DIA Options History — November 2021

In November 2021, DIA traded between $345.83 and $364.12. ATM implied volatility averaged 14.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.8% (HV 20d: 8.3%). Max pain ranged from $350.00 to $355.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2021-11-26: Highest Volume — 138,352 contracts
  • 2021-11-26: Largest IV spike — 48.3% change
  • 2021-11-26: Highest IV Rank — 69.0%
  • 2021-11-26: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$358.75$345.83$364.12$358.81$345.83
Max Pain$351.19$350.00$355.00$350.00$350.00
ATM IV14.1%11.5%21.0%12.8%20.1%
Expected Move4.2%3.3%6.3%3.7%6.2%
HV 20d8.3%6.5%12.1%9.7%12.1%
HV 60d11.5%11.2%12.7%11.3%12.7%
IV Rank20.3%2.2%69.0%7.4%62.6%
IV Percentile33.3%0.8%98.0%14.3%94.0%
Term Structure0.2%-0.5%1.0%0.5%0.0%
VWIV15.6%13.2%24.2%14.7%23.6%
Skew 25d4.1%3.0%8.1%4.1%7.4%
Skew 10d8.8%5.6%20.0%7.7%15.8%
Call IV 25d12.6%10.3%18.1%11.5%17.4%
Put IV 25d16.7%13.6%26.2%15.6%24.8%
Bid-Ask Spread %7.594.8811.007.076.31
Gamma HHI0.080.030.320.040.03
Net GEX24.1M-215.3M170.8M118.3M-72.9M
Net DEX-746.2M-1.95B1.43B-1.23B1.43B
Net VEX-16.7M-20.4M-14.6M-15.3M-19.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.711.941.251.10
Total Volume77,945.42946,979138,35251,66092,241
Total OI741,102.048697,030779,405697,030773,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$358.81$350.0012.8%3.7%9.7%7.4%14.7%4.1%0.5%118.3M-1.23B-15.3M1.257.0722,91828,742203,137493,893
2021-11-02$360.44$350.0012.4%3.6%9.3%6.3%14.2%3.9%0.4%134.8M-1.42B-15.3M1.524.8818,66228,317205,182501,128
2021-11-03$361.57$350.0011.5%3.3%9.1%2.2%13.2%3.3%0.3%148.4M-1.64B-14.6M1.0411.0028,19329,369206,645506,395
2021-11-04$360.46$350.0011.6%3.7%8.6%3.0%13.2%3.4%0.4%111.8M-1.40B-14.9M1.197.9326,78231,901209,127510,474
2021-11-05$363.45$350.0012.0%3.7%8.9%6.1%13.8%3.6%0.7%129.4M-1.95B-15.2M0.9510.5446,98944,685214,068516,638
2021-11-08$364.12$350.0012.4%3.8%8.3%8.9%14.4%3.8%0.6%115.8M-1.68B-15.5M1.296.7627,22935,255202,337501,964
2021-11-09$363.17$350.0013.2%3.9%7.9%14.4%15.7%3.8%0.3%40.4M-1.45B-15.9M1.768.8524,67343,427206,128512,650
2021-11-10$360.78$350.0014.2%4.3%8.5%21.5%15.6%4.0%0.7%-89.3M-904.4M-16.4M1.946.8226,06750,583210,848529,875
2021-11-11$359.79$350.0013.2%4.0%7.5%13.9%15.3%3.3%0.8%-215.3M-763.5M-15.9M1.768.5527,58548,421214,921543,867
2021-11-12$361.32$350.0013.2%4.0%6.5%14.3%14.3%3.1%1.0%-67.9M-1.40B-16.0M1.569.5034,53953,723222,798547,835
2021-11-15$360.90$350.0013.4%3.9%6.5%16.0%14.3%3.1%-0.1%141.2M-1.31B-15.8M1.886.3922,08041,429212,172530,359
2021-11-16$362.30$350.0013.0%3.8%6.5%12.7%13.7%3.0%-0.4%170.8M-1.58B-15.7M1.666.7624,89941,367216,011534,355
2021-11-17$360.51$350.0013.5%3.9%6.6%16.4%14.1%3.1%-0.4%84.3M-1.21B-16.1M1.737.3427,12447,016219,663544,028
2021-11-18$359.42$350.0013.5%3.9%6.7%16.2%13.7%3.1%-0.1%29.2M-984.6M-16.2M0.716.6654,95939,027223,693555,712
2021-11-19$355.79$355.0014.6%4.3%7.6%24.4%15.1%4.2%-0.5%-194.0M425.0M-17.2M1.226.5049,88960,697212,418557,287
2021-11-22$357.87$355.0014.2%4.1%7.9%21.2%14.5%3.7%0.1%64.2M-244.4M-17.6M1.215.9340,97549,389198,650520,978
2021-11-23$357.91$355.0014.8%4.3%7.8%25.6%16.9%4.2%-0.2%39.7M-172.4M-18.2M0.966.3035,24233,782202,592532,425
2021-11-24$357.82$355.0014.1%4.1%7.3%21.0%14.3%4.5%0.0%26.3M-104.3M-18.2M0.836.5934,37428,536206,628541,860
2021-11-26$349.95$355.0021.0%6.3%10.8%69.0%24.2%8.1%-0.4%-185.7M1.33B-20.4M1.2110.5462,65375,699211,723548,348
2021-11-29$351.59$350.0017.2%5.2%10.8%42.4%19.4%5.9%0.3%-23.9M588.0M-19.8M1.128.1845,86551,551216,870544,031
2021-11-30$345.83$350.0020.1%6.2%12.1%62.6%23.6%7.4%0.0%-72.9M1.43B-19.8M1.106.3143,82448,417224,077549,353