DIA Options History — January 2021

In January 2021, DIA traded between $300.28 and $312.40. ATM implied volatility averaged 19.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.8% (HV 20d: 10.3%). Max pain ranged from $295.00 to $305.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.53.

Notable Days

  • 2021-01-06: Highest Volume — 106,531 contracts
  • 2021-01-27: Largest IV spike — 33.4% change
  • 2021-01-29: Highest IV Rank — 18.9%
  • 2021-01-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$308.45$300.28$312.40$302.11$300.28
Max Pain$299.74$295.00$305.00$295.00$305.00
ATM IV19.2%16.6%25.4%20.9%25.4%
Expected Move5.5%4.7%7.4%6.1%7.4%
HV 20d10.3%8.8%15.7%9.0%15.7%
HV 60d17.0%14.9%17.8%17.6%16.0%
IV Rank11.2%6.5%18.9%14.4%18.9%
IV Percentile21.9%7.9%59.1%36.5%59.1%
Term Structure0.1%-0.5%0.6%0.1%-0.4%
VWIV21.0%17.6%27.1%22.3%27.1%
Skew 25d6.7%5.4%9.6%7.0%9.6%
Skew 10d13.6%11.2%18.0%14.2%18.0%
Call IV 25d16.4%14.3%21.0%18.3%20.9%
Put IV 25d23.1%20.3%30.5%25.4%30.5%
Bid-Ask Spread %8.852.7813.937.007.28
Gamma HHI0.080.030.420.060.05
Net GEX29.5M-263.4M179.9M46.1M-88.9M
Net DEX-1.43B-2.47B73.6M-1.20B73.6M
Net VEX-15.7M-17.0M-15.1M-15.6M-17.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.531.002.421.341.32
Total Volume58,433.15828,556106,53183,00295,501
Total OI506,872.474419,703594,958499,439474,485

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$302.11$295.0020.9%6.1%9.0%14.4%22.3%7.0%0.1%46.1M-1.20B-15.6M1.347.0035,51647,486226,195273,244
2021-01-05$304.19$296.0019.9%5.7%8.8%13.1%21.6%6.7%0.3%109.3M-1.54B-15.6M1.4213.9324,08134,126236,836288,597
2021-01-06$308.09$296.0020.1%5.6%9.5%13.3%22.1%6.9%0.2%139.6M-2.04B-15.6M1.708.2939,42167,110237,314303,015
2021-01-07$311.00$298.0017.8%5.3%9.8%10.2%20.4%6.3%0.6%179.9M-2.42B-15.3M1.3911.0125,87536,001239,471320,221
2021-01-08$311.00$298.0017.3%5.2%9.7%9.5%19.7%5.7%0.5%140.0M-2.47B-15.2M2.159.3127,50859,229241,729326,738
2021-01-11$310.01$298.0019.8%5.7%9.8%12.9%20.8%6.9%-0.1%42.9M-1.86B-15.5M2.4211.9714,70435,561223,605326,426
2021-01-12$310.96$298.0018.5%5.4%9.8%11.1%20.0%6.7%0.4%17.1M-1.86B-15.5M1.5812.6412,62319,966230,388342,330
2021-01-13$311.05$299.0017.7%5.2%9.6%10.1%20.9%5.8%0.3%23.9M-1.91B-15.3M1.889.8313,07424,542232,527349,180
2021-01-14$310.66$299.0017.7%5.2%9.2%10.0%20.8%5.4%0.3%701.5K-1.87B-15.4M1.6312.9616,46726,880236,644358,314
2021-01-15$308.16$299.0018.3%5.2%9.8%10.9%20.1%6.1%-0.5%-263.4M-1.03B-15.7M1.535.8627,69342,296223,782355,294
2021-01-19$309.57$299.0017.7%5.1%9.8%9.3%19.5%6.4%0.1%34.0M-1.19B-15.1M1.007.3221,55921,629173,874245,829
2021-01-20$312.28$300.0016.9%4.8%9.7%7.0%19.6%6.1%-0.2%82.2M-1.58B-15.2M1.118.5320,90823,164181,263257,708
2021-01-21$312.40$300.0016.7%4.8%9.7%6.7%17.6%6.0%0.1%91.0M-1.62B-15.5M1.1810.3716,39519,318186,345266,172
2021-01-22$310.76$300.0016.6%4.7%9.7%6.5%19.0%6.0%0.6%32.8M-1.35B-15.7M1.442.7818,69526,827188,918273,430
2021-01-25$309.04$300.0018.6%5.3%9.8%9.3%20.2%7.4%0.3%12.9M-1.05B-15.8M1.423.1527,17238,680178,875252,563
2021-01-26$309.68$305.0018.3%5.1%9.7%8.9%19.4%6.7%0.1%18.4M-1.12B-16.2M1.778.5410,32018,236184,707266,684
2021-01-27$302.56$305.0024.4%7.2%12.7%17.4%26.8%8.0%-0.3%-56.1M-220.5M-16.9M1.468.1328,13241,063186,001271,111
2021-01-28$306.82$305.0021.2%6.0%13.7%12.9%22.0%7.4%0.2%-1.4M-845.2M-16.9M1.429.2321,71830,754195,230275,532
2021-01-29$300.28$305.0025.4%7.4%15.7%18.9%27.1%9.6%-0.4%-88.9M73.6M-17.0M1.327.2841,18954,312196,036278,449