DIA Options History — July 2020

In July 2020, DIA traded between $257.00 and $270.01. ATM implied volatility averaged 25.1%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.7% (HV 20d: 21.4%). Max pain ranged from $255.00 to $270.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2020-07-10: Highest Volume — 92,074 contracts
  • 2020-07-13: Largest IV spike — 10.2% change
  • 2020-07-13: Highest IV Rank — 26.5%
  • 2020-07-13: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$264.02$257.00$270.01$258.44$263.51
Max Pain$261.68$255.00$270.00$255.00$265.00
ATM IV25.1%21.0%28.9%27.4%21.0%
Expected Move7.2%5.9%8.5%7.7%5.9%
HV 20d21.4%14.0%33.4%33.4%14.6%
HV 60d27.5%25.9%29.2%29.2%26.0%
IV Rank21.4%15.9%26.5%24.6%15.9%
IV Percentile65.1%56.0%73.8%72.2%56.0%
Term Structure0.2%-0.3%0.9%0.3%0.8%
VWIV26.4%21.5%30.7%28.2%21.5%
Skew 25d8.7%7.4%10.0%9.4%7.4%
Skew 10d15.4%12.9%18.3%17.5%12.9%
Call IV 25d21.6%18.0%24.7%23.4%18.0%
Put IV 25d30.2%25.3%34.6%32.8%25.3%
Bid-Ask Spread %6.852.9710.824.395.45
Gamma HHI0.070.040.190.050.05
Net GEX1.2M-81.8M112.6M-6.9M-64.6M
Net DEX-220.9M-1.01B536.7M145.0M87.9M
Net VEX-14.6M-14.8M-14.2M-14.8M-14.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.502.320.781.25
Total Volume57,828.68228,69592,07442,23460,646
Total OI477,929418,326522,142476,437491,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$258.44$255.0027.4%7.7%33.4%24.6%28.2%9.4%0.3%-6.9M145.0M-14.8M0.784.3923,74618,488198,987277,450
2020-07-02$258.83$256.0025.6%6.9%33.4%22.1%26.3%8.7%0.4%39.0M-41.6M-14.5M1.482.9735,38752,266207,589279,519
2020-07-06$262.55$260.0025.8%7.3%31.5%22.3%28.0%8.6%-0.0%-14.9M-197.7M-14.5M2.329.3222,27951,659191,683275,889
2020-07-07$259.40$260.0027.5%7.8%31.0%24.7%29.2%9.0%-0.1%-81.8M354.2M-14.8M2.106.3214,62330,742195,154295,823
2020-07-08$260.51$260.0026.5%7.7%31.0%23.4%26.4%9.3%-0.3%-49.3M116.5M-14.6M1.557.4316,51025,606197,268292,512
2020-07-09$257.00$260.0028.6%8.4%31.2%26.1%28.1%10.0%-0.2%-79.9M536.7M-14.5M1.079.0339,31041,952200,639299,659
2020-07-10$260.72$260.0026.2%7.7%19.7%22.9%28.7%9.3%0.0%-20.7M-113.0M-14.7M1.6610.8234,67857,396218,549303,593
2020-07-13$262.10$260.0028.9%8.5%19.5%26.5%30.0%10.0%0.9%-2.3M-177.9M-14.7M1.1610.1529,73134,524198,508279,984
2020-07-14$266.13$260.0028.0%8.2%20.1%25.4%30.7%10.0%0.3%13.2M-551.9M-14.8M0.659.9145,63729,537202,013287,788
2020-07-15$269.02$260.0026.8%7.6%19.0%23.7%28.9%9.1%-0.3%46.0M-1.01B-14.8M0.908.0445,18040,782211,770295,885
2020-07-16$267.58$260.0025.8%7.3%19.1%22.4%27.2%8.9%-0.3%48.7M-848.3M-14.8M0.967.5723,83722,792214,928300,056
2020-07-17$266.94$260.0024.9%7.3%19.0%21.2%25.1%8.3%0.9%15.0M-611.3M-14.7M1.158.4921,39424,671211,992302,065
2020-07-20$267.40$260.0023.8%6.8%19.0%19.6%25.8%7.8%0.1%14.6M-445.0M-14.4M0.505.5340,05919,944180,045238,281
2020-07-21$268.59$260.0023.4%6.7%19.0%19.2%24.8%8.0%0.0%112.6M-866.8M-14.6M0.605.8532,72819,744204,051244,177
2020-07-22$270.01$260.0023.0%6.6%18.9%18.6%23.7%7.9%-0.1%59.6M-769.3M-14.5M2.315.6413,13230,277194,212250,333
2020-07-23$266.46$270.0024.2%7.0%16.9%20.2%27.4%8.6%-0.1%-80.3M-50.8M-14.7M1.926.7018,59535,711197,707270,517
2020-07-24$264.66$268.0023.9%6.9%17.2%19.8%24.7%8.2%0.0%-42.3M81.3M-14.5M1.435.7616,61423,728199,218266,781
2020-07-27$265.71$266.0023.2%6.6%14.8%18.8%24.4%8.5%0.2%-24.1M-125.1M-14.2M0.567.3231,64617,713176,729250,747
2020-07-28$264.32$266.0022.7%6.5%14.4%18.2%23.9%8.2%0.3%29.0M-121.4M-14.4M1.134.3713,45015,245196,770261,033
2020-07-29$265.64$266.0021.6%6.1%14.0%16.6%23.3%7.7%0.4%80.6M-346.5M-14.5M0.885.0916,08714,172203,159267,418
2020-07-30$262.97$265.0022.7%6.4%14.6%18.2%24.3%7.8%0.3%35.9M95.9M-14.6M0.804.6038,88631,127208,128273,884
2020-07-31$263.51$265.0021.0%5.9%14.6%15.9%21.5%7.4%0.8%-64.6M87.9M-14.4M1.255.4526,89433,752208,981282,964