DIA Options History — November 2020

In November 2020, DIA traded between $268.31 and $300.34. ATM implied volatility averaged 21.3%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.4% (HV 20d: 24.7%). Max pain ranged from $271.00 to $287.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2020-11-09: Highest Volume — 104,348 contracts
  • 2020-11-04: Largest IV drop — 14.4% change
  • 2020-11-02: Highest IV Rank — 29.7%
  • 2020-11-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$291.57$268.31$300.34$268.31$295.90
Max Pain$278.80$271.00$287.00$276.00$287.00
ATM IV21.3%18.8%31.3%31.3%19.8%
Expected Move6.3%5.5%10.0%10.0%6.1%
HV 20d24.7%20.6%27.4%20.6%21.4%
HV 60d21.3%19.1%22.2%19.1%20.9%
IV Rank16.3%12.8%29.7%29.7%14.2%
IV Percentile37.9%23.8%77.0%77.0%31.3%
Term Structure-0.1%-0.7%1.0%-0.6%1.0%
VWIV23.1%19.9%35.1%35.1%21.6%
Skew 25d6.5%5.5%9.6%9.6%5.7%
Skew 10d12.4%10.0%18.4%18.3%11.3%
Call IV 25d19.0%16.9%26.7%26.7%17.4%
Put IV 25d25.5%22.9%36.3%36.3%23.2%
Bid-Ask Spread %5.462.3812.404.633.47
Gamma HHI0.050.030.090.030.04
Net GEX57.8M-47.7M141.8M-47.7M31.7M
Net DEX-1.62B-2.62B729.8M729.8M-1.25B
Net VEX-17.1M-17.6M-16.6M-17.3M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.752.530.800.75
Total Volume65,133.626,835104,34858,12959,346
Total OI625,912.1542,475673,303606,440561,575

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$268.31$276.0031.3%10.0%20.6%29.7%35.1%9.6%-0.6%-47.7M729.8M-17.3M0.804.6332,33625,793285,022321,418
2020-11-03$275.72$276.0028.1%8.9%22.8%25.5%32.6%8.9%-0.7%-4.1M-136.9M-17.4M1.325.1333,05743,632285,022321,418
2020-11-04$279.04$276.0024.1%7.3%22.1%20.0%26.1%7.4%-0.0%32.1M-731.4M-17.3M0.765.5542,39432,185305,180345,045
2020-11-05$283.40$271.0022.7%6.6%22.8%18.1%24.4%6.5%-0.3%77.4M-1.35B-17.5M1.0212.4028,00428,439306,302351,304
2020-11-06$284.08$271.0021.5%6.3%22.8%16.5%24.4%6.8%0.2%44.9M-1.47B-17.3M2.1910.0719,18542,072307,288358,556
2020-11-09$294.87$272.0020.3%5.9%26.2%14.9%21.7%5.8%0.4%137.9M-2.55B-16.8M1.038.1851,29253,056280,850338,100
2020-11-10$294.52$275.0021.1%6.1%26.1%16.0%23.0%6.5%0.3%94.2M-2.24B-17.4M1.558.5224,93038,640285,976357,163
2020-11-11$294.08$275.0020.4%5.9%26.0%15.0%22.3%6.3%0.2%74.0M-2.15B-17.2M2.3610.4016,44138,819287,494367,318
2020-11-12$289.82$276.0022.3%6.5%26.6%17.6%24.8%7.2%0.5%4.1M-1.43B-17.6M2.539.9823,90960,408291,364372,795
2020-11-13$295.62$275.0020.0%5.8%27.4%14.6%21.3%6.5%0.3%141.8M-2.47B-17.2M1.335.2930,64540,651295,553377,750
2020-11-16$298.94$279.0020.1%5.8%26.9%14.7%21.4%6.2%-0.6%129.3M-2.62B-16.9M1.112.6431,36434,824272,092346,718
2020-11-17$298.14$280.0020.1%5.8%26.9%14.6%20.7%5.7%-0.6%112.4M-2.47B-16.6M1.193.6530,60036,548279,391360,869
2020-11-18$295.96$280.0020.1%5.8%27.0%14.6%21.1%5.8%-0.2%28.3M-2.03B-16.8M0.933.7834,44632,182284,991371,022
2020-11-19$295.59$280.0019.1%5.5%27.0%13.4%20.2%5.5%-0.3%9.7M-2.02B-16.7M1.302.5024,48231,832290,659375,760
2020-11-20$293.24$285.0019.8%5.7%27.2%14.2%20.7%5.8%-0.2%-17.4M-1.05B-17.2M1.282.4620,88326,641274,637376,261
2020-11-23$296.19$285.0019.2%5.7%25.2%13.4%19.9%6.1%-0.1%54.2M-1.47B-16.7M0.802.4534,37427,664244,907297,568
2020-11-24$300.34$285.0019.1%5.6%25.3%13.3%20.5%6.0%-0.4%137.0M-2.24B-17.0M1.112.6443,09147,710258,107305,008
2020-11-25$298.85$286.0019.0%5.6%21.9%13.2%19.9%5.9%-0.3%48.0M-1.74B-17.1M1.472.3821,84032,122255,970325,236
2020-11-27$298.78$286.0018.8%5.6%22.0%12.8%20.4%6.2%-0.3%67.8M-1.68B-17.3M1.263.1011,87614,959262,192334,361
2020-11-30$295.90$287.0019.8%6.1%21.4%14.2%21.6%5.7%1.0%31.7M-1.25B-17.3M0.753.4733,98325,363251,237310,338