DIA Options History — October 2019

In October 2019, DIA traded between $260.84 and $271.64. ATM implied volatility averaged 13.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.7% (HV 20d: 13.2%). Max pain ranged from $266.00 to $268.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.06.

Notable Days

2019-10-02: Highest Volume — 97,895 contracts
2019-10-04: Largest IV drop — 14.0% change
2019-10-02: Highest IV Rank — 39.2%
2019-10-02: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$267.40	$260.84	$271.64	$265.96	$269.76
Max Pain	$267.11	$266.00	$268.00	$268.00	$268.00
ATM IV	13.9%	10.7%	18.1%	16.0%	11.5%
Expected Move	4.0%	3.0%	5.4%	4.6%	3.2%
HV 20d	13.2%	10.6%	14.6%	10.6%	11.3%
HV 60d	15.5%	14.5%	16.0%	14.6%	14.6%
IV Rank	16.9%	0.9%	39.2%	28.6%	4.7%
IV Percentile	38.5%	1.6%	80.2%	63.5%	13.1%
Term Structure	0.1%	-0.1%	0.5%	0.0%	0.4%
VWIV	14.3%	10.9%	19.3%	16.2%	11.3%
Skew 25d	5.1%	3.6%	6.9%	6.9%	4.0%
Skew 10d	8.9%	6.7%	12.8%	12.8%	7.3%
Call IV 25d	11.8%	9.6%	15.2%	13.1%	10.1%
Put IV 25d	16.8%	13.2%	21.8%	20.0%	14.1%
Bid-Ask Spread %	2.89	2.09	6.22	2.47	2.25
Gamma HHI	0.06	0.04	0.10	0.04	0.06
Net GEX	38.8M	-115.7M	215.4M	-82.0M	113.1M
Net DEX	-499.7M	-1.37B	992.0M	233.3M	-857.7M
Net VEX	-11.5M	-12.4M	-10.7M	-12.2M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.60	2.03	1.15	0.96
Total Volume	46,776	25,717	97,895	60,846	42,154
Total OI	545,297.13	495,455	595,755	495,455	558,304

Daily Data (23 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
2019-10-01	$265.96	$268.00	16.0%	4.6%	10.6%	28.6%	16.2%	6.9%	0.0%	-82.0M	233.3M	-12.2M	1.15	2.47	28,280	32,566	241,841	253,614
2019-10-02	$260.84	$268.00	18.1%	5.4%	12.4%	39.2%	18.6%	6.6%	-0.0%	-115.7M	992.0M	-12.2M	1.24	3.02	43,619	54,276	250,687	261,280
2019-10-03	$261.34	$268.00	18.1%	5.2%	10.9%	38.7%	17.9%	6.5%	-0.0%	-77.6M	719.0M	-12.2M	1.18	3.27	34,677	40,762	265,279	263,872
2019-10-04	$265.46	$267.00	15.6%	4.5%	12.4%	25.2%	16.3%	5.8%	0.1%	33.6M	-212.4M	-12.2M	1.46	2.85	18,048	26,336	271,805	272,826
2019-10-07	$265.16	$267.00	15.8%	4.5%	12.4%	26.3%	14.9%	6.2%	0.0%	-46.2M	-63.1M	-11.9M	0.95	2.78	20,748	19,767	258,464	263,560
2019-10-08	$262.20	$266.00	17.9%	5.1%	13.0%	36.9%	19.3%	6.7%	-0.1%	-74.1M	416.0M	-12.1M	2.03	3.88	15,908	32,228	266,786	266,709
2019-10-09	$263.57	$266.00	16.7%	4.8%	12.7%	30.5%	17.6%	6.3%	0.2%	-51.6M	133.4M	-12.0M	1.00	5.26	26,712	26,702	270,710	274,889
2019-10-10	$264.81	$266.00	16.7%	4.8%	12.6%	30.7%	17.0%	6.0%	-0.1%	-4.8M	-194.0M	-12.4M	1.52	2.33	21,128	32,196	285,425	287,228
2019-10-11	$269.26	$266.00	14.4%	4.2%	14.1%	19.5%	15.5%	5.2%	0.2%	101.5M	-1.24B	-12.1M	0.92	6.22	43,352	39,843	291,698	292,359
2019-10-14	$267.86	$267.00	13.6%	3.9%	14.1%	15.2%	15.1%	5.4%	0.1%	33.3M	-699.1M	-11.6M	0.60	2.19	24,385	14,659	282,427	285,205
2019-10-15	$270.40	$267.00	12.4%	3.6%	14.6%	9.0%	13.2%	4.5%	0.3%	129.9M	-1.34B	-11.3M	1.46	2.26	16,392	23,973	287,721	289,328
2019-10-16	$269.99	$267.00	12.2%	3.5%	14.5%	8.0%	12.4%	4.4%	0.3%	88.9M	-1.19B	-11.3M	1.11	2.48	13,503	14,939	288,532	298,693
2019-10-17	$270.51	$267.00	11.9%	3.4%	14.6%	6.7%	12.5%	4.2%	0.1%	89.8M	-1.28B	-11.2M	0.69	2.35	26,438	18,257	290,882	303,238
2019-10-18	$268.12	$267.00	13.2%	3.8%	14.6%	13.2%	13.3%	4.8%	0.3%	-59.7M	-384.0M	-11.5M	1.09	2.75	20,665	22,546	286,707	309,048
2019-10-21	$268.24	$267.00	13.3%	3.8%	14.6%	13.9%	13.2%	4.6%	-0.1%	41.1M	-517.8M	-11.1M	0.61	2.45	19,134	11,620	253,700	253,582
2019-10-22	$268.01	$267.00	12.9%	3.7%	14.4%	11.8%	12.7%	4.6%	-0.1%	63.0M	-515.2M	-11.0M	0.94	2.78	13,670	12,829	261,432	257,127
2019-10-23	$268.05	$267.00	12.7%	3.6%	14.2%	10.9%	13.5%	4.6%	-0.1%	47.3M	-485.4M	-11.0M	0.73	2.52	14,864	10,853	263,009	260,916
2019-10-24	$268.04	$267.00	12.1%	3.4%	14.1%	7.8%	11.8%	4.1%	-0.0%	50.7M	-504.2M	-10.7M	0.90	2.12	23,571	21,284	265,735	262,880
2019-10-25	$269.62	$267.00	11.3%	3.1%	14.2%	3.8%	11.5%	3.9%	-0.1%	139.2M	-970.9M	-10.8M	1.43	2.45	21,890	31,205	271,815	269,268
2019-10-28	$270.76	$267.50	11.3%	3.2%	14.1%	3.9%	11.9%	3.6%	0.4%	125.9M	-1.11B	-10.7M	0.89	2.80	20,068	17,844	259,433	259,812
2019-10-29	$270.55	$268.00	11.3%	3.2%	13.2%	3.8%	10.9%	4.1%	0.4%	130.4M	-1.05B	-11.0M	0.68	2.90	19,533	13,196	267,696	266,970
2019-10-30	$271.64	$268.00	10.7%	3.0%	10.9%	0.9%	11.1%	3.6%	0.5%	215.4M	-1.37B	-11.0M	0.83	2.09	15,953	13,275	277,954	271,388
2019-10-31	$269.76	$268.00	11.5%	3.2%	11.3%	4.7%	11.3%	4.0%	0.4%	113.1M	-857.7M	-11.1M	0.96	2.25	21,459	20,695	283,636	274,668