DIA Options History — September 2020

In September 2020, DIA traded between $267.77 and $291.78. ATM implied volatility averaged 22.9%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.4% (HV 20d: 19.5%). Max pain ranged from $275.00 to $280.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2020-09-03: Highest Volume — 103,589 contracts
2020-09-03: Largest IV spike — 25.9% change
2020-09-03: Highest IV Rank — 24.7%
2020-09-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$277.74	$267.77	$291.78	$286.35	$277.25
Max Pain	$278.24	$275.00	$280.00	$275.00	$275.00
ATM IV	22.9%	19.9%	27.6%	21.6%	22.3%
Expected Move	6.5%	5.7%	7.8%	6.1%	6.4%
HV 20d	19.5%	9.4%	24.0%	9.4%	24.0%
HV 60d	17.4%	16.1%	21.7%	20.4%	16.9%
IV Rank	18.5%	14.3%	24.7%	16.7%	17.6%
IV Percentile	56.9%	50.0%	71.8%	56.7%	52.0%
Term Structure	0.6%	-0.2%	3.2%	0.2%	3.2%
VWIV	23.3%	20.4%	28.1%	22.3%	22.8%
Skew 25d	6.8%	5.6%	8.8%	7.6%	6.2%
Skew 10d	12.8%	10.1%	17.2%	14.7%	11.2%
Call IV 25d	20.3%	18.1%	24.5%	18.8%	20.0%
Put IV 25d	27.1%	23.7%	33.3%	26.3%	26.2%
Bid-Ask Spread %	7.89	2.40	18.64	3.26	6.37
Gamma HHI	0.05	0.03	0.18	0.04	0.10
Net GEX	17.9M	-136.6M	138.9M	94.2M	99.6M
Net DEX	-385.6M	-2.42B	891.2M	-1.63B	-576.4M
Net VEX	-16.6M	-18.0M	-15.7M	-16.9M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.57	2.45	0.73	0.78
Total Volume	67,733.048	39,995	103,589	39,995	80,428
Total OI	530,740.762	462,393	574,404	513,603	523,926

Daily Data (21 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
2020-09-01	$286.35	$275.00	21.6%	6.1%	9.4%	16.7%	22.3%	7.6%	0.2%	94.2M	-1.63B	-16.9M	0.73	3.26	23,144	16,851	218,150	295,453
2020-09-02	$291.78	$276.00	21.9%	6.2%	10.3%	17.1%	22.7%	6.4%	0.6%	138.9M	-2.42B	-17.0M	0.72	3.56	46,881	33,978	224,752	301,414
2020-09-03	$282.53	$280.00	27.6%	7.8%	16.2%	24.7%	28.1%	8.8%	-0.1%	18.7M	-875.4M	-18.0M	1.20	12.19	47,081	56,508	228,900	312,993
2020-09-04	$282.68	$280.00	24.7%	7.1%	16.2%	20.9%	26.4%	8.7%	-0.2%	32.4M	-792.7M	-17.8M	1.50	18.64	36,936	55,506	235,638	323,725
2020-09-08	$276.45	$280.00	26.6%	7.6%	17.7%	23.5%	27.1%	8.4%	0.1%	653.6K	-144.0M	-17.1M	0.91	10.56	38,158	34,609	225,100	293,831
2020-09-09	$280.78	$280.00	23.4%	6.8%	18.5%	19.2%	23.4%	7.2%	0.4%	48.0M	-737.8M	-16.9M	0.57	9.05	41,008	23,234	237,502	303,579
2020-09-10	$276.48	$280.00	24.2%	7.0%	19.1%	20.2%	23.5%	7.3%	0.3%	-2.7M	-111.7M	-16.7M	1.06	9.10	26,578	28,180	241,711	309,235
2020-09-11	$277.23	$280.00	22.9%	6.5%	19.1%	18.4%	22.6%	6.9%	0.1%	39.5M	-239.7M	-16.2M	1.41	10.90	25,858	36,463	246,672	310,700
2020-09-14	$280.99	$280.00	21.0%	6.0%	19.7%	15.9%	21.9%	6.6%	0.3%	46.6M	-801.7M	-16.0M	0.61	11.39	26,677	16,144	236,278	300,153
2020-09-15	$280.34	$280.00	20.8%	6.0%	19.7%	15.5%	20.4%	5.8%	0.3%	81.1M	-850.9M	-15.9M	0.88	10.99	23,854	20,983	248,209	305,203
2020-09-16	$281.87	$280.00	19.9%	5.7%	19.7%	14.3%	21.0%	5.6%	0.1%	92.7M	-1.04B	-15.7M	1.08	11.87	21,168	22,841	248,688	309,710
2020-09-17	$279.04	$280.00	20.9%	6.0%	20.1%	15.8%	21.3%	5.7%	0.1%	36.0M	-538.3M	-15.9M	1.56	10.03	35,467	55,451	253,178	314,834
2020-09-18	$277.22	$280.00	21.1%	6.0%	20.2%	16.0%	21.7%	6.0%	0.2%	-136.6M	148.5M	-16.2M	1.30	3.73	28,386	36,981	248,927	325,477
2020-09-21	$270.27	$280.00	23.9%	6.8%	22.0%	19.8%	24.5%	6.8%	0.4%	-39.6M	597.9M	-15.9M	0.92	5.97	53,898	49,572	209,081	253,312
2020-09-22	$273.11	$278.00	22.5%	6.3%	21.9%	17.8%	22.2%	5.9%	0.2%	8.9M	101.1M	-16.4M	0.93	7.01	27,915	25,978	231,550	266,957
2020-09-23	$267.77	$277.00	24.0%	6.9%	22.8%	19.9%	23.3%	7.1%	0.3%	-47.1M	840.6M	-16.4M	2.45	7.07	28,113	68,753	232,001	269,893
2020-09-24	$268.22	$277.00	24.2%	6.9%	22.8%	20.1%	24.0%	7.4%	-0.1%	-76.3M	891.2M	-16.4M	1.54	4.83	28,323	43,642	240,226	282,739
2020-09-25	$271.31	$275.00	23.0%	6.5%	23.0%	18.6%	22.9%	6.7%	0.3%	-76.3M	357.6M	-16.8M	1.42	3.88	21,662	30,750	244,564	289,197
2020-09-28	$275.97	$275.00	22.3%	6.3%	23.8%	17.6%	23.0%	6.0%	3.2%	18.2M	-214.4M	-16.8M	1.10	2.81	21,567	23,627	224,349	272,573
2020-09-29	$274.94	$275.00	23.0%	6.5%	23.8%	18.5%	23.5%	5.9%	2.6%	-515.0K	-57.3M	-16.6M	0.59	2.40	37,330	21,911	226,776	278,400
2020-09-30	$277.25	$275.00	22.3%	6.4%	24.0%	17.6%	22.8%	6.2%	3.2%	99.6M	-576.4M	-16.6M	0.78	6.37	45,283	35,145	242,570	281,356