DIA Options History — March 2021

In March 2021, DIA traded between $309.31 and $331.66. ATM implied volatility averaged 17.4%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 13.8%). Max pain ranged from $305.00 to $322.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.01.

Notable Days

2021-03-18: Highest Volume — 112,907 contracts
2021-03-04: Largest IV spike — 12.5% change
2021-03-04: Highest IV Rank — 7.9%
2021-03-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$324.17	$309.31	$331.66	$315.79	$330.23
Max Pain	$315.00	$305.00	$322.00	$305.00	$322.00
ATM IV	17.4%	15.1%	21.2%	18.1%	15.2%
Expected Move	5.0%	4.2%	6.0%	5.4%	4.2%
HV 20d	13.8%	9.9%	15.8%	11.3%	13.4%
HV 60d	13.2%	12.1%	13.6%	12.1%	13.4%
IV Rank	2.4%	0.0%	7.9%	3.4%	0.2%
IV Percentile	9.2%	0.0%	40.1%	9.5%	0.4%
Term Structure	0.2%	-0.5%	0.9%	-0.0%	0.2%
VWIV	18.2%	15.2%	21.9%	19.8%	15.2%
Skew 25d	5.0%	4.0%	6.7%	5.6%	4.0%
Skew 10d	9.8%	7.2%	13.8%	10.6%	7.6%
Call IV 25d	15.6%	13.8%	18.8%	16.2%	13.8%
Put IV 25d	20.6%	17.8%	25.3%	21.7%	17.8%
Bid-Ask Spread %	6.97	3.40	25.09	4.83	4.55
Gamma HHI	0.10	0.04	0.18	0.07	0.11
Net GEX	167.6M	11.7M	314.1M	101.9M	243.3M
Net DEX	-2.02B	-3.29B	-512.4M	-1.47B	-2.14B
Net VEX	-16.8M	-17.5M	-16.3M	-16.9M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.62	1.52	0.88	0.90
Total Volume	60,829.696	32,095	112,907	48,379	32,095
Total OI	515,967.391	455,959	573,635	482,086	496,646

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-03-01	$315.79	$305.00	18.1%	5.4%	11.3%	3.4%	19.8%	5.6%	-0.0%	101.9M	-1.47B	-16.9M	0.88	4.83	25,675	22,704	218,395	263,691
2021-03-02	$315.12	$305.00	18.0%	5.2%	11.3%	3.2%	17.5%	5.4%	0.3%	74.5M	-1.29B	-16.8M	0.91	5.33	19,109	17,364	221,376	271,283
2021-03-03	$314.33	$305.00	18.8%	5.7%	9.9%	4.4%	20.1%	5.8%	-0.2%	81.8M	-1.25B	-16.8M	0.74	4.51	20,255	14,924	232,203	274,323
2021-03-04	$309.31	$310.00	21.2%	6.0%	11.6%	7.9%	21.9%	6.6%	-0.5%	11.7M	-512.4M	-16.9M	1.12	12.52	30,732	34,373	239,582	277,368
2021-03-05	$315.35	$310.00	18.9%	5.5%	13.2%	4.5%	20.8%	5.8%	0.1%	198.3M	-1.48B	-16.6M	1.08	10.85	35,938	38,985	249,248	278,297
2021-03-08	$320.02	$310.00	20.9%	5.9%	14.1%	7.4%	21.2%	6.7%	-0.1%	158.9M	-2.00B	-17.3M	0.84	8.50	42,641	35,869	240,002	274,055
2021-03-09	$319.44	$311.00	19.3%	5.6%	14.0%	5.1%	20.6%	5.6%	-0.1%	168.0M	-1.91B	-17.1M	1.36	6.04	20,529	27,930	253,151	283,997
2021-03-10	$323.59	$311.00	18.8%	5.4%	14.6%	4.3%	18.5%	5.9%	0.2%	261.2M	-2.58B	-17.5M	0.67	7.97	57,140	38,247	259,143	295,506
2021-03-11	$325.62	$313.00	17.9%	5.2%	14.7%	3.0%	19.3%	4.9%	0.5%	262.7M	-2.84B	-17.0M	1.02	4.35	42,000	42,839	251,344	312,414
2021-03-12	$328.27	$314.00	17.5%	5.0%	14.9%	2.4%	18.0%	4.6%	-0.2%	314.1M	-3.29B	-17.2M	0.70	4.11	45,917	32,275	251,660	321,975
2021-03-15	$329.15	$315.00	16.5%	4.7%	14.9%	1.0%	17.9%	4.4%	0.5%	289.1M	-3.09B	-16.8M	0.95	5.22	24,198	22,990	241,521	299,881
2021-03-16	$329.08	$316.00	16.3%	4.7%	14.9%	0.7%	18.2%	4.0%	0.6%	255.0M	-3.00B	-17.0M	1.52	4.04	21,078	32,143	240,806	307,917
2021-03-17	$330.31	$318.00	16.0%	4.6%	14.9%	0.2%	17.2%	4.1%	0.4%	247.6M	-3.13B	-16.7M	0.82	10.26	31,665	25,910	240,877	318,168
2021-03-18	$329.28	$318.00	17.5%	5.0%	14.9%	2.5%	17.5%	4.7%	0.4%	181.1M	-2.77B	-17.0M	0.62	7.00	69,801	43,106	237,346	323,255
2021-03-19	$327.54	$320.00	16.2%	4.6%	15.1%	0.7%	16.8%	4.6%	0.9%	60.3M	-1.60B	-17.2M	1.34	4.22	34,993	46,789	219,794	330,853
2021-03-22	$327.29	$320.00	15.8%	4.5%	15.1%	0.0%	17.5%	4.6%	0.3%	83.9M	-1.61B	-16.6M	1.26	3.40	15,601	19,625	197,574	258,385
2021-03-23	$323.78	$320.00	16.5%	4.8%	15.8%	1.3%	17.6%	4.2%	0.3%	16.5M	-1.11B	-16.8M	0.84	8.20	29,642	24,951	200,699	262,744
2021-03-24	$325.16	$320.00	16.7%	4.8%	15.4%	1.7%	17.4%	4.5%	0.2%	121.8M	-1.39B	-16.8M	1.21	4.45	23,304	28,109	214,651	266,792
2021-03-25	$326.22	$320.00	15.9%	4.5%	13.9%	0.1%	16.9%	4.8%	0.2%	164.4M	-1.52B	-16.6M	1.27	6.13	31,005	39,464	217,650	273,038
2021-03-26	$328.65	$320.00	15.6%	4.4%	13.6%	0.0%	16.7%	4.7%	0.3%	269.5M	-2.06B	-16.5M	1.02	3.77	31,185	31,903	219,261	277,680
2021-03-29	$331.66	$320.00	16.2%	4.6%	13.4%	1.1%	16.9%	4.4%	-0.0%	156.5M	-2.20B	-16.5M	1.28	25.09	22,304	28,532	204,947	263,263
2021-03-30	$330.61	$322.00	15.1%	4.2%	13.5%	0.0%	15.5%	4.1%	0.1%	132.9M	-2.12B	-16.3M	0.80	4.94	23,964	19,280	211,017	273,472
2021-03-31	$330.23	$322.00	15.2%	4.2%	13.4%	0.2%	15.2%	4.0%	0.2%	243.3M	-2.14B	-16.3M	0.90	4.55	16,907	15,188	218,915	277,731