DIA Options History — February 2020

In February 2020, DIA traded between $249.38 and $295.68. ATM implied volatility averaged 17.8%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.2% (HV 20d: 15.6%). Max pain ranged from $281.00 to $287.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2020-02-25: Highest Volume — 137,675 contracts
  • 2020-02-28: Largest IV spike — 39.9% change
  • 2020-02-24: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$285.33$249.38$295.68$284.20$249.38
Max Pain$284.11$281.00$287.00$286.00$281.00
ATM IV17.8%11.9%44.6%15.6%44.6%
Expected Move5.4%3.5%14.9%4.7%14.9%
HV 20d15.6%11.2%27.1%11.2%27.1%
HV 60d11.2%9.0%17.9%9.0%17.9%
IV Rank54.4%23.7%100.0%56.2%100.0%
IV Percentile72.1%35.7%100.0%84.1%100.0%
Term Structure-0.3%-1.7%0.4%-0.2%-1.7%
VWIV19.2%13.0%51.0%16.4%51.0%
Skew 25d6.2%3.8%15.6%6.0%15.6%
Skew 10d11.1%7.4%21.5%10.7%21.5%
Call IV 25d15.4%10.8%38.0%13.4%38.0%
Put IV 25d21.6%14.6%53.6%19.4%53.6%
Bid-Ask Spread %6.963.4840.143.4840.14
Gamma HHI0.060.030.110.040.05
Net GEX36.8M-170.4M265.3M-32.4M-68.7M
Net DEX-517.7M-2.31B3.31B-204.1M3.31B
Net VEX-11.0M-12.0M-10.0M-11.0M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.761.691.061.24
Total Volume71,780.68427,467137,67546,497120,955
Total OI433,375.263377,295523,426381,576523,426

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$284.20$286.0015.6%4.7%11.2%56.2%16.4%6.0%-0.2%-32.4M-204.1M-11.0M1.063.4822,57823,919179,524202,052
2020-02-04$288.26$286.0014.4%4.1%12.3%45.6%14.8%5.3%-0.3%51.3M-936.4M-11.0M1.473.7920,95330,891183,909207,293
2020-02-05$292.63$286.0013.5%3.7%13.4%37.0%13.5%4.8%0.0%135.5M-1.73B-11.1M1.264.1027,43534,498185,386218,236
2020-02-06$293.82$282.0012.6%3.7%13.2%29.7%13.9%4.5%0.0%123.8M-1.90B-11.1M1.143.8824,71928,061189,274232,368
2020-02-07$291.37$282.0013.4%3.9%13.5%36.2%14.8%4.8%-0.1%-91.0M-1.21B-11.3M1.694.7031,30153,018193,408239,003
2020-02-10$292.38$282.0013.5%3.9%13.4%37.4%13.9%4.8%0.1%88.4M-1.47B-11.2M0.924.8714,32313,144188,384224,324
2020-02-11$292.90$282.0013.5%3.9%13.4%37.1%14.6%4.5%0.1%107.7M-1.61B-11.0M0.895.4518,36916,400189,794226,688
2020-02-12$295.68$282.0011.9%3.5%13.8%23.7%13.0%3.8%0.3%210.4M-2.31B-10.5M1.114.2923,48126,143194,726230,557
2020-02-13$294.67$282.0012.7%3.7%13.9%30.0%13.8%4.2%0.2%128.3M-1.98B-10.7M1.345.6521,34228,596197,598239,053
2020-02-14$294.20$285.0012.4%3.6%13.5%27.9%14.5%3.8%0.4%92.4M-1.87B-10.6M1.374.9618,18924,851203,288246,318
2020-02-18$292.99$285.0013.3%3.8%13.6%35.9%14.7%4.4%-0.1%132.0M-1.54B-10.3M0.835.1724,72520,434194,741231,240
2020-02-19$294.18$285.0013.1%3.7%13.6%33.4%15.3%4.2%-0.2%265.3M-1.98B-10.0M0.975.2519,29818,711202,943234,904
2020-02-20$292.71$285.0013.9%4.0%13.7%41.2%14.8%5.0%-0.2%137.6M-1.50B-10.4M0.765.4041,91031,881209,318242,416
2020-02-21$289.40$285.0016.4%4.7%14.3%62.5%16.7%6.1%-0.5%-170.4M-349.5M-11.2M1.655.0330,07049,581205,026250,749
2020-02-24$280.73$287.0021.3%6.4%17.7%100.0%23.6%8.0%-0.5%-90.3M830.1M-11.4M1.456.2255,99681,274171,092206,203
2020-02-25$271.35$285.0025.4%7.9%20.8%100.0%26.2%9.1%-0.3%-111.2M1.85B-11.4M1.157.9963,89073,785200,681226,274
2020-02-26$270.05$285.0025.3%7.7%20.6%99.2%26.4%8.5%-0.9%-108.4M1.93B-12.0M1.233.7744,21154,267227,072242,016
2020-02-27$260.38$285.0031.9%10.0%23.7%100.0%33.5%9.9%-1.2%-100.6M2.83B-11.6M1.108.0162,08868,546241,874252,972
2020-02-28$249.38$281.0044.6%14.9%27.1%100.0%51.0%15.6%-1.7%-68.7M3.31B-11.4M1.2440.1454,08066,875263,926259,500