DIA Options History — December 2020

In December 2020, DIA traded between $298.28 and $305.40. ATM implied volatility averaged 19.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.6% (HV 20d: 12.5%). Max pain ranged from $280.00 to $291.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2020-12-15: Highest Volume — 66,932 contracts
  • 2020-12-21: Largest IV spike — 8.7% change
  • 2020-12-21: Highest IV Rank — 15.3%
  • 2020-12-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$301.68$298.28$305.40$298.28$305.40
Max Pain$286.14$280.00$291.00$287.00$291.00
ATM IV19.1%17.8%20.6%19.3%18.2%
Expected Move5.6%5.0%6.0%5.9%5.2%
HV 20d12.5%8.0%20.9%20.9%8.0%
HV 60d19.1%17.8%21.0%21.0%17.8%
IV Rank13.0%10.2%15.3%13.5%10.7%
IV Percentile24.0%15.1%35.3%26.6%15.1%
Term Structure0.5%-0.7%1.9%1.3%0.3%
VWIV20.8%17.8%22.5%20.9%19.7%
Skew 25d5.7%5.0%6.5%6.0%6.1%
Skew 10d11.0%9.2%12.6%10.3%11.7%
Call IV 25d16.7%15.4%17.9%17.0%15.4%
Put IV 25d22.4%20.8%24.0%23.0%21.5%
Bid-Ask Spread %4.081.769.703.482.48
Gamma HHI0.090.040.310.090.07
Net GEX94.0M-175.2M290.3M148.9M125.0M
Net DEX-1.72B-2.46B-1.11B-1.83B-1.85B
Net VEX-16.5M-17.5M-15.4M-17.5M-15.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.592.820.901.24
Total Volume48,136.09125,43566,93251,55142,086
Total OI579,599.682493,134636,350585,141545,674

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$298.28$287.0019.3%5.9%20.9%13.5%20.9%6.0%1.3%148.9M-1.83B-17.5M0.903.4827,15224,399269,746315,395
2020-12-02$299.18$287.0019.6%6.0%19.2%13.9%21.4%5.5%1.5%129.6M-1.86B-17.3M1.133.3622,34925,201266,710323,051
2020-12-03$299.61$280.0018.7%5.8%19.0%12.8%20.8%5.5%1.8%105.5M-1.85B-17.0M1.219.7027,97533,820264,046330,254
2020-12-04$302.18$280.0018.5%5.7%18.6%12.5%21.3%5.0%1.9%144.7M-2.30B-17.3M1.435.3127,05338,597269,948340,130
2020-12-07$300.37$280.0019.7%5.8%18.9%14.1%21.3%5.4%0.2%44.5M-1.74B-17.3M1.156.1815,26717,619260,456334,240
2020-12-08$302.09$280.0019.3%5.7%13.9%13.6%21.5%5.7%0.6%101.3M-2.05B-17.1M2.821.7613,84739,087265,829337,405
2020-12-09$301.12$280.0019.6%5.7%14.0%14.0%21.0%5.7%0.2%-31.9M-1.68B-17.1M2.006.8815,34230,699266,005357,274
2020-12-10$300.90$285.0019.4%5.7%14.0%13.8%21.9%5.6%0.3%-73.3M-1.64B-16.8M1.302.1718,20823,729268,030360,158
2020-12-11$300.85$285.0020.2%5.9%12.7%14.8%22.2%6.5%0.4%-175.2M-1.70B-16.9M1.503.6522,47633,724274,069362,281
2020-12-14$299.49$285.0020.4%5.9%10.9%15.1%22.1%6.3%-0.3%26.1M-1.54B-16.4M1.344.8620,40427,331260,899341,004
2020-12-15$302.33$285.0019.7%5.7%10.7%14.2%21.1%5.9%-0.7%101.3M-2.02B-16.3M0.597.5041,97624,956264,006348,548
2020-12-16$302.51$285.0018.7%5.4%10.7%12.8%22.4%5.5%0.5%162.6M-2.17B-16.4M1.354.7314,35919,404274,241355,495
2020-12-17$303.39$285.0018.2%5.2%10.3%12.0%20.3%5.2%0.2%290.3M-2.46B-15.9M0.614.7329,12817,757277,728357,196
2020-12-18$301.21$290.0018.9%5.5%10.7%13.1%20.0%5.1%-0.4%238.9M-1.33B-16.2M0.873.4827,44923,902255,112361,846
2020-12-21$301.73$290.0020.6%6.0%10.1%15.3%22.5%5.7%0.0%22.7M-1.19B-16.3M1.064.0529,73531,382224,369268,765
2020-12-22$300.16$290.0020.2%5.9%9.9%14.1%21.6%6.0%0.2%67.0M-1.11B-16.6M0.982.2625,30124,917239,256276,652
2020-12-23$302.37$290.0018.5%5.3%8.9%11.8%19.5%5.9%0.5%235.3M-1.65B-16.2M0.713.6630,50021,533249,208280,924
2020-12-24$301.66$290.0018.5%5.2%8.8%11.4%17.8%5.6%0.3%171.5M-1.33B-16.1M1.032.5812,54812,887246,383285,465
2020-12-28$304.16$290.0017.8%5.0%9.2%10.2%18.7%5.9%0.1%69.0M-1.55B-15.4M1.422.2117,99925,537234,750274,004
2020-12-29$303.74$290.0018.1%5.3%8.3%10.7%20.0%5.9%0.9%58.3M-1.46B-15.6M0.952.6826,67925,426238,644282,753
2020-12-30$304.22$290.0018.3%5.2%8.0%10.8%19.2%5.8%0.1%106.9M-1.64B-15.8M1.372.1312,35916,895252,264290,980
2020-12-31$305.40$291.0018.2%5.2%8.0%10.7%19.7%6.1%0.3%125.0M-1.85B-15.4M1.242.4818,77823,308252,272293,402