DIA Options History — November 2019

In November 2019, DIA traded between $273.14 and $281.68. ATM implied volatility averaged 10.7%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.8% (HV 20d: 7.9%). Max pain ranged from $268.00 to $273.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2019-11-07: Highest Volume — 79,884 contracts
  • 2019-11-25: Largest IV drop — 8.5% change
  • 2019-11-20: Highest IV Rank — 7.0%
  • 2019-11-21: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$277.98$273.14$281.68$273.14$281.03
Max Pain$270.40$268.00$273.00$268.00$273.00
ATM IV10.7%9.8%11.8%10.4%10.6%
Expected Move3.2%2.9%3.4%2.9%3.2%
HV 20d7.9%6.4%10.9%10.9%6.4%
HV 60d11.9%9.9%14.5%14.5%9.9%
IV Rank2.3%0.0%7.0%0.0%4.0%
IV Percentile6.1%0.0%21.8%0.0%4.4%
Term Structure0.3%-0.2%0.7%0.5%-0.1%
VWIV11.9%10.5%13.6%10.8%12.1%
Skew 25d3.6%3.1%4.4%3.2%3.5%
Skew 10d6.7%5.7%7.8%6.0%6.1%
Call IV 25d9.5%8.7%10.2%9.1%9.7%
Put IV 25d13.1%12.1%14.6%12.3%13.2%
Bid-Ask Spread %3.992.405.182.423.21
Gamma HHI0.120.070.380.380.23
Net GEX279.3M133.5M855.8M855.8M332.4M
Net DEX-2.01B-2.61B-1.34B-1.95B-2.01B
Net VEX-10.9M-11.3M-10.5M-11.0M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.312.140.760.69
Total Volume39,542.718,59679,88458,43418,596
Total OI545,793.9491,544585,446569,978531,729

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$273.14$268.0010.4%2.9%10.9%0.0%10.8%3.2%0.5%855.8M-1.95B-11.0M0.762.4233,26825,166291,126278,852
2019-11-04$274.24$270.0010.5%3.3%10.8%0.5%11.5%3.3%0.6%330.3M-1.91B-11.0M0.702.4021,82315,259278,056269,156
2019-11-05$275.24$270.0010.4%3.3%9.7%0.2%13.2%3.4%0.5%388.7M-2.15B-10.9M2.144.2410,93123,348284,571275,951
2019-11-06$274.69$270.0010.4%3.3%9.8%0.0%12.6%3.4%0.6%338.2M-1.92B-11.2M1.113.5613,85215,342286,882289,926
2019-11-07$276.74$270.0010.6%3.3%9.9%0.8%12.4%3.1%0.6%406.0M-2.61B-11.0M1.254.7435,58344,301290,535290,138
2019-11-08$276.95$270.0010.3%3.3%8.3%0.0%11.9%3.1%0.6%133.5M-2.40B-11.0M0.664.6823,57815,596288,356297,090
2019-11-11$277.04$270.0010.7%3.3%8.0%1.8%13.6%3.6%0.6%259.3M-2.22B-10.7M1.644.5312,36420,283278,650272,683
2019-11-12$277.03$270.0011.0%3.3%7.4%3.2%12.5%3.5%0.5%228.6M-2.18B-10.7M1.155.1315,13017,449280,190281,420
2019-11-13$278.22$270.0011.0%3.3%7.4%3.1%12.1%3.7%0.5%267.4M-2.49B-10.5M0.644.5922,67314,429284,603287,107
2019-11-14$278.13$270.0011.1%3.3%7.5%3.8%12.7%3.8%0.7%244.5M-2.43B-10.8M0.315.1847,69814,639287,054293,107
2019-11-15$279.48$270.0010.6%3.2%6.5%1.3%11.5%3.5%0.6%220.2M-2.03B-10.8M0.924.5325,26423,139259,220296,848
2019-11-18$280.15$270.0011.0%3.2%6.5%3.5%12.3%3.7%-0.2%157.6M-1.81B-10.8M1.004.0017,70817,634241,192250,352
2019-11-19$279.45$270.0011.5%3.3%6.6%5.5%12.4%3.8%-0.2%148.0M-1.68B-10.9M0.613.9927,63416,793247,433257,441
2019-11-20$278.12$270.0011.8%3.4%7.0%7.0%11.8%4.3%-0.2%194.9M-1.43B-11.2M0.734.2030,66122,435261,085259,891
2019-11-21$277.83$270.0011.7%3.4%7.1%6.9%11.7%4.4%-0.2%183.3M-1.34B-11.3M0.913.9017,95016,373266,113265,105
2019-11-22$278.62$270.0011.0%3.2%6.9%3.4%11.0%4.3%-0.1%154.3M-1.51B-11.1M1.094.5212,97714,206267,750270,365
2019-11-25$280.52$272.0010.1%2.9%7.1%0.0%11.0%3.8%-0.2%223.8M-1.87B-10.7M0.892.9619,68417,607253,664256,374
2019-11-26$281.28$272.009.9%2.9%7.0%0.0%11.2%3.5%0.1%245.7M-2.05B-10.7M0.713.4612,7269,020257,396262,289
2019-11-27$281.68$273.009.8%2.9%7.0%0.0%10.5%3.1%0.1%274.3M-2.25B-10.5M0.683.5016,49711,238261,441264,737
2019-11-29$281.03$273.0010.6%3.2%6.4%4.0%12.1%3.5%-0.1%332.4M-2.01B-10.8M0.693.2111,0207,576263,054268,675