5M	1.16B	-11.0M	0.89	3.63	50,283	44,887	262,950	235,998
2019-08-15	$256.53	$260.00	19.5%	5.7%	18.2%	47.7%	20.7%	6.6%	0.3%	-21.3M	928.5M	-11.2M	0.70	3.56	40,394	28,270	286,735	243,060
2019-08-16	$258.60	$260.00	17.6%	5.1%	18.6%	38.6%	17.6%	5.9%	0.5%	64.2M	463.8M	-11.3M	0.73	3.60	28,654	20,853	291,012	250,239
2019-08-19	$261.54	$260.00	15.9%	4.6%	19.2%	30.4%	16.7%	5.5%	-0.2%	52.4M	-149.4M	-11.0M	0.99	3.43	16,969	16,862	252,548	214,467
2019-08-20	$260.36	$260.00	16.5%	4.7%	18.9%	33.4%	17.4%	5.6%	-0.2%	26.5M	93.5M	-10.9M	1.37	3.09	10,927	15,003	257,153	220,999
2019-08-21	$261.94	$260.00	15.2%	4.3%	19.2%	27.0%	16.5%	5.1%	-0.1%	64.4M	-215.0M	-10.8M	0.85	3.92	20,096	17,058	261,191	223,617
2019-08-22	$262.91	$260.00	15.5%	4.5%	19.2%	28.8%	16.4%	5.7%	-0.2%	86.9M	-416.7M	-11.2M	0.75	3.80	26,573	19,887	267,741	228,644
2019-08-23	$256.46	$260.00	20.0%	5.8%	20.9%	50.1%	21.0%	6.8%	-0.5%	-18.8M	775.8M	-11.5M	1.37	5.57	45,885	63,084	275,885	237,145
2019-08-26	$258.09	$260.00	19.1%	5.6%	21.1%	45.8%	19.7%	6.9%	-0.5%	1.9M	349.0M	-11.6M	1.34	3.44	9,186	12,336	268,930	229,233
2019-08-27	$258.12	$260.00	19.1%	5.6%	21.1%	45.9%	19.8%	6.8%	-0.5%	-8.3M	382.5M	-11.8M	1.44	2.93	16,112	23,135	273,944	239,603
2019-08-28	$260.20	$260.00	18.2%	5.3%	21.3%	41.2%	17.2%	7.1%	-0.4%	36.5M	33.1M	-12.1M	1.05	4.35	22,279	23,426	279,165	246,130
2019-08-29	$263.76	$260.00	15.8%	4.6%	21.6%	29.8%	16.5%	6.2%	-0.4%	114.7M	-654.6M	-12.1M	0.91	3.15	31,692	28,693	281,936	254,943
2019-08-30	$263.97	$260.00	15.7%	4.7%	21.5%	29.7%	17.3%	6.1%	0.4%	78.4M	-683.1M	-12.5M	1.52	4.47	19,338	29,388	285,165	264,399