DIA Options History — July 2021

In July 2021, DIA traded between $338.36 and $351.15. ATM implied volatility averaged 14.2%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.4% (HV 20d: 12.8%). Max pain ranged from $341.00 to $345.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2021-07-19: Highest Volume — 132,497 contracts
  • 2021-07-19: Largest IV spike — 35.4% change
  • 2021-07-19: Highest IV Rank — 37.6%
  • 2021-07-19: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$347.92$338.36$351.15$346.03$349.18
Max Pain$343.38$341.00$345.00$341.00$345.00
ATM IV14.2%11.2%19.4%11.9%14.8%
Expected Move4.0%2.8%5.6%3.1%4.1%
HV 20d12.8%9.9%15.0%9.9%14.7%
HV 60d12.1%11.0%13.0%11.0%12.8%
IV Rank13.6%0.0%37.6%1.2%16.5%
IV Percentile19.4%0.0%60.3%0.8%26.6%
Term Structure0.2%-0.4%0.6%0.2%0.2%
VWIV15.0%10.4%19.7%11.0%14.9%
Skew 25d4.7%2.9%6.2%3.3%5.1%
Skew 10d10.2%5.8%14.2%6.7%10.0%
Call IV 25d12.3%9.6%16.6%10.7%12.9%
Put IV 25d17.0%13.0%22.9%14.0%18.0%
Bid-Ask Spread %15.413.8040.307.424.31
Gamma HHI0.060.030.200.060.20
Net GEX73.1M-149.2M235.9M190.4M-149.2M
Net DEX-978.9M-1.77B494.8M-1.39B-710.8M
Net VEX-16.3M-17.5M-15.4M-15.5M-16.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.693.340.693.34
Total Volume59,722.71428,297132,49747,92764,288
Total OI581,294.619509,464642,481512,640636,496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$346.03$341.0011.9%3.1%9.9%1.2%11.0%3.3%0.2%190.4M-1.39B-15.5M0.697.4228,38719,540200,578312,062
2021-07-02$348.01$341.0011.2%2.8%10.0%0.0%10.4%2.9%0.6%199.6M-1.77B-15.6M1.134.7835,47340,062204,896319,935
2021-07-06$345.89$342.0013.7%3.9%10.1%11.3%15.0%3.8%0.1%47.2M-843.1M-15.9M1.515.1529,25644,108191,270318,194
2021-07-07$346.96$342.0013.2%3.9%10.1%9.4%15.0%4.1%0.2%105.6M-1.08B-15.9M1.3616.3228,57138,732200,005340,831
2021-07-08$343.64$342.0014.3%4.2%10.6%14.3%15.7%6.1%-0.0%-24.0M-256.8M-16.5M0.9920.2135,18334,876206,042368,197
2021-07-09$348.76$342.0012.6%3.8%11.9%6.6%14.2%4.2%-0.4%76.9M-1.51B-15.9M1.0617.8844,91547,770208,606377,373
2021-07-12$350.07$342.0012.9%3.8%11.9%7.8%14.3%3.9%0.4%102.9M-1.34B-15.6M1.523.8025,65739,010192,502360,374
2021-07-13$349.26$342.0013.6%4.0%11.9%10.8%15.2%3.5%0.3%88.1M-1.16B-15.9M0.855.8421,14418,039197,348381,599
2021-07-14$349.47$343.0013.6%3.9%11.9%11.2%14.7%4.9%0.0%169.6M-1.32B-15.4M0.7536.2017,97813,568203,212383,649
2021-07-15$349.61$343.0013.6%4.0%11.5%11.2%15.6%4.0%0.3%235.9M-1.38B-15.8M1.065.3526,51828,203206,489386,515
2021-07-16$346.69$343.0014.4%4.2%11.7%14.5%15.2%3.4%0.5%-31.1M-421.7M-16.3M1.267.0029,71537,539198,013397,260
2021-07-19$338.36$345.0019.4%5.6%13.8%37.6%19.7%6.2%-0.3%-71.9M494.8M-17.0M2.2024.8641,36391,134180,007355,238
2021-07-20$345.32$344.0016.1%4.6%14.9%22.6%16.9%5.9%0.2%55.6M-632.7M-17.5M1.0114.1934,33734,768196,078396,183
2021-07-21$347.68$344.0015.0%4.3%15.0%17.2%16.1%5.6%0.3%64.6M-867.8M-17.2M1.6330.0715,63625,502196,957406,792
2021-07-22$348.32$345.0014.6%4.2%15.0%15.8%15.2%5.2%0.4%23.7M-881.7M-17.1M3.0618.1615,26446,757199,477416,306
2021-07-23$350.82$345.0013.9%3.9%14.9%12.3%15.2%5.0%0.6%155.3M-1.33B-17.1M1.276.1625,85632,845202,362440,119
2021-07-26$351.15$345.0014.8%4.1%14.8%16.7%15.5%5.1%-0.3%90.0M-1.18B-16.6M1.3039.3512,31015,987184,583406,080
2021-07-27$350.18$345.0015.3%4.3%14.7%18.7%16.6%5.9%0.2%57.8M-947.9M-16.9M1.7311.3214,22124,546186,812416,500
2021-07-28$349.94$345.0014.6%4.1%14.7%15.7%14.8%5.2%0.3%61.5M-915.4M-16.4M1.7640.3014,19525,004190,395420,707
2021-07-29$351.01$345.0014.1%3.9%14.6%13.6%14.5%4.7%0.2%85.9M-1.11B-16.3M1.575.0113,97821,942193,885427,260
2021-07-30$349.18$345.0014.8%4.1%14.7%16.5%14.9%5.1%0.2%-149.2M-710.8M-16.5M3.344.3114,82549,463198,233438,263