DIA Options History — October 2020

In October 2020, DIA traded between $263.60 and $288.69. ATM implied volatility averaged 25.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.3% (HV 20d: 18.3%). Max pain ranged from $275.00 to $280.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2020-10-28: Highest Volume — 123,539 contracts
  • 2020-10-26: Largest IV spike — 19.6% change
  • 2020-10-28: Highest IV Rank — 32.3%
  • 2020-10-30: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$280.21$263.60$288.69$277.13$263.60
Max Pain$278.73$275.00$280.00$275.00$277.00
ATM IV25.6%22.0%33.1%23.5%32.7%
Expected Move7.5%6.4%10.1%6.6%10.1%
HV 20d18.3%14.2%22.8%22.8%20.2%
HV 60d17.2%16.6%18.8%16.8%18.7%
IV Rank22.1%17.2%32.3%19.2%31.6%
IV Percentile61.9%48.4%82.5%56.7%81.7%
Term Structure0.0%-1.0%3.7%3.7%-0.9%
VWIV26.8%23.2%36.3%23.2%35.2%
Skew 25d7.4%5.6%11.2%5.6%11.2%
Skew 10d13.6%10.0%21.7%10.0%21.7%
Call IV 25d22.3%19.5%28.3%20.7%28.1%
Put IV 25d29.7%25.9%39.3%26.2%39.3%
Bid-Ask Spread %3.871.6012.471.8612.47
Gamma HHI0.080.030.440.030.04
Net GEX64.3M-104.7M436.0M36.9M-104.7M
Net DEX-501.0M-1.58B1.47B-322.3M1.47B
Net VEX-17.1M-17.6M-16.7M-16.7M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.552.560.811.41
Total Volume65,664.13642,715123,53952,70075,105
Total OI551,176.864481,734638,397489,657638,397

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$277.13$275.0023.5%6.6%22.8%19.2%23.2%5.6%3.7%36.9M-322.3M-16.7M0.811.8629,18723,513222,722266,935
2020-10-02$277.37$276.0024.0%6.6%19.9%20.0%23.3%5.6%3.7%70.2M-379.6M-16.9M1.501.9730,42845,522229,987272,103
2020-10-05$281.28$278.0025.2%7.6%20.6%21.6%27.7%6.8%0.4%48.5M-742.0M-16.9M1.532.3416,88225,833219,523262,211
2020-10-06$277.93$278.0026.2%7.7%19.4%22.9%27.5%7.0%-0.0%6.6M-276.4M-16.9M2.562.4026,06266,783221,429276,008
2020-10-07$283.22$278.0025.4%7.3%19.8%21.9%26.6%6.9%0.0%3.1M-893.1M-17.1M1.372.0530,69141,936227,435295,390
2020-10-08$284.10$278.0024.3%7.1%18.9%20.4%24.9%6.3%0.2%29.7M-1.11B-17.2M1.152.1625,43629,173239,564309,180
2020-10-09$285.56$278.0022.6%6.5%18.9%18.0%23.4%6.2%-0.3%97.2M-1.38B-16.9M1.012.4436,40936,837246,877321,181
2020-10-12$288.69$278.0022.0%6.4%18.7%17.2%23.5%6.4%0.3%116.7M-1.58B-16.8M0.721.8239,98128,640239,842288,405
2020-10-13$287.37$279.0022.9%6.6%18.8%18.5%24.3%6.9%0.0%124.5M-1.44B-16.9M0.751.8224,98118,695249,815299,735
2020-10-14$285.68$279.0023.3%6.7%18.9%18.9%23.3%7.0%-0.0%142.9M-1.20B-17.0M0.721.7433,82724,467258,965304,377
2020-10-15$285.09$280.0023.7%6.8%18.5%19.5%25.5%6.7%-0.0%189.4M-1.12B-17.3M0.661.8938,04225,155273,417310,487
2020-10-16$286.51$280.0023.2%6.6%18.3%18.8%25.3%6.6%-0.0%436.0M-1.24B-17.3M0.881.6031,20727,609269,393315,524
2020-10-19$282.30$280.0025.3%7.2%16.6%21.7%27.8%7.8%-0.7%7.5M-520.5M-17.1M0.637.9942,55726,811229,196279,087
2020-10-20$283.91$280.0025.6%7.3%16.3%22.1%25.3%7.8%-1.0%126.1M-903.6M-17.6M0.638.4829,15418,225257,482285,157
2020-10-21$282.34$280.0025.5%7.3%14.5%22.0%24.9%7.7%-0.9%98.6M-636.8M-17.5M0.796.4729,60223,240264,079290,227
2020-10-22$283.76$280.0024.2%7.0%14.5%20.1%24.8%7.3%-1.0%117.0M-781.4M-17.3M0.643.7932,44320,636261,834300,286
2020-10-23$283.33$280.0023.7%6.9%14.2%19.5%23.7%7.5%-0.8%10.1M-655.0M-17.0M0.552.5929,83216,490262,207306,521
2020-10-26$275.85$280.0028.3%8.5%16.5%25.7%28.8%7.8%-0.2%-36.3M217.5M-17.0M0.794.2849,25438,702246,428294,252
2020-10-27$275.22$280.0027.8%8.3%16.4%25.0%30.1%8.1%-0.4%9.1M130.9M-17.3M0.823.8130,32224,727268,293302,737
2020-10-28$266.70$280.0033.1%9.9%19.5%32.3%34.6%8.8%-0.8%-58.3M1.22B-17.2M1.177.0356,93166,608277,339311,363
2020-10-29$267.66$278.0030.9%9.4%19.6%29.3%36.3%9.9%-0.7%-57.1M1.12B-17.4M1.074.1236,97139,705303,875326,626
2020-10-30$263.60$277.0032.7%10.1%20.2%31.6%35.2%11.2%-0.9%-104.7M1.47B-17.1M1.4112.4731,12943,976309,625328,772