DIA Options History — December 2019

In December 2019, DIA traded between $275.23 and $286.24. ATM implied volatility averaged 11.1%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.4% (HV 20d: 8.6%). Max pain ranged from $270.00 to $280.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2019-12-03: Highest Volume — 72,534 contracts
  • 2019-12-03: Largest IV spike — 17.1% change
  • 2019-12-03: Highest IV Rank — 20.9%
  • 2019-12-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$282.06$275.23$286.24$278.77$284.82
Max Pain$273.43$270.00$280.00$274.00$280.00
ATM IV11.1%9.2%14.1%12.1%11.5%
Expected Move3.2%2.6%4.4%3.7%3.2%
HV 20d8.6%6.1%9.3%6.1%8.4%
HV 60d10.2%8.5%10.7%10.1%8.5%
IV Rank7.8%0.0%20.9%11.0%14.7%
IV Percentile17.6%0.0%56.0%27.8%25.0%
Term Structure0.4%0.1%0.7%0.2%0.4%
VWIV11.9%9.5%16.2%13.8%12.1%
Skew 25d3.9%2.7%5.3%4.2%4.0%
Skew 10d7.5%5.6%10.2%7.9%7.8%
Call IV 25d9.7%8.2%12.0%10.8%10.1%
Put IV 25d13.6%11.3%17.3%15.0%14.1%
Bid-Ask Spread %3.292.074.982.732.44
Gamma HHI0.100.040.270.070.14
Net GEX167.4M27.3M355.2M98.3M123.3M
Net DEX-1.57B-2.39B-618.2M-1.31B-1.13B
Net VEX-10.5M-11.4M-9.6M-11.1M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.281.871.031.18
Total Volume37,023.85714,80472,53442,47028,686
Total OI538,816.476449,714590,378511,980489,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$278.77$274.0012.1%3.7%6.1%11.0%13.8%4.2%0.2%98.3M-1.31B-11.1M1.032.7320,94421,526251,251260,729
2019-12-03$275.23$274.0014.1%4.4%7.7%20.9%16.2%5.3%0.2%27.3M-618.2M-11.4M0.953.7237,17235,362262,141266,689
2019-12-04$277.33$274.0012.7%3.9%8.1%14.0%15.4%4.8%0.2%93.1M-1.11B-11.3M1.363.0812,94817,599274,240276,272
2019-12-05$277.44$270.0012.4%3.8%8.0%12.7%13.6%4.6%0.4%71.0M-1.09B-11.2M1.873.079,20617,246274,950284,337
2019-12-06$280.86$270.0011.1%3.4%8.7%6.4%11.7%4.0%0.5%355.2M-1.91B-11.1M0.933.1727,07325,064278,133294,294
2019-12-09$279.93$270.0012.0%3.6%8.8%10.7%13.2%4.8%0.4%86.9M-1.40B-11.2M1.643.267,00811,494265,168291,344
2019-12-10$279.37$270.0012.6%3.7%8.9%13.2%13.1%5.2%0.3%70.6M-1.24B-11.2M1.103.807,7028,444267,186294,071
2019-12-11$279.52$270.0012.2%3.6%8.9%11.5%14.2%5.0%0.4%81.6M-1.32B-11.0M1.193.7410,23912,138269,889296,625
2019-12-12$282.03$270.0011.4%3.3%9.3%7.5%12.3%4.0%0.3%199.3M-1.96B-10.6M0.643.5932,73620,966273,452298,771
2019-12-13$282.19$270.009.9%2.9%9.3%0.7%10.4%3.5%0.5%276.5M-2.04B-10.0M0.704.9827,08419,024280,296304,970
2019-12-16$283.18$270.009.7%2.8%9.2%0.0%10.4%3.1%0.4%245.6M-2.18B-9.7M1.033.8517,83818,328274,345288,745
2019-12-17$283.57$270.009.3%2.7%9.2%0.0%9.7%3.1%0.7%255.7M-2.25B-9.6M0.613.1915,8369,712279,240296,226
2019-12-18$283.48$270.009.7%2.8%9.1%2.0%10.8%2.9%0.3%240.7M-2.25B-9.7M1.213.0310,17112,352284,295300,510
2019-12-19$284.17$270.009.4%2.7%8.9%0.8%10.0%2.7%0.1%323.1M-2.39B-9.6M0.282.6148,87013,908285,838304,540
2019-12-20$284.54$275.009.2%2.6%8.9%0.0%9.5%3.2%0.5%280.5M-1.52B-9.8M0.913.8128,05525,605249,794315,312
2019-12-23$285.42$278.009.9%2.8%8.9%3.0%10.6%3.3%0.6%150.3M-1.45B-10.0M0.933.8422,12820,634206,574243,140
2019-12-24$284.93$279.009.9%2.8%8.7%3.0%9.9%3.3%0.6%171.0M-1.38B-10.2M1.053.237,2387,566218,343256,377
2019-12-26$285.71$279.0010.2%2.8%8.7%5.0%10.2%3.1%0.5%195.2M-1.58B-10.0M1.283.2613,62017,385222,408260,822
2019-12-27$286.24$279.0011.1%3.0%8.7%9.8%11.0%3.3%0.5%138.4M-1.69B-10.2M0.812.6719,96316,136225,480269,353
2019-12-30$284.52$280.0012.0%3.3%9.0%16.4%12.4%4.6%0.2%31.5M-1.06B-10.5M1.672.0715,90526,590221,494257,713
2019-12-31$284.82$280.0011.5%3.2%8.4%14.7%12.1%4.0%0.4%123.3M-1.13B-10.4M1.182.4413,17815,508225,095264,694