DIA Options History — May 2020

In May 2020, DIA traded between $231.75 and $255.04. ATM implied volatility averaged 28.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.3% (HV 20d: 28.5%). Max pain ranged from $225.00 to $255.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2020-05-14: Highest Volume — 75,252 contracts
  • 2020-05-13: Largest IV spike — 19.0% change
  • 2020-05-01: Highest IV Rank — 33.6%
  • 2020-05-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$243.00$231.75$255.04$237.29$254.12
Max Pain$250.25$225.00$255.00$225.00$250.00
ATM IV28.8%24.7%34.2%34.2%25.3%
Expected Move8.4%7.1%10.5%10.5%7.3%
HV 20d28.5%25.1%37.3%37.3%27.8%
HV 60d56.6%54.9%57.9%56.4%54.9%
IV Rank26.4%20.8%33.6%33.6%21.7%
IV Percentile79.8%74.6%85.3%85.3%74.6%
Term Structure0.2%-0.7%1.1%0.4%-0.4%
VWIV31.6%25.6%36.4%36.3%26.9%
Skew 25d10.7%9.1%13.7%13.7%9.1%
Skew 10d19.1%16.6%24.9%24.9%16.9%
Call IV 25d24.3%21.3%28.5%28.2%22.0%
Put IV 25d35.0%30.5%41.9%41.9%31.1%
Bid-Ask Spread %10.465.1018.337.4311.29
Gamma HHI0.050.030.160.050.03
Net GEX-19.8M-85.2M-444.0K-10.3M-18.8M
Net DEX412.2M-230.5M1.16B638.6M-138.5M
Net VEX-11.9M-12.9M-11.1M-12.1M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.912.431.311.48
Total Volume44,432.628,66575,25245,03162,043
Total OI487,403.85420,174529,671514,996497,419

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$237.29$225.0034.2%10.5%37.3%33.6%36.3%13.7%0.4%-10.3M638.6M-12.1M1.317.4319,48625,545224,119290,877
2020-05-04$237.60$255.0033.7%9.6%36.3%33.0%35.2%12.8%0.1%-13.9M552.7M-11.7M1.1613.2613,36215,561216,422263,521
2020-05-05$239.07$255.0031.0%9.0%27.6%29.4%34.5%11.6%0.6%-2.7M401.5M-11.7M1.6411.0312,31120,159222,186268,851
2020-05-06$237.32$255.0031.4%9.4%26.8%29.9%36.4%11.5%0.4%-13.2M591.5M-11.5M1.997.189,59819,067224,245276,263
2020-05-07$239.04$255.0029.5%8.7%26.4%27.3%33.0%10.7%0.8%-16.3M480.3M-11.5M2.008.249,93319,845226,361282,862
2020-05-08$243.36$255.0026.2%7.7%26.2%22.9%31.3%9.8%1.1%-1.9M72.2M-11.6M1.5017.6116,61324,883228,419289,304
2020-05-11$243.07$255.0026.2%7.5%25.5%22.9%31.0%9.8%-0.3%-4.0M223.4M-11.3M0.9116.3117,99916,454218,438277,512
2020-05-12$239.11$250.0028.6%8.2%25.1%26.2%30.6%10.7%-0.3%-8.5M510.2M-11.2M1.2413.8813,22816,447225,718282,866
2020-05-13$231.75$250.0034.1%10.0%26.7%33.5%34.7%12.3%0.8%-42.8M1.11B-11.1M1.8411.6019,25835,492225,467288,794
2020-05-14$235.97$250.0031.5%9.2%27.5%30.0%33.7%12.1%0.7%-28.8M855.8M-11.3M0.9418.3338,70036,552229,849293,832
2020-05-15$235.96$250.0030.8%9.0%25.8%29.1%35.3%11.7%0.8%-38.0M1.16B-11.6M2.2315.9417,63239,320224,933304,738
2020-05-18$246.89$250.0026.8%7.7%29.8%23.7%29.9%10.5%-0.0%-2.2M216.8M-11.9M1.436.4323,91534,097178,269241,905
2020-05-19$243.46$250.0029.0%8.3%28.8%26.7%33.7%10.7%-0.0%-39.2M586.7M-12.3M1.5913.1116,07725,529182,476267,025
2020-05-20$246.01$250.0027.1%7.8%28.3%24.1%31.1%9.8%0.1%-21.2M343.2M-12.4M2.436.249,11622,166187,223271,035
2020-05-21$245.07$250.0027.5%7.9%28.4%24.6%30.3%9.5%-0.1%-45.5M469.2M-12.4M1.737.2713,80623,819190,212279,750
2020-05-22$244.66$250.0026.6%7.7%28.3%23.5%25.6%9.2%-0.2%-85.2M518.6M-12.2M1.266.3114,53218,324195,244283,409
2020-05-26$250.39$250.0025.7%7.5%28.9%22.2%26.8%9.3%-0.4%-444.0K99.8M-12.2M1.535.8820,72231,717181,978260,341
2020-05-27$254.78$250.0024.7%7.1%29.4%20.8%27.9%9.3%-0.4%-1.6M-222.3M-12.4M1.355.1023,01231,042189,934273,802
2020-05-28$255.04$250.0026.3%7.7%28.4%23.0%27.7%10.0%-0.7%-2.0M-230.5M-12.9M1.006.8230,60830,682196,896285,582
2020-05-29$254.12$250.0025.3%7.3%27.8%21.7%26.9%9.1%-0.4%-18.8M-138.5M-12.9M1.4811.2925,05936,984205,047292,372