DIA Options History — May 2021

In May 2021, DIA traded between $336.87 and $349.12. ATM implied volatility averaged 14.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.8% (HV 20d: 12.8%). Max pain ranged from $315.00 to $335.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2021-05-11: Highest Volume — 121,178 contracts
  • 2021-05-12: Largest IV spike — 18.3% change
  • 2021-05-12: Highest IV Rank — 26.0%
  • 2021-05-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$343.05$336.87$349.12$341.27$345.95
Max Pain$324.90$315.00$335.00$334.00$330.00
ATM IV14.6%12.1%18.9%13.9%12.1%
Expected Move4.2%3.3%5.6%3.9%3.3%
HV 20d12.8%9.1%14.8%9.1%14.4%
HV 60d12.2%11.0%13.3%11.0%11.9%
IV Rank8.0%0.0%26.0%4.3%0.0%
IV Percentile8.4%0.0%34.5%3.2%0.0%
Term Structure0.2%-0.6%0.9%0.3%0.4%
VWIV15.7%13.0%19.3%14.6%13.0%
Skew 25d4.6%3.6%5.8%3.9%3.8%
Skew 10d9.4%6.5%12.2%7.7%7.5%
Call IV 25d12.9%10.7%16.8%12.3%10.7%
Put IV 25d17.5%14.5%22.7%16.2%14.5%
Bid-Ask Spread %8.652.5843.133.614.55
Gamma HHI0.080.040.320.050.13
Net GEX91.7M-161.9M470.7M94.0M185.2M
Net DEX-2.09B-3.32B-453.5M-2.19B-2.46B
Net VEX-16.2M-18.4M-14.7M-15.4M-14.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.592.211.331.26
Total Volume65,157.125,717121,17845,28635,632
Total OI540,035.55466,168606,772466,168546,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$341.27$334.0013.9%3.9%9.1%4.3%14.6%3.9%0.3%94.0M-2.19B-15.4M1.333.6119,45025,836196,384269,784
2021-05-04$340.40$334.0015.0%4.4%9.1%8.9%16.3%4.2%0.2%60.1M-2.01B-15.8M0.824.8529,09123,746201,840277,158
2021-05-05$342.48$335.0013.9%4.1%9.3%4.2%14.9%3.8%0.3%172.4M-2.51B-15.3M0.855.8530,34325,789209,248282,845
2021-05-06$344.75$315.0013.6%4.2%9.5%3.1%15.5%4.2%0.4%216.0M-2.87B-15.1M1.2327.1730,37237,377212,426291,316
2021-05-07$347.97$320.0012.6%3.8%9.6%0.0%14.9%3.6%0.4%207.5M-3.32B-14.9M1.0543.1348,67251,064210,223303,381
2021-05-10$349.12$320.0014.1%4.1%9.6%6.3%15.3%4.1%0.3%106.8M-3.18B-15.3M2.217.2130,37367,150207,782295,037
2021-05-11$342.36$320.0016.0%4.9%12.2%13.9%17.4%5.1%0.9%-128.0M-1.51B-17.0M1.397.7850,61270,566213,818328,268
2021-05-12$336.87$320.0018.9%5.6%13.6%26.0%19.3%5.8%0.8%-161.9M-453.5M-18.4M1.265.9849,78562,940233,511338,190
2021-05-13$341.91$320.0016.5%4.9%14.2%16.1%17.7%5.6%0.9%65.2M-1.87B-18.0M1.167.9344,33551,288248,985347,957
2021-05-14$344.36$320.0014.2%4.1%14.4%6.5%15.4%4.8%0.2%470.7M-2.72B-16.7M1.167.8646,08053,538251,362355,410
2021-05-17$343.59$320.0014.8%4.3%14.3%9.1%17.1%5.1%0.0%35.8M-2.28B-16.6M1.606.7419,47731,103218,421341,712
2021-05-18$342.61$320.0014.5%4.2%14.0%7.8%15.0%4.7%0.7%33.1M-2.12B-16.8M0.653.5520,19013,091224,299347,868
2021-05-19$338.10$320.0016.6%4.8%14.5%16.6%18.1%5.4%0.1%-102.4M-1.09B-17.0M1.199.3332,13238,273225,737350,779
2021-05-20$342.01$320.0015.7%4.5%14.8%12.9%16.5%4.9%-0.6%66.0M-2.18B-16.8M0.597.9142,02724,902233,491359,790
2021-05-21$342.15$330.0015.2%4.4%14.6%10.7%15.7%5.2%-0.5%183.2M-1.69B-16.9M1.197.0728,26833,619219,676363,030
2021-05-24$344.27$330.0013.9%4.0%14.8%5.3%16.0%5.2%-0.0%45.7M-1.80B-16.4M1.032.5817,87618,498194,857317,175
2021-05-25$343.19$330.0014.0%4.0%14.8%5.8%14.9%4.5%0.0%60.5M-1.71B-15.8M1.013.1012,82012,897199,214321,888
2021-05-26$343.09$330.0013.1%3.7%14.7%2.0%13.4%4.1%-0.1%79.0M-1.72B-15.5M1.353.3411,43615,440202,422323,998
2021-05-27$344.60$330.0012.6%3.6%14.7%0.0%13.7%4.1%-0.1%145.5M-2.07B-15.4M0.903.5024,71222,342205,916329,203
2021-05-28$345.95$330.0012.1%3.3%14.4%0.0%13.0%3.8%0.4%185.2M-2.46B-14.7M1.264.5515,78819,844209,404336,906