DIA Options History — August 2020

In August 2020, DIA traded between $266.94 and $287.37. ATM implied volatility averaged 19.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.9% (HV 20d: 11.6%). Max pain ranged from $260.00 to $275.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-08-11: Highest Volume — 91,344 contracts
  • 2020-08-31: Largest IV spike — 8.6% change
  • 2020-08-31: Highest IV Rank — 15.7%
  • 2020-08-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$278.48$266.94$287.37$266.94$285.29
Max Pain$267.29$260.00$275.00$265.00$275.00
ATM IV19.6%18.5%20.9%20.7%20.9%
Expected Move5.6%5.3%6.2%5.9%6.0%
HV 20d11.6%9.2%14.4%14.4%9.4%
HV 60d23.2%20.6%26.0%26.0%20.6%
IV Rank13.9%12.5%15.7%15.5%15.7%
IV Percentile52.6%48.8%55.6%55.6%55.6%
Term Structure0.3%-0.1%1.1%0.0%0.7%
VWIV21.3%18.6%23.8%22.2%22.9%
Skew 25d6.9%6.3%7.8%7.2%7.8%
Skew 10d12.4%11.2%14.8%12.3%14.8%
Call IV 25d17.2%16.0%18.3%18.2%18.3%
Put IV 25d24.1%22.9%26.1%25.4%26.1%
Bid-Ask Spread %5.353.0413.046.313.98
Gamma HHI0.060.040.170.040.04
Net GEX40.3M-41.0M116.1M-16.8M76.3M
Net DEX-1.24B-1.97B-337.9M-337.9M-1.47B
Net VEX-15.2M-16.3M-14.4M-14.6M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.502.691.350.91
Total Volume50,038.71434,40091,34443,64549,335
Total OI503,151.048444,247543,389454,505494,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$266.94$265.0020.7%5.9%14.4%15.5%22.2%7.2%0.0%-16.8M-337.9M-14.6M1.356.3118,57325,072187,307267,198
2020-08-04$267.83$265.0020.2%5.7%13.6%14.8%22.9%6.9%0.1%10.3M-493.7M-14.6M2.693.5110,98029,484194,773270,877
2020-08-05$271.55$265.0019.4%5.4%14.2%13.7%20.9%6.5%-0.1%28.4M-906.2M-14.6M1.563.2521,75533,866197,602286,805
2020-08-06$273.73$260.0019.1%5.6%13.1%13.3%21.5%6.3%0.1%25.9M-1.11B-14.6M0.9913.0419,43519,263201,006299,999
2020-08-07$274.45$260.0019.3%5.8%12.4%13.6%23.3%6.8%0.2%78.3M-1.21B-14.7M1.557.0524,70538,371205,629301,522
2020-08-10$277.97$260.0019.1%5.7%12.9%13.3%21.6%6.8%0.7%37.8M-1.34B-14.4M1.044.0325,24526,351194,008289,125
2020-08-11$277.69$260.0020.6%6.2%12.1%15.3%22.0%7.8%1.1%19.2M-1.21B-15.0M0.8310.2249,80641,538199,425300,031
2020-08-12$280.34$265.0019.7%5.8%12.0%14.1%23.8%7.2%0.6%48.8M-1.54B-15.0M1.387.9519,06626,239209,942313,850
2020-08-13$279.28$265.0019.8%5.8%11.9%14.2%22.0%6.7%0.6%29.0M-1.38B-15.1M1.085.1117,22018,542210,930317,675
2020-08-14$279.03$265.0019.6%5.8%11.8%14.0%21.0%7.1%0.8%48.9M-1.39B-15.2M1.426.9223,50233,404216,767320,259
2020-08-17$279.03$268.0019.6%5.7%11.9%14.0%22.0%6.6%0.2%24.9M-1.28B-15.0M0.844.0018,66815,732210,352305,946
2020-08-18$278.24$269.0019.3%5.6%12.0%13.6%21.5%6.6%0.4%29.5M-1.20B-15.2M0.834.8720,09116,649219,925313,095
2020-08-19$277.72$270.0019.4%5.6%11.9%13.7%20.6%6.6%0.3%-2.5M-1.07B-15.2M0.725.0420,11014,528220,906316,884
2020-08-20$278.24$270.0019.2%5.5%10.6%13.5%18.6%6.7%0.4%-41.0M-1.16B-15.0M0.503.1431,46115,870222,571319,492
2020-08-21$279.26$270.0018.5%5.3%10.1%12.5%20.0%7.0%0.2%62.4M-1.11B-15.6M1.384.5819,42726,901219,154324,235
2020-08-24$282.66$270.0018.6%5.3%10.6%12.6%20.3%7.0%0.1%67.7M-1.36B-15.3M1.153.1525,80929,802190,125254,122
2020-08-25$282.41$270.0019.3%5.5%10.3%13.6%19.6%6.9%-0.0%62.3M-1.28B-15.5M0.714.0422,46216,029195,683269,762
2020-08-26$283.18$272.0019.5%5.6%10.3%13.9%20.2%7.0%0.1%82.3M-1.45B-15.7M1.483.0423,14034,335204,957275,529
2020-08-27$285.84$274.0019.6%5.7%9.2%14.0%20.8%7.3%0.1%58.9M-1.71B-16.2M0.803.7339,17431,433209,988293,751
2020-08-28$287.37$275.0019.2%5.3%9.2%13.5%20.2%6.4%0.2%116.1M-1.97B-16.2M1.055.3427,97429,466214,531305,706
2020-08-31$285.29$275.0020.9%6.0%9.4%15.7%22.9%7.8%0.7%76.3M-1.47B-16.3M0.913.9825,81523,520208,446286,282