DIA Options History — April 2020

In April 2020, DIA traded between $208.84 and $247.26. ATM implied volatility averaged 42.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 20.3% (HV 20d: 62.3%). Max pain ranged from $215.00 to $240.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2020-04-17: Highest Volume — 77,706 contracts
  • 2020-04-06: Largest IV drop — 16.0% change
  • 2020-04-01: Highest IV Rank — 70.8%
  • 2020-04-01: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$233.07$208.84$247.26$208.84$243.35
Max Pain$223.24$215.00$240.00$238.00$225.00
ATM IV42.0%29.8%61.7%61.7%31.6%
Expected Move12.0%8.8%19.0%19.0%8.9%
HV 20d62.3%35.8%84.6%82.0%35.8%
HV 60d55.2%52.1%56.4%52.1%56.4%
IV Rank44.2%27.8%70.8%70.8%30.2%
IV Percentile89.2%83.3%94.8%94.8%83.7%
Term Structure-0.8%-2.5%0.2%-1.6%0.2%
VWIV44.5%31.2%66.2%66.2%34.2%
Skew 25d14.6%11.3%19.3%19.3%11.8%
Skew 10d26.6%21.4%35.7%35.7%22.0%
Call IV 25d35.3%24.2%52.2%52.2%26.7%
Put IV 25d49.9%35.6%71.5%71.5%38.5%
Bid-Ask Spread %10.775.8119.9510.039.31
Gamma HHI0.040.030.100.030.05
Net GEX1.2M-41.8M46.7M-25.5M9.0M
Net DEX613.5M-194.9M2.10B1.94B131.3M
Net VEX-11.8M-12.7M-10.3M-10.5M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.812.441.641.58
Total Volume46,769.52431,09277,70650,06136,456
Total OI524,512.429455,367578,779525,124503,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$208.84$238.0061.7%19.0%82.0%70.8%66.2%19.3%-1.6%-25.5M1.94B-10.5M1.6410.0318,93331,128250,553274,571
2020-04-02$213.13$240.0055.8%15.2%82.4%62.8%59.4%18.0%-0.8%-23.9M1.79B-10.6M2.4417.2816,05339,152255,481282,148
2020-04-03$209.22$240.0053.1%14.8%82.5%59.2%51.2%16.6%-0.5%-41.8M2.10B-10.3M1.6815.1719,50632,863260,332296,049
2020-04-06$224.25$215.0044.6%12.4%84.6%47.7%47.5%15.5%-1.4%-3.4M1.03B-11.4M2.2511.4117,19038,650257,894280,089
2020-04-07$229.50$220.0045.6%12.7%84.4%49.1%47.6%16.6%-1.4%-2.0M747.6M-12.1M1.1119.9530,56033,778261,562293,589
2020-04-08$233.24$220.0044.8%12.3%83.1%48.0%47.4%15.9%-1.9%8.2M478.1M-12.4M1.2714.7122,36828,339261,834299,301
2020-04-09$237.90$220.0043.5%11.9%75.3%46.2%44.2%15.1%-2.5%28.1M71.7M-12.7M1.3210.1630,22539,950267,125311,654
2020-04-13$234.35$220.0042.9%12.2%74.3%45.5%47.8%15.0%-0.2%6.5M475.4M-11.9M1.3815.4715,46621,300256,842293,070
2020-04-14$239.56$220.0038.2%10.9%68.6%39.1%42.0%12.9%-0.4%19.0M73.9M-11.8M1.307.7219,14624,913260,171299,661
2020-04-15$235.19$220.0040.7%11.7%69.1%42.5%43.8%14.1%-0.5%14.9M437.6M-11.7M1.597.4914,06922,324265,517306,240
2020-04-16$235.12$220.0041.3%11.9%61.7%43.2%44.2%14.8%-0.5%10.8M460.4M-11.8M1.569.0520,01031,253266,822310,776
2020-04-17$241.34$220.0039.0%11.2%60.9%40.2%42.4%13.3%-0.4%46.7M268.4M-12.1M1.766.1128,17149,535255,454322,945
2020-04-20$237.10$220.0042.2%12.5%58.8%44.5%46.2%15.1%-1.0%-12.8M449.9M-12.1M2.109.7811,53324,190198,283257,084
2020-04-21$231.34$220.0045.1%13.4%56.1%48.4%47.0%15.7%-1.1%-26.0M837.9M-12.0M2.327.4812,93429,943202,093265,053
2020-04-22$235.62$220.0042.0%12.2%45.0%44.2%43.6%15.0%-0.8%-19.9M585.9M-12.0M0.815.8117,16613,926206,269268,749
2020-04-23$236.11$220.0040.5%11.7%41.3%42.2%43.1%14.7%-0.7%-8.6M534.7M-12.0M1.538.3215,15923,187213,549272,942
2020-04-24$238.25$220.0035.3%9.7%40.9%35.1%37.3%12.8%-0.4%13.3M342.4M-11.9M1.3510.0916,48422,188216,878279,720
2020-04-27$242.12$220.0032.3%9.3%40.9%31.1%34.7%11.5%0.1%6.9M135.2M-11.9M1.558.2915,49523,980206,268261,478
2020-04-28$241.76$225.0032.3%9.4%40.8%31.2%33.8%11.9%-0.2%5.3M187.1M-12.1M1.608.3012,21419,582211,292270,088
2020-04-29$247.26$225.0029.8%8.8%40.9%27.8%31.2%11.3%-0.4%20.7M-194.9M-12.3M1.3014.2318,59124,250215,976276,195
2020-04-30$243.35$225.0031.6%8.9%35.8%30.2%34.2%11.8%0.2%9.0M131.3M-12.4M1.589.3114,11022,346219,870283,294