DIA Options History — August 2021

In August 2021, DIA traded between $348.46 and $356.11. ATM implied volatility averaged 13.3%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.7% (HV 20d: 10.6%). Max pain ranged from $330.00 to $345.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2021-08-19: Highest Volume — 78,300 contracts
  • 2021-08-27: Largest IV drop — 15.6% change
  • 2021-08-19: Highest IV Rank — 23.2%
  • 2021-08-19: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$352.60$348.46$356.11$348.54$354.01
Max Pain$336.82$330.00$345.00$345.00$340.00
ATM IV13.3%11.4%16.3%14.9%11.4%
Expected Move3.8%3.1%4.6%4.2%3.1%
HV 20d10.6%7.3%14.8%14.6%7.7%
HV 60d11.3%10.6%12.7%12.7%11.0%
IV Rank9.6%1.2%23.2%17.1%1.2%
IV Percentile13.5%0.4%40.9%27.8%0.4%
Term Structure0.3%-0.1%0.9%-0.1%0.4%
VWIV14.3%11.6%17.3%15.0%12.0%
Skew 25d4.7%3.8%5.7%5.6%3.9%
Skew 10d10.0%7.4%12.8%12.1%7.4%
Call IV 25d11.8%10.1%14.8%12.8%10.5%
Put IV 25d16.5%14.3%20.5%18.4%14.4%
Bid-Ask Spread %14.232.4262.864.642.53
Gamma HHI0.050.030.170.030.04
Net GEX58.5M-95.4M260.1M6.0M74.5M
Net DEX-1.01B-1.77B-163.9M-512.8M-1.06B
Net VEX-16.3M-17.3M-15.1M-16.6M-16.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.691.991.590.97
Total Volume46,802.22729,22278,30029,22230,835
Total OI675,809.409595,169728,791595,169697,452

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$348.54$345.0014.9%4.2%14.6%17.1%15.0%5.6%-0.1%6.0M-512.8M-16.6M1.594.6411,26217,960181,940413,229
2021-08-03$350.93$345.0014.1%3.9%14.6%13.6%15.3%5.1%0.1%21.8M-792.6M-16.7M1.784.2116,76729,913185,908439,551
2021-08-04$348.46$345.0014.1%3.8%14.8%13.4%13.5%4.9%0.2%-62.1M-385.6M-16.5M1.803.6217,91032,306189,240447,042
2021-08-05$350.18$330.0013.3%4.0%14.4%9.5%15.0%4.6%0.1%-58.2M-638.0M-16.5M1.9962.8616,36432,574193,882456,914
2021-08-06$351.79$330.0012.8%4.0%13.6%7.6%15.7%4.5%0.1%137.7M-1.19B-16.1M1.4857.2122,78333,627200,328458,567
2021-08-09$351.14$330.0013.6%4.1%13.5%11.0%14.7%4.4%0.7%29.8M-875.9M-16.0M1.5233.0814,18321,551186,335453,531
2021-08-10$352.60$330.0013.3%3.9%13.6%9.9%14.8%4.4%0.2%68.6M-1.13B-15.6M1.0429.0217,82218,526191,679464,358
2021-08-11$354.74$330.0012.4%3.7%13.7%5.8%14.6%4.1%0.6%155.2M-1.64B-15.6M1.4227.9523,78233,652200,022475,818
2021-08-12$354.96$330.0012.1%3.7%13.7%4.4%14.2%4.3%0.7%163.0M-1.64B-15.5M1.174.1819,69023,133202,550482,532
2021-08-13$355.29$335.0012.0%3.6%13.3%3.7%13.3%3.8%0.7%146.3M-1.77B-15.3M1.0330.5924,68125,388208,524492,112
2021-08-16$356.11$335.0012.7%3.7%9.2%7.1%14.2%4.3%0.2%112.4M-1.75B-15.1M1.637.5119,67632,108199,354472,278
2021-08-17$353.00$335.0013.8%4.0%7.4%11.8%14.8%4.6%0.6%16.6M-1.02B-15.9M1.123.9032,76736,833202,578480,323
2021-08-18$351.41$335.0015.4%4.4%7.3%19.3%16.4%4.7%-0.1%-53.8M-503.1M-16.7M0.875.1720,12217,487207,024493,404
2021-08-19$349.40$335.0016.3%4.6%7.6%23.2%17.3%5.7%0.4%-95.4M-163.9M-17.3M1.1110.3737,06941,231220,441498,808
2021-08-20$351.39$340.0014.7%4.2%7.4%16.1%15.5%5.6%-0.1%22.3M-653.0M-17.1M1.326.0323,32830,739224,733504,058
2021-08-23$353.71$340.0012.9%3.6%7.8%7.9%14.5%5.1%-0.1%66.8M-1.03B-16.6M1.274.6918,18523,079197,810461,246
2021-08-24$353.82$340.0012.8%3.5%7.7%7.4%14.4%4.9%-0.1%62.7M-1.03B-16.4M1.264.0413,25616,744204,674473,473
2021-08-25$354.43$340.0012.4%3.4%7.7%5.6%11.6%4.6%-0.0%96.3M-1.19B-16.5M0.692.5525,40717,456211,446479,924
2021-08-26$352.29$340.0013.7%3.9%8.0%11.4%14.2%5.2%0.9%6.5M-772.0M-16.9M1.634.1217,85929,109215,782488,133
2021-08-27$354.75$340.0011.6%3.1%8.1%1.7%12.2%4.2%0.3%260.1M-1.25B-16.6M1.792.4218,12632,379229,601495,129
2021-08-30$354.26$340.0011.7%3.2%8.0%2.3%12.3%4.2%0.4%109.5M-1.17B-16.2M1.422.4317,37524,605215,566470,508
2021-08-31$354.01$340.0011.4%3.1%7.7%1.2%12.0%3.9%0.4%74.5M-1.06B-16.4M0.972.5315,63215,203218,418479,034