DIA Options History — February 2021

In February 2021, DIA traded between $302.45 and $319.77. ATM implied volatility averaged 17.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.1% (HV 20d: 15.5%). Max pain ranged from $295.00 to $305.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.22.

Notable Days

  • 2021-02-25: Highest Volume — 86,662 contracts
  • 2021-02-25: Largest IV spike — 23.0% change
  • 2021-02-01: Highest IV Rank — 15.1%
  • 2021-02-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$313.26$302.45$319.77$302.45$312.14
Max Pain$299.58$295.00$305.00$304.00$305.00
ATM IV17.6%15.9%22.7%22.7%20.3%
Expected Move5.1%4.7%6.6%6.6%6.0%
HV 20d15.5%13.6%16.6%15.9%13.6%
HV 60d12.8%11.3%15.4%15.2%11.9%
IV Rank6.2%1.3%15.1%15.1%6.6%
IV Percentile10.6%2.0%42.5%42.5%32.5%
Term Structure0.3%-0.6%0.9%0.9%-0.4%
VWIV19.6%17.0%24.2%24.2%20.3%
Skew 25d5.7%4.9%9.7%9.7%6.4%
Skew 10d11.8%10.3%16.0%16.0%13.1%
Call IV 25d15.6%14.0%19.0%19.0%18.2%
Put IV 25d21.3%18.9%28.7%28.7%24.6%
Bid-Ask Spread %7.852.6912.9211.358.05
Gamma HHI0.070.030.260.030.04
Net GEX89.9M-28.9M268.4M-8.6M-28.9M
Net DEX-1.57B-2.12B-463.6M-463.6M-779.5M
Net VEX-16.2M-17.4M-15.6M-16.7M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.601.741.010.80
Total Volume49,51024,20686,66252,07780,062
Total OI489,726.947432,969523,128455,967503,454

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$302.45$304.0022.7%6.6%15.9%15.1%24.2%9.7%0.9%-8.6M-463.6M-16.7M1.0111.3525,90426,173194,646261,321
2021-02-02$307.61$303.0019.4%5.2%16.6%10.4%20.8%7.1%0.4%58.3M-1.21B-16.6M1.362.6923,18931,466206,550272,130
2021-02-03$307.72$305.0017.5%4.7%16.4%7.9%17.1%6.4%0.5%25.7M-1.08B-16.2M1.383.7214,29319,764202,655282,186
2021-02-04$310.04$295.0016.7%5.1%16.0%6.6%21.2%5.6%0.4%75.3M-1.49B-15.9M1.748.2115,08626,312206,597285,677
2021-02-05$311.43$295.0016.5%5.2%15.7%6.4%18.0%5.2%0.8%61.8M-1.65B-15.9M1.005.9128,84028,855206,826294,186
2021-02-08$313.26$295.0016.3%4.8%15.8%6.2%20.6%5.3%0.2%121.7M-1.85B-15.7M1.575.7917,89028,095206,139277,793
2021-02-09$314.25$295.0016.0%4.7%15.8%5.7%19.2%5.2%0.6%124.4M-1.97B-15.9M1.369.0410,27813,928210,753285,186
2021-02-10$314.04$295.0016.4%4.9%15.8%6.2%20.1%5.5%0.6%105.9M-1.87B-16.1M1.309.5217,44822,626211,615291,284
2021-02-11$314.44$300.0016.6%4.9%15.8%6.5%21.0%5.2%0.6%85.6M-1.91B-16.2M1.5612.9215,74724,636211,708297,939
2021-02-12$314.52$300.0015.9%4.7%15.8%4.8%19.0%4.9%0.8%86.6M-1.97B-16.0M1.4010.4112,40317,408216,059307,069
2021-02-16$315.75$300.0016.8%4.8%15.5%6.1%19.2%5.5%-0.1%106.6M-2.01B-15.6M1.367.5513,08517,732205,768286,062
2021-02-17$316.69$300.0017.5%5.0%15.4%6.3%19.3%5.1%-0.6%109.1M-2.12B-15.6M0.6010.0526,94116,184209,088291,383
2021-02-18$315.93$300.0017.3%5.0%15.2%6.0%19.4%5.4%-0.1%214.2M-1.98B-15.9M0.718.6028,66020,297216,939294,641
2021-02-19$315.38$300.0016.9%4.8%15.2%4.3%17.6%4.9%0.3%268.4M-1.52B-16.1M0.9610.6528,74727,654207,975299,226
2021-02-22$315.69$300.0017.4%5.0%15.1%2.3%17.0%5.3%0.2%70.7M-1.42B-16.0M1.124.5220,69923,253184,464248,505
2021-02-23$316.24$300.0017.5%5.0%14.9%2.4%18.9%5.0%0.2%83.4M-1.50B-16.5M1.646.9921,20434,752197,314258,592
2021-02-24$319.77$300.0016.7%4.8%15.3%1.3%17.6%4.9%0.1%137.7M-2.04B-16.4M0.913.7238,91535,502204,672270,616
2021-02-25$314.51$300.0020.6%6.1%14.0%7.0%22.5%6.3%-0.5%10.1M-1.04B-17.4M1.359.4236,92849,734215,055282,739
2021-02-26$312.14$305.0020.3%6.0%13.6%6.6%20.3%6.4%-0.4%-28.9M-779.5M-17.2M0.808.0544,46435,598220,204283,250