DIA Options History — June 2020

In June 2020, DIA traded between $251.06 and $275.51. ATM implied volatility averaged 29.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.4% (HV 20d: 31.7%). Max pain ranged from $245.00 to $260.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.46.

Notable Days

2020-06-12: Highest Volume — 207,189 contracts
2020-06-11: Largest IV spike — 40.7% change
2020-06-11: Highest IV Rank — 37.3%
2020-06-12: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$260.84	$251.06	$275.51	$255.15	$257.74
Max Pain	$253.36	$245.00	$260.00	$250.00	$255.00
ATM IV	29.3%	22.8%	36.8%	25.6%	28.1%
Expected Move	8.5%	6.5%	10.3%	7.6%	8.0%
HV 20d	31.7%	25.8%	36.6%	25.8%	34.8%
HV 60d	42.2%	32.3%	54.5%	54.5%	32.3%
IV Rank	27.1%	18.3%	37.3%	22.1%	25.5%
IV Percentile	77.9%	72.2%	85.7%	75.0%	73.4%
Term Structure	-0.2%	-1.3%	0.6%	0.3%	0.2%
VWIV	31.8%	25.1%	39.3%	29.3%	30.3%
Skew 25d	10.4%	7.0%	13.5%	9.2%	10.5%
Skew 10d	18.9%	12.3%	26.1%	16.8%	18.4%
Call IV 25d	25.1%	20.1%	32.3%	21.8%	23.8%
Put IV 25d	35.5%	27.7%	43.9%	31.0%	34.3%
Bid-Ask Spread %	7.67	3.74	13.29	5.24	13.29
Gamma HHI	0.07	0.03	0.11	0.04	0.05
Net GEX	-18.8M	-102.5M	64.4M	44.2K	-8.2M
Net DEX	-24.9M	-1.84B	1.31B	-122.5M	236.3M
Net VEX	-14.6M	-16.2M	-12.7M	-12.7M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.89	2.81	1.54	1.88
Total Volume	79,261.227	25,782	207,189	26,649	51,729
Total OI	538,624.318	463,534	632,453	463,534	516,864

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
2020-06-01	$255.15	$250.00	25.6%	7.6%	25.8%	22.1%	29.3%	9.2%	0.3%	44.2K	-122.5M	-12.7M	1.54	5.24	10,479	16,170	198,231	265,303
2020-06-02	$256.70	$250.00	24.8%	7.3%	25.8%	21.0%	27.6%	9.5%	-0.3%	-248.8K	-237.5M	-12.7M	1.45	6.10	10,530	15,252	201,483	272,812
2020-06-03	$263.60	$250.00	22.8%	6.5%	27.0%	18.3%	25.1%	7.8%	-0.0%	40.6M	-985.4M	-12.7M	1.28	3.74	27,147	34,876	204,389	278,594
2020-06-04	$262.34	$245.00	23.5%	7.0%	26.9%	19.3%	30.4%	7.7%	-0.3%	27.7M	-800.7M	-12.9M	1.32	7.96	35,017	46,150	210,565	290,758
2020-06-05	$271.12	$245.00	22.9%	6.7%	28.7%	18.5%	27.3%	7.0%	-0.3%	64.4M	-1.82B	-13.0M	1.03	12.64	57,879	59,731	217,484	298,539
2020-06-08	$275.51	$245.00	23.5%	6.8%	28.6%	19.3%	27.9%	7.5%	0.4%	47.5M	-1.84B	-13.2M	0.89	6.75	42,713	38,182	206,929	294,321
2020-06-09	$273.96	$250.00	25.3%	7.2%	28.8%	21.7%	27.0%	8.1%	-0.2%	37.2M	-1.61B	-13.8M	0.97	9.18	25,142	24,422	220,267	299,786
2020-06-10	$271.24	$250.00	26.2%	7.6%	28.2%	22.9%	28.0%	8.5%	0.3%	28.3M	-1.31B	-13.8M	1.04	9.84	30,536	31,885	227,143	304,610
2020-06-11	$253.25	$255.00	36.8%	10.2%	36.6%	37.3%	37.9%	11.6%	-1.3%	-33.2M	825.0M	-14.3M	1.60	9.15	65,836	105,526	233,950	312,313
2020-06-12	$255.70	$255.00	35.6%	10.3%	36.3%	35.6%	39.3%	13.5%	0.6%	3.1M	492.3M	-14.6M	2.81	10.16	54,432	152,757	247,866	314,868
2020-06-15	$256.79	$255.00	33.8%	9.7%	36.3%	33.1%	35.1%	11.6%	-1.3%	-56.9M	680.4M	-16.0M	1.08	8.20	34,624	37,492	234,309	364,031
2020-06-16	$262.52	$255.00	31.5%	9.0%	33.7%	30.0%	33.2%	11.3%	0.4%	-17.9M	-77.3M	-16.1M	1.19	6.64	39,445	47,031	241,540	368,168
2020-06-17	$261.88	$255.00	32.3%	9.3%	33.1%	31.1%	32.2%	11.1%	-1.1%	-42.5M	145.2M	-16.1M	1.56	7.50	19,211	29,940	245,464	380,493
2020-06-18	$260.67	$255.00	31.3%	9.0%	33.2%	29.8%	32.6%	10.8%	-0.3%	-32.4M	278.1M	-16.0M	1.49	6.17	25,576	38,153	249,433	383,020
2020-06-19	$259.97	$255.00	31.5%	9.0%	33.1%	30.0%	34.2%	11.4%	-0.1%	-8.6M	742.9M	-16.2M	1.75	5.68	27,263	47,682	239,610	390,367
2020-06-22	$259.97	$255.00	31.1%	9.0%	33.1%	29.6%	33.3%	12.1%	0.1%	-70.2M	568.9M	-15.9M	1.56	5.07	16,475	25,637	196,632	309,260
2020-06-23	$262.23	$260.00	29.8%	8.5%	32.3%	27.7%	33.7%	11.3%	0.0%	-70.9M	318.9M	-15.9M	1.37	5.07	22,005	30,246	203,978	319,552
2020-06-24	$255.60	$260.00	32.6%	9.4%	33.3%	31.5%	34.8%	12.3%	-0.3%	-100.9M	1.10B	-15.6M	1.75	7.81	30,670	53,523	206,344	320,971
2020-06-25	$256.60	$260.00	30.8%	9.0%	33.3%	29.1%	35.5%	11.3%	-0.0%	-102.5M	942.9M	-15.8M	2.19	8.18	37,055	81,299	216,150	334,318
2020-06-26	$251.06	$258.00	33.5%	9.7%	34.2%	32.8%	33.2%	12.3%	-0.0%	-81.9M	1.31B	-14.7M	1.34	8.30	44,545	59,729	227,756	299,036
2020-06-29	$254.82	$256.00	31.2%	9.0%	34.6%	29.6%	32.2%	11.6%	-0.3%	-35.2M	614.6M	-14.8M	0.95	5.96	30,639	29,116	216,119	286,109
2020-06-30	$257.74	$255.00	28.1%	8.0%	34.8%	25.5%	30.3%	10.5%	0.2%	-8.2M	236.3M	-14.7M	1.88	13.29	17,975	33,754	223,179	293,685