DIA Options History — September 2021

In September 2021, DIA traded between $338.35 and $354.35. ATM implied volatility averaged 15.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.4% (HV 20d: 9.6%). Max pain ranged from $342.00 to $351.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2021-09-20: Highest Volume — 120,905 contracts
  • 2021-09-20: Largest IV spike — 36.4% change
  • 2021-09-20: Highest IV Rank — 43.7%
  • 2021-09-20: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$347.32$338.35$354.35$353.51$339.43
Max Pain$349.10$342.00$351.00$342.00$348.00
ATM IV15.1%11.6%20.8%11.8%18.8%
Expected Move4.4%3.1%6.1%3.1%5.6%
HV 20d9.6%6.9%14.1%7.3%14.1%
HV 60d11.3%10.6%12.4%11.0%12.4%
IV Rank17.8%2.1%43.7%2.7%34.7%
IV Percentile36.5%1.2%82.1%2.0%71.0%
Term Structure0.3%-0.5%0.7%0.5%0.2%
VWIV16.1%11.0%22.4%11.0%19.7%
Skew 25d5.5%4.1%8.1%4.1%6.6%
Skew 10d11.3%8.0%15.2%9.3%13.3%
Call IV 25d13.1%10.1%17.5%10.6%16.1%
Put IV 25d18.6%14.2%25.6%14.7%22.7%
Bid-Ask Spread %6.622.0530.542.552.29
Gamma HHI0.040.030.070.030.03
Net GEX-26.3M-199.1M102.5M48.0M-154.0M
Net DEX2.6M-1.09B1.65B-983.6M1.65B
Net VEX-16.9M-18.4M-15.7M-16.2M-18.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.711.850.711.36
Total Volume65,641.38134,094120,90546,391109,357
Total OI732,968.667674,122776,165713,789767,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$353.51$342.0011.8%3.1%7.3%2.7%11.0%4.1%0.5%48.0M-983.6M-16.2M0.712.5527,14019,251221,819491,970
2021-09-02$354.15$351.0012.1%3.7%7.1%4.3%15.8%4.5%0.4%72.3M-1.09B-16.1M1.4520.8215,99123,179224,962496,932
2021-09-03$354.35$351.0011.6%3.6%6.9%2.1%12.5%4.1%0.7%53.2M-1.07B-16.2M0.9030.5427,43224,648220,259505,215
2021-09-07$351.43$350.0012.7%3.8%7.6%7.1%13.6%4.2%0.5%-28.6M-575.5M-15.8M0.8919.4931,74328,125207,893488,077
2021-09-08$350.49$350.0013.6%4.0%7.5%10.9%15.2%4.7%0.4%-70.0M-360.3M-15.7M1.1818.2520,56024,224213,369496,686
2021-09-09$350.04$350.0013.6%4.0%7.1%11.3%14.8%4.9%0.4%-75.7M-351.5M-16.1M0.763.9933,83625,683221,762505,053
2021-09-10$347.12$350.0014.9%4.3%7.6%16.8%15.9%5.1%0.2%-199.1M212.5M-16.3M1.084.2536,44239,298225,830508,733
2021-09-13$348.87$350.0014.7%4.2%7.8%15.9%15.1%5.3%0.2%38.1M-418.8M-16.4M1.854.5423,67543,890233,114489,174
2021-09-14$346.29$350.0015.4%4.4%8.1%19.3%16.0%5.6%0.2%-23.3M51.9M-16.5M1.203.2427,38932,934235,047497,301
2021-09-15$349.20$350.0013.9%4.0%8.3%12.5%14.9%5.2%0.3%25.3M-448.0M-16.4M1.063.2825,75227,378239,962516,083
2021-09-16$348.57$350.0014.0%4.0%8.2%12.8%15.2%5.3%0.3%92.0M-385.3M-16.5M1.013.0334,81035,210246,991525,130
2021-09-17$345.68$350.0015.2%4.4%8.4%18.5%15.7%6.1%0.2%-112.9M289.8M-16.9M1.292.3029,47538,142246,558529,607
2021-09-20$338.35$350.0020.8%6.1%10.9%43.7%22.4%8.1%-0.5%-92.0M1.41B-17.5M1.272.7553,21667,689200,745473,377
2021-09-21$340.20$350.0018.7%5.4%10.8%34.1%18.3%7.1%0.0%-115.3M1.31B-17.4M0.953.3835,09833,420208,053482,857
2021-09-22$342.99$349.0016.6%4.8%11.4%24.7%17.1%6.0%0.3%-24.8M559.2M-17.8M1.323.1925,93534,252233,444505,616
2021-09-23$347.73$348.0014.7%4.2%12.6%16.0%15.8%5.1%0.4%102.5M-507.4M-17.8M1.502.3437,18855,835239,520515,740
2021-09-24$348.26$348.0014.1%4.0%12.4%13.2%14.9%5.1%0.1%97.5M-641.5M-17.6M1.642.0522,25936,609245,614525,898
2021-09-27$348.90$348.0014.4%4.0%12.2%14.7%15.2%5.5%0.5%23.7M-181.0M-17.4M1.222.1124,74330,283213,909506,075
2021-09-28$343.64$348.0017.5%5.1%13.2%28.7%18.2%6.2%0.2%-96.6M843.3M-18.0M1.552.2632,20750,077218,531515,923
2021-09-29$344.43$348.0017.5%5.1%13.3%28.9%19.9%6.4%0.2%-113.0M745.5M-18.2M1.262.2815,09818,996226,586525,657
2021-09-30$339.43$348.0018.8%5.6%14.1%34.7%19.7%6.6%0.2%-154.0M1.65B-18.4M1.362.2946,41562,942237,064530,206