DIA Options History — March 2020

In March 2020, DIA traded between $184.94 and $269.40. ATM implied volatility averaged 58.5%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 1.7% (HV 20d: 60.1%). Max pain ranged from $239.00 to $280.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.42.

Notable Days

2020-03-12: Highest Volume — 103,017 contracts
2020-03-05: Largest IV spike — 38.6% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$226.17	$184.94	$269.40	$263.93	$219.92
Max Pain	$264.82	$239.00	$280.00	$275.00	$239.00
ATM IV	58.5%	27.5%	83.3%	31.1%	55.5%
Expected Move	17.0%	8.8%	23.9%	10.1%	16.7%
HV 20d	60.1%	34.7%	85.8%	34.9%	82.0%
HV 60d	37.2%	21.4%	51.2%	21.4%	51.2%
IV Rank	81.5%	51.7%	100.0%	61.8%	62.5%
IV Percentile	98.6%	94.4%	100.0%	99.2%	94.4%
Term Structure	-2.1%	-5.7%	-0.6%	-0.7%	-1.4%
VWIV	59.5%	33.5%	80.0%	38.3%	62.8%
Skew 25d	19.6%	11.9%	28.1%	13.1%	19.1%
Skew 10d	35.8%	22.3%	50.0%	24.5%	38.2%
Call IV 25d	49.0%	22.7%	69.2%	25.5%	46.5%
Put IV 25d	68.6%	34.6%	93.8%	38.6%	65.5%
Bid-Ask Spread %	20.30	6.49	40.79	9.57	10.91
Gamma HHI	0.03	0.02	0.05	0.03	0.03
Net GEX	-34.6M	-84.3M	-6.5M	-49.9M	-16.0M
Net DEX	2.61B	857.8M	4.09B	1.73B	1.66B
Net VEX	-10.9M	-13.7M	-6.2M	-12.5M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.88	2.54	1.48	1.32
Total Volume	75,073.318	55,599	103,017	75,088	55,768
Total OI	571,930.955	501,964	662,318	507,574	572,311

Daily Data (22 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
2020-03-02	$263.93	$275.00	31.1%	10.1%	34.9%	61.8%	38.3%	13.1%	-0.7%	-49.9M	1.73B	-12.5M	1.48	9.57	30,249	44,839	250,966	256,608
2020-03-03	$261.52	$275.00	33.0%	10.8%	34.7%	67.2%	40.6%	14.1%	-1.1%	-54.6M	2.00B	-12.7M	1.39	11.12	27,288	38,019	260,887	272,750
2020-03-04	$269.40	$275.00	27.5%	8.8%	36.2%	51.7%	33.5%	11.9%	-0.6%	-25.1M	857.8M	-13.5M	1.28	6.49	30,932	39,541	269,866	278,819
2020-03-05	$260.51	$280.00	38.1%	10.0%	37.0%	81.7%	35.0%	16.0%	-1.5%	-55.4M	2.06B	-13.5M	1.64	15.20	29,954	49,105	276,563	293,853
2020-03-06	$257.18	$275.00	42.4%	11.6%	36.9%	93.9%	40.0%	19.1%	-1.4%	-84.3M	2.35B	-13.7M	1.51	16.36	34,017	51,348	286,966	301,847
2020-03-09	$241.36	$275.00	52.4%	14.4%	42.1%	100.0%	47.8%	17.2%	-1.8%	-50.3M	3.05B	-12.1M	1.18	18.14	29,539	34,804	264,429	275,932
2020-03-10	$248.10	$275.00	47.3%	12.9%	43.9%	88.2%	44.6%	18.3%	-2.4%	-45.7M	2.64B	-12.5M	1.21	13.52	30,233	36,492	274,555	279,508
2020-03-11	$236.85	$275.00	55.9%	15.5%	45.7%	100.0%	53.8%	18.7%	-2.4%	-50.0M	3.24B	-12.1M	1.59	40.79	28,229	44,954	284,708	295,916
2020-03-12	$215.12	$275.00	72.9%	20.0%	54.2%	100.0%	66.2%	24.1%	-4.7%	-46.1M	4.04B	-9.7M	1.23	12.34	46,222	56,795	293,581	298,915
2020-03-13	$224.12	$275.00	62.8%	17.3%	57.7%	84.1%	62.9%	28.1%	-5.7%	-46.8M	3.77B	-10.3M	1.45	40.40	37,333	54,062	309,592	304,244
2020-03-16	$207.70	$275.00	82.0%	23.2%	61.6%	100.0%	76.3%	25.9%	-2.8%	-32.7M	3.64B	-9.7M	1.88	20.52	24,760	46,472	289,588	296,816
2020-03-17	$210.48	$270.00	76.4%	21.8%	62.4%	92.3%	73.1%	24.6%	-1.6%	-32.6M	3.58B	-9.7M	1.30	10.27	30,349	39,545	298,514	298,621
2020-03-18	$194.61	$269.00	83.3%	23.9%	65.5%	100.0%	80.0%	24.5%	-2.0%	-30.2M	3.92B	-8.3M	1.65	27.65	31,667	52,327	310,539	309,514
2020-03-19	$202.67	$265.00	72.2%	20.8%	68.9%	85.0%	71.7%	23.7%	-1.5%	-30.3M	3.79B	-8.5M	1.13	35.08	34,250	38,603	322,529	316,613
2020-03-20	$194.40	$263.00	66.1%	19.1%	69.3%	76.8%	63.1%	20.1%	-1.5%	-35.7M	4.09B	-7.1M	1.60	35.93	32,757	52,406	333,678	328,640
2020-03-23	$184.94	$260.00	64.6%	19.0%	70.1%	74.7%	63.9%	16.6%	-1.2%	-25.2M	2.85B	-6.2M	1.16	23.75	34,043	39,469	253,432	248,532
2020-03-24	$204.64	$250.00	62.1%	18.7%	82.1%	71.4%	65.6%	15.1%	-2.7%	-15.4M	2.19B	-8.7M	0.88	21.29	38,907	34,203	267,747	252,595
2020-03-25	$216.31	$250.00	68.1%	20.8%	85.7%	79.5%	75.5%	17.1%	-2.9%	-6.5M	1.54B	-11.4M	0.96	25.11	47,310	45,513	276,414	267,829
2020-03-26	$220.50	$250.00	63.7%	19.5%	85.8%	73.5%	68.0%	18.6%	-2.2%	-7.0M	1.46B	-11.8M	1.25	20.55	35,307	44,124	275,392	288,016
2020-03-27	$218.96	$240.00	67.2%	20.7%	84.8%	78.2%	73.9%	23.1%	-3.0%	-9.2M	1.59B	-12.4M	1.64	20.57	24,368	39,911	286,094	307,225
2020-03-30	$222.44	$240.00	61.9%	18.9%	82.0%	71.1%	71.8%	22.3%	-1.7%	-11.4M	1.46B	-12.0M	2.54	11.13	15,719	39,880	269,750	281,587
2020-03-31	$219.92	$239.00	55.5%	16.7%	82.0%	62.5%	62.8%	19.1%	-1.4%	-16.0M	1.66B	-11.4M	1.32	10.91	24,048	31,720	275,076	297,235