DIA Options History — October 2021

In October 2021, DIA traded between $340.39 and $358.42. ATM implied volatility averaged 14.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.0% (HV 20d: 14.5%). Max pain ranged from $347.00 to $350.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2021-10-01: Highest Volume — 85,065 contracts
  • 2021-10-14: Largest IV drop — 13.3% change
  • 2021-10-04: Highest IV Rank — 35.7%
  • 2021-10-04: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$350.52$340.39$358.42$343.46$357.96
Max Pain$348.24$347.00$350.00$348.00$350.00
ATM IV14.4%12.1%19.0%17.0%12.5%
Expected Move4.2%3.5%5.4%5.0%3.6%
HV 20d14.5%10.6%16.7%14.9%10.6%
HV 60d11.8%10.9%12.7%12.5%11.4%
IV Rank14.9%4.4%35.7%26.5%6.2%
IV Percentile29.9%4.4%73.4%57.5%9.5%
Term Structure0.3%-0.1%0.8%0.5%0.6%
VWIV15.8%13.1%19.2%18.2%14.0%
Skew 25d5.0%3.8%6.7%5.8%4.0%
Skew 10d10.8%7.8%15.3%11.7%7.9%
Call IV 25d12.7%10.8%16.2%14.8%10.9%
Put IV 25d17.6%14.6%22.8%20.6%15.0%
Bid-Ask Spread %7.071.9914.281.996.23
Gamma HHI0.040.020.110.070.04
Net GEX76.5M-149.5M267.5M-149.5M113.7M
Net DEX-422.5M-1.41B1.12B823.3M-1.39B
Net VEX-16.6M-18.3M-15.6M-17.7M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.391.011.861.301.34
Total Volume58,003.1935,44785,06585,06559,666
Total OI723,175673,653760,944716,149738,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$343.46$348.0017.0%5.0%14.9%26.5%18.2%5.8%0.5%-149.5M823.3M-17.7M1.301.9937,00148,064214,479501,670
2021-10-04$340.39$348.0019.0%5.4%15.1%35.7%19.2%6.7%-0.1%-42.4M1.12B-18.2M1.276.9125,26332,100209,053487,375
2021-10-05$344.11$347.0017.4%5.0%15.5%28.3%18.1%6.3%-0.1%-3.5M541.3M-17.9M1.626.3019,53431,731214,091497,609
2021-10-06$343.40$347.0017.9%5.1%15.5%30.5%18.5%6.5%-0.1%2.8M594.9M-18.3M1.097.0426,74529,265221,829509,823
2021-10-07$347.57$347.0015.9%4.7%16.2%21.5%19.1%5.9%0.1%116.1M-282.1M-17.7M1.866.9423,97344,695225,753521,799
2021-10-08$347.72$347.0015.4%4.5%15.9%19.2%16.4%5.5%0.2%192.8M-437.9M-17.3M1.847.2220,01336,821231,049525,766
2021-10-11$345.45$347.0016.5%4.8%16.0%24.2%17.6%5.8%0.2%7.8M295.9M-16.9M1.655.7817,74529,191210,872501,927
2021-10-12$343.39$347.0016.6%4.9%15.9%24.9%17.9%5.6%0.3%-41.2M695.6M-17.3M1.458.2114,49220,955214,960513,181
2021-10-13$343.66$347.0015.3%4.5%15.6%18.7%16.2%5.5%0.5%-52.4M645.9M-16.7M1.3614.2828,68738,986220,215518,771
2021-10-14$348.64$347.0013.3%3.9%16.5%9.5%15.3%4.7%0.6%121.0M-399.0M-16.3M1.176.6727,24531,894224,237522,667
2021-10-15$352.79$347.0012.9%3.8%16.7%7.9%15.1%4.3%0.6%215.1M-1.30B-16.1M1.3212.6428,72337,954227,427533,517
2021-10-18$352.36$347.0013.5%3.9%14.4%10.4%14.7%4.7%-0.1%85.7M-715.8M-15.7M1.404.4516,55123,200191,685481,968
2021-10-19$353.92$348.0012.9%3.7%14.4%8.0%14.7%4.4%0.0%108.7M-884.8M-15.6M1.065.5224,11125,580196,140494,298
2021-10-20$355.78$349.0012.6%3.6%14.3%6.5%13.5%4.5%-0.1%151.8M-1.20B-16.2M1.516.4528,66543,347208,258507,551
2021-10-21$355.47$350.0012.4%3.6%13.6%5.5%13.1%3.8%-0.1%117.8M-1.11B-16.2M1.667.8022,72037,787211,998523,302
2021-10-22$356.78$350.0012.4%3.5%13.6%5.5%13.5%4.1%0.0%267.5M-1.41B-16.1M1.017.0137,26537,694218,315526,702
2021-10-25$357.36$350.0012.5%3.6%13.6%5.9%13.9%4.3%0.5%118.7M-1.16B-16.3M1.306.8218,17723,578203,518493,434
2021-10-26$358.42$350.0012.7%3.7%12.2%6.8%13.5%4.0%0.7%136.5M-1.38B-15.7M1.156.9524,59628,284206,196498,433
2021-10-27$355.69$350.0012.5%3.6%12.7%6.0%13.3%4.0%0.7%50.8M-846.2M-15.7M1.107.5527,31030,129209,048505,424
2021-10-28$356.58$350.0012.1%3.5%11.1%4.4%15.4%3.8%0.8%88.5M-1.07B-15.6M1.635.6122,17336,157215,324508,830
2021-10-29$357.96$350.0012.5%3.6%10.6%6.2%14.0%4.0%0.6%113.7M-1.39B-15.7M1.346.2325,55134,115219,933518,248