DIA Options History — September 2019

In September 2019, DIA traded between $261.48 and $272.79. ATM implied volatility averaged 13.3%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.3% (HV 20d: 14.7%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2019-09-06: Highest Volume — 87,966 contracts
  • 2019-09-05: Largest IV drop — 16.1% change
  • 2019-09-03: Highest IV Rank — 39.0%
  • 2019-09-03: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$269.23$261.48$272.79$261.48$269.42
Max Pain$267.50$260.00$270.00$260.00$269.00
ATM IV13.3%11.1%17.7%17.7%14.5%
Expected Move3.9%3.3%5.3%5.3%4.1%
HV 20d14.7%9.9%20.0%19.3%10.1%
HV 60d14.2%13.9%14.4%13.9%14.3%
IV Rank17.6%7.6%39.0%39.0%21.4%
IV Percentile37.1%12.3%76.6%76.6%50.8%
Term Structure0.3%-0.2%0.6%-0.2%0.2%
VWIV14.7%11.4%17.5%17.5%14.5%
Skew 25d5.4%3.6%7.0%7.0%6.0%
Skew 10d10.7%7.3%13.3%12.9%11.6%
Call IV 25d11.2%9.4%14.6%14.6%12.0%
Put IV 25d16.6%13.6%21.6%21.6%18.0%
Bid-Ask Spread %3.502.114.673.462.11
Gamma HHI0.050.030.100.030.04
Net GEX105.6M-66.4M258.1M3.4M-25.8M
Net DEX-993.3M-2.26B56.8M-4.9M-417.3M
Net VEX-12.5M-12.8M-11.9M-12.2M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.531.971.131.45
Total Volume50,777.228,50287,96674,90430,083
Total OI556,724.2485,537609,958511,300525,877

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$261.48$260.0017.7%5.3%19.3%39.0%17.5%7.0%-0.2%3.4M-4.9M-12.2M1.133.4635,20839,696260,682250,618
2019-09-04$263.78$260.0015.6%4.4%19.3%29.3%16.9%6.9%0.3%80.7M-476.2M-12.1M1.293.3113,00216,731266,925254,390
2019-09-05$267.88$265.0013.1%4.0%20.0%17.4%17.3%6.6%0.6%179.4M-1.27B-11.9M0.883.1243,00037,698266,122260,710
2019-09-06$268.40$265.0012.3%3.8%19.4%13.4%16.0%6.4%0.6%180.3M-1.34B-12.0M1.224.0139,63848,328275,637272,403
2019-09-09$268.68$265.0012.6%3.7%19.4%14.8%16.6%5.9%0.4%129.5M-1.12B-12.7M1.054.4123,86624,995276,962281,272
2019-09-10$268.74$266.0012.7%3.7%18.1%15.4%15.7%5.2%0.3%148.5M-1.16B-12.8M1.623.3418,63730,188285,935287,920
2019-09-11$270.96$267.0011.7%3.4%17.7%10.8%13.7%4.6%0.2%254.1M-1.82B-12.8M0.763.9729,12222,256293,593292,241
2019-09-12$272.68$267.0011.4%3.3%14.1%9.3%12.7%4.1%0.1%258.1M-2.26B-12.6M0.594.6446,17427,287294,651298,689
2019-09-13$272.79$270.0011.1%3.3%14.1%7.6%11.4%4.2%0.4%245.4M-2.13B-12.8M0.843.5324,19620,257297,841312,117
2019-09-16$271.27$270.0012.6%3.6%14.3%15.0%14.3%5.0%0.1%144.3M-1.40B-12.8M1.143.3115,91418,101286,412294,838
2019-09-17$271.52$270.0012.5%3.6%13.9%14.3%14.0%4.7%0.2%162.8M-1.48B-12.8M1.114.6513,51914,983291,140299,319
2019-09-18$271.96$270.0012.3%3.5%13.7%13.4%13.1%4.0%0.3%220.7M-1.73B-12.3M1.124.3726,17929,405299,868299,179
2019-09-19$271.57$270.0012.0%3.4%13.7%11.8%12.6%3.6%0.3%244.4M-1.63B-12.1M0.534.6736,36419,199303,996305,950
2019-09-20$269.44$270.0013.5%3.8%14.1%17.9%13.7%5.1%0.2%-66.4M-392.8M-12.8M1.333.9922,46029,844286,552312,191
2019-09-23$269.71$270.0013.0%3.7%10.2%15.3%13.6%5.0%0.5%1.9M-406.0M-12.1M0.882.5415,65813,844239,880245,657
2019-09-24$267.76$269.0014.9%4.3%10.6%23.1%15.1%6.0%0.3%-23.5M-56.9M-12.6M1.052.9823,94325,144252,276258,823
2019-09-25$269.68$269.0013.8%3.9%10.8%17.9%14.5%5.5%0.3%32.5M-512.2M-12.5M1.962.5812,48924,479259,549264,769
2019-09-26$269.13$269.0014.3%4.1%10.6%20.4%14.6%5.6%0.3%-4.1M-327.9M-12.6M1.382.4814,19219,631260,474275,125
2019-09-27$267.82$269.0015.3%4.4%9.9%25.1%16.8%6.3%0.2%-54.1M56.8M-12.5M1.972.5723,53946,295263,568280,333
2019-09-30$269.42$269.0014.5%4.1%10.1%21.4%14.5%6.0%0.2%-25.8M-417.3M-12.2M1.452.1112,29917,784254,780271,097