DIA Options History — January 2020

In January 2020, DIA traded between $282.09 and $293.01. ATM implied volatility averaged 12.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 5.0% (HV 20d: 7.5%). Max pain ranged from $280.00 to $286.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2020-01-31: Highest Volume — 102,822 contracts
  • 2020-01-31: Largest IV spike — 18.0% change
  • 2020-01-31: Highest IV Rank — 67.7%
  • 2020-01-31: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$288.68$282.09$293.01$287.80$282.09
Max Pain$283.71$280.00$286.00$280.00$286.00
ATM IV12.4%10.4%17.0%10.8%17.0%
Expected Move3.6%2.8%5.2%2.8%5.2%
HV 20d7.5%6.2%10.9%7.2%10.9%
HV 60d7.9%7.4%8.9%8.7%8.9%
IV Rank27.6%9.9%67.7%10.2%67.7%
IV Percentile39.9%5.2%91.7%11.5%91.7%
Term Structure0.2%-0.3%0.6%0.4%0.2%
VWIV13.3%11.0%17.5%11.0%17.5%
Skew 25d4.3%3.0%6.3%3.5%6.3%
Skew 10d8.4%6.6%11.3%6.6%11.3%
Call IV 25d10.7%9.1%14.4%9.3%14.4%
Put IV 25d15.0%12.1%20.7%12.8%20.7%
Bid-Ask Spread %4.172.786.702.784.06
Gamma HHI0.070.040.110.060.06
Net GEX73.2M-171.6M274.0M135.7M-171.6M
Net DEX-1.33B-2.74B627.5M-1.76B627.5M
Net VEX-10.2M-11.2M-9.6M-9.8M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.662.270.951.30
Total Volume47,834.1921,743102,82244,474102,822
Total OI449,253.333325,417529,080471,881425,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$287.80$280.0010.8%2.8%7.2%10.2%11.0%3.5%0.4%135.7M-1.76B-9.8M0.952.7822,75121,723219,206252,675
2020-01-03$286.40$280.0011.7%3.3%7.4%16.2%12.6%4.5%0.4%-1.7M-1.30B-10.3M1.922.7816,92832,431226,198263,397
2020-01-06$286.40$281.0011.8%3.7%7.4%22.2%14.3%4.7%0.4%56.1M-1.28B-10.1M1.623.5411,26418,198222,077256,713
2020-01-07$286.01$281.0012.4%3.6%6.3%27.1%12.8%4.3%0.2%49.7M-1.22B-10.1M1.233.1815,58319,091227,093261,543
2020-01-08$288.38$281.0011.6%3.4%6.6%20.2%12.8%3.6%0.2%147.8M-1.81B-9.9M1.373.9416,55022,616233,064267,216
2020-01-09$289.46$281.0010.9%3.4%6.5%14.4%11.9%3.5%0.3%180.4M-2.06B-9.8M0.823.7527,91422,924234,337274,860
2020-01-10$288.13$282.0011.5%3.4%6.9%20.1%12.7%3.9%0.5%37.9M-1.69B-10.3M2.274.4914,21432,328243,405282,679
2020-01-13$288.71$284.0011.5%3.3%6.3%19.6%12.6%4.0%-0.1%121.9M-1.86B-9.8M1.233.289,76111,982236,291268,244
2020-01-14$289.25$284.0011.0%3.3%6.3%15.7%12.2%3.7%0.6%131.2M-1.97B-9.7M0.765.3023,26117,599238,716271,714
2020-01-15$290.01$284.0011.0%3.3%6.2%15.7%11.6%3.5%0.3%175.7M-2.15B-9.7M0.874.4522,51219,641242,444276,566
2020-01-16$292.68$284.0010.4%3.0%6.9%9.9%11.4%3.0%0.3%274.0M-2.74B-9.6M0.663.0830,09219,851247,940281,140
2020-01-17$293.01$284.0010.9%3.2%6.8%14.9%11.9%3.3%0.1%243.1M-1.79B-9.9M0.704.3025,24417,739217,250289,859
2020-01-21$291.84$285.0011.9%3.4%7.1%23.5%12.5%4.0%-0.2%103.2M-1.38B-9.9M1.455.5120,30929,522150,534174,883
2020-01-22$291.91$285.0012.4%3.5%7.1%27.4%13.2%3.8%-0.3%88.4M-1.37B-10.2M1.476.5514,09920,683159,760188,933
2020-01-23$291.65$286.0012.1%3.5%7.1%25.3%13.0%3.8%-0.3%67.4M-1.27B-10.3M1.224.6918,51122,494163,916196,312
2020-01-24$289.56$286.0013.6%3.9%7.6%38.5%13.8%4.9%-0.1%6.8M-810.2M-10.7M1.286.7038,44649,338170,781201,094
2020-01-27$285.82$286.0015.8%4.5%9.0%57.5%16.4%5.8%0.1%-57.3M-249.7M-10.8M1.113.7135,08239,074165,857196,965
2020-01-28$287.47$286.0014.3%4.2%9.2%44.3%16.1%5.4%0.3%-8.7M-591.1M-11.0M1.213.7815,91519,229182,987209,153
2020-01-29$287.72$286.0014.2%4.2%8.9%43.8%14.5%5.2%0.4%-12.8M-623.2M-11.0M1.394.1513,52618,806186,175215,498
2020-01-30$287.91$286.0014.4%4.1%8.9%45.0%15.0%5.5%0.3%-30.2M-635.8M-11.0M1.633.6120,69133,774188,714222,374
2020-01-31$282.09$286.0017.0%5.2%10.9%67.7%17.5%6.3%0.2%-171.6M627.5M-11.2M1.304.0644,76758,055194,848230,909