DIA Options History — June 2021

In June 2021, DIA traded between $334.19 and $347.88. ATM implied volatility averaged 12.9%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.7% (HV 20d: 10.3%). Max pain ranged from $335.00 to $342.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2021-06-18: Highest Volume — 115,165 contracts
  • 2021-06-18: Largest IV spike — 17.9% change
  • 2021-06-18: Highest IV Rank — 19.1%
  • 2021-06-18: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$343.17$334.19$347.88$345.85$345.05
Max Pain$340.50$335.00$342.00$335.00$341.00
ATM IV12.9%11.6%15.8%12.8%12.5%
Expected Move3.7%3.2%4.5%3.6%3.3%
HV 20d10.3%7.1%14.1%14.1%9.9%
HV 60d11.0%10.6%11.4%11.4%11.0%
IV Rank4.9%0.0%19.1%2.7%3.8%
IV Percentile4.4%0.0%21.0%1.2%2.4%
Term Structure0.3%-0.1%0.7%0.1%0.2%
VWIV13.7%11.8%16.8%13.9%12.8%
Skew 25d3.9%2.9%5.3%3.1%4.3%
Skew 10d7.9%5.5%11.5%6.9%9.1%
Call IV 25d11.6%9.9%13.9%11.6%10.9%
Put IV 25d15.5%13.6%19.3%14.7%15.2%
Bid-Ask Spread %6.583.1710.055.753.17
Gamma HHI0.080.030.230.060.13
Net GEX31.6M-267.4M265.0M71.6M265.0M
Net DEX-1.08B-2.50B1.18B-2.07B-1.42B
Net VEX-15.3M-16.5M-14.6M-14.9M-15.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.612.131.080.93
Total Volume55,517.18223,302115,16539,10852,331
Total OI551,556.318503,527596,552503,527568,956

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$345.85$335.0012.8%3.6%14.1%2.7%13.9%3.1%0.1%71.6M-2.07B-14.9M1.085.7518,82920,279188,923314,604
2021-06-02$345.99$335.0012.9%3.6%14.0%3.2%12.7%3.5%0.1%79.9M-2.06B-14.8M1.076.2711,25012,052194,096322,803
2021-06-03$346.17$341.0013.3%3.9%13.9%4.6%14.4%3.9%0.1%99.5M-2.13B-15.0M1.026.4423,44323,804198,776323,993
2021-06-04$347.88$341.0012.2%3.7%13.8%0.3%14.5%3.3%0.2%136.6M-2.50B-14.6M1.337.9917,85323,779205,835330,514
2021-06-07$346.37$341.0013.0%3.8%13.5%3.3%15.0%3.3%0.4%43.3M-1.74B-14.8M2.136.3711,88625,351193,927317,188
2021-06-08$346.55$341.0012.6%3.8%13.4%1.9%15.1%3.3%0.5%57.8M-1.65B-14.9M1.028.0415,76516,139198,883330,831
2021-06-09$344.99$342.0013.1%3.9%11.5%3.8%13.6%3.1%0.4%-22.8M-1.36B-14.6M1.118.2816,07617,784200,916337,760
2021-06-10$344.90$342.0012.4%3.7%9.7%1.0%13.5%3.0%0.5%-40.8M-1.29B-14.9M1.419.5718,65326,263204,393354,112
2021-06-11$344.70$342.0011.6%3.5%8.3%0.0%13.1%2.9%0.6%-153.6M-1.25B-14.7M1.047.3128,80530,080209,282359,226
2021-06-14$343.56$342.0012.6%3.6%8.0%4.0%13.3%3.0%0.3%-1.9M-1.14B-14.7M1.406.5722,31531,185199,886334,562
2021-06-15$343.57$342.0012.6%3.6%7.9%4.4%12.9%2.9%0.2%-8.1M-1.10B-14.7M0.626.9424,93415,464209,269350,490
2021-06-16$341.09$342.0013.1%3.7%8.3%6.5%13.0%3.4%0.5%-55.7M-599.7M-15.2M1.1010.0525,88028,459219,185357,062
2021-06-17$339.14$342.0013.4%3.8%7.1%8.1%14.7%4.2%0.2%-147.7M-194.4M-15.0M0.756.6760,43145,211225,727360,035
2021-06-18$334.19$342.0015.8%4.5%7.6%19.1%16.8%5.3%-0.1%-267.4M1.18B-15.7M1.145.3553,76461,401224,134372,418
2021-06-21$338.43$340.0014.5%4.1%9.0%13.3%15.6%5.3%0.4%15.0M-82.1M-16.5M0.975.5533,13532,035200,053328,346
2021-06-22$339.89$340.0013.4%3.7%8.9%7.8%14.0%4.8%0.5%37.5M-304.4M-15.9M1.525.9422,91034,890202,588339,204
2021-06-23$339.33$340.0013.1%3.6%8.8%6.5%13.9%5.0%0.6%55.0M-197.5M-16.0M1.218.4626,28431,879207,451358,788
2021-06-24$342.10$340.0012.2%3.4%9.3%2.6%12.5%4.4%0.6%138.0M-848.0M-16.0M0.703.6936,33825,359213,006366,028
2021-06-25$344.40$340.0011.8%3.2%9.5%0.6%11.8%4.5%0.7%224.5M-1.47B-16.0M0.615.1148,21729,645220,225373,742
2021-06-28$342.65$340.0012.5%3.4%9.6%4.1%12.1%4.5%0.1%67.5M-789.9M-15.5M1.006.4924,25024,368203,544348,097
2021-06-29$342.93$340.0013.0%3.5%9.6%6.4%13.0%4.1%0.1%102.5M-835.7M-16.0M0.944.8337,33435,268209,995355,386
2021-06-30$345.05$341.0012.5%3.3%9.9%3.8%12.8%4.3%0.2%265.0M-1.42B-15.6M0.933.1727,18125,150212,044356,912