DIA Options History — December 2021

In December 2021, DIA traded between $343.12 and $365.35. ATM implied volatility averaged 16.9%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.5% (HV 20d: 16.4%). Max pain ranged from $340.00 to $355.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.18.

Notable Days

2021-12-17: Highest Volume — 119,325 contracts
2021-12-06: Largest IV drop — 17.3% change
2021-12-03: Highest IV Rank — 92.3%
2021-12-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$356.80	$343.12	$365.35	$343.12	$364.41
Max Pain	$348.86	$340.00	$355.00	$350.00	$355.00
ATM IV	16.9%	13.5%	24.3%	21.7%	13.9%
Expected Move	4.9%	3.8%	7.8%	6.9%	3.8%
HV 20d	16.4%	12.0%	19.4%	12.0%	15.5%
HV 60d	13.4%	12.7%	14.0%	12.7%	13.0%
IV Rank	40.1%	16.6%	92.3%	74.1%	19.3%
IV Percentile	65.3%	30.2%	99.2%	98.8%	38.5%
Term Structure	0.2%	-0.6%	0.8%	-0.0%	0.5%
VWIV	19.0%	14.5%	28.4%	23.2%	14.5%
Skew 25d	6.4%	5.0%	9.2%	7.7%	5.0%
Skew 10d	14.7%	11.0%	20.9%	16.1%	12.4%
Call IV 25d	14.5%	11.7%	20.3%	18.6%	12.0%
Put IV 25d	20.9%	16.7%	29.5%	26.3%	17.0%
Bid-Ask Spread %	16.40	3.30	42.78	7.96	4.07
Gamma HHI	0.05	0.03	0.10	0.03	0.09
Net GEX	67.3M	-224.3M	183.5M	-81.9M	149.9M
Net DEX	-592.3M	-2.03B	1.70B	1.70B	-1.78B
Net VEX	-20.8M	-22.4M	-19.5M	-20.1M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.98	1.71	0.99	1.05
Total Volume	83,147.409	51,071	119,325	93,206	65,024
Total OI	825,429.409	786,478	877,843	787,946	843,510

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-12-01	$343.12	$350.00	21.7%	6.9%	12.0%	74.1%	23.2%	7.7%	-0.0%	-81.9M	1.70B	-20.1M	0.99	7.96	46,807	46,399	233,485	554,461
2021-12-02	$347.41	$350.00	21.3%	6.7%	13.0%	71.2%	24.8%	8.3%	0.0%	-43.5M	1.04B	-20.9M	1.15	6.97	45,779	52,473	238,128	561,181
2021-12-03	$344.47	$350.00	24.3%	7.8%	13.2%	92.3%	28.4%	9.2%	0.1%	-224.3M	1.64B	-21.9M	1.36	7.37	43,952	59,720	246,707	576,659
2021-12-06	$352.65	$340.00	20.1%	5.7%	15.7%	62.9%	27.8%	8.3%	0.3%	33.2M	-44.2M	-21.2M	1.17	12.78	41,164	48,201	234,596	551,882
2021-12-07	$356.87	$340.00	17.2%	5.2%	16.3%	42.2%	22.5%	6.7%	0.4%	73.2M	-675.6M	-20.6M	1.11	15.04	39,030	43,470	238,835	567,915
2021-12-08	$358.04	$340.00	15.7%	4.5%	16.4%	32.1%	17.9%	6.0%	0.5%	81.0M	-936.2M	-19.7M	0.98	19.50	34,008	33,393	239,406	574,078
2021-12-09	$358.69	$340.00	16.0%	4.6%	16.3%	34.1%	17.7%	5.8%	0.4%	91.9M	-1.08B	-19.5M	1.41	38.50	46,344	65,398	246,164	579,307
2021-12-10	$359.99	$340.00	15.3%	4.4%	16.3%	29.2%	17.7%	5.2%	0.3%	183.5M	-1.39B	-20.3M	1.71	39.67	41,819	71,467	258,499	594,873
2021-12-13	$358.22	$340.00	15.9%	4.4%	16.3%	33.3%	17.2%	5.3%	-0.6%	107.9M	-881.4M	-20.0M	1.38	41.10	34,365	47,419	249,666	572,551
2021-12-14	$356.07	$340.00	17.1%	4.9%	16.4%	41.5%	18.9%	6.1%	-0.0%	67.3M	-468.1M	-20.6M	1.03	42.78	36,521	37,624	253,886	579,392
2021-12-15	$358.91	$340.00	15.5%	4.4%	16.6%	30.4%	17.5%	5.6%	-0.2%	142.3M	-1.09B	-20.2M	1.04	23.09	44,544	46,175	257,822	585,087
2021-12-16	$359.90	$355.00	17.0%	4.8%	16.6%	40.8%	18.6%	6.7%	0.0%	132.1M	-1.13B	-21.5M	1.43	21.11	48,033	68,562	264,819	600,349
2021-12-17	$354.43	$355.00	18.1%	5.1%	17.4%	49.0%	20.0%	7.0%	-0.6%	-70.2M	487.3M	-22.4M	1.28	23.07	52,225	67,100	260,291	617,552
2021-12-20	$348.47	$355.00	19.8%	5.6%	18.1%	60.8%	19.0%	8.3%	0.1%	-56.0M	1.19B	-21.7M	1.10	14.09	42,911	47,192	240,550	554,765
2021-12-21	$353.88	$355.00	17.2%	4.9%	18.9%	42.1%	18.5%	6.6%	0.4%	55.7M	-31.7M	-21.8M	1.12	7.63	34,413	38,599	253,371	558,457
2021-12-22	$356.99	$355.00	15.3%	4.4%	19.1%	28.8%	16.5%	6.1%	0.4%	129.7M	-771.1M	-21.3M	1.03	3.51	30,863	31,647	260,271	570,350
2021-12-23	$360.35	$355.00	14.5%	4.1%	19.4%	23.3%	16.0%	5.6%	0.4%	111.9M	-1.51B	-21.3M	1.20	3.30	31,652	37,893	265,907	576,414
2021-12-27	$362.52	$355.00	14.1%	4.0%	17.6%	20.4%	15.9%	5.6%	0.7%	129.6M	-1.55B	-20.8M	1.09	4.65	24,992	27,277	252,458	560,340
2021-12-28	$364.51	$355.00	13.8%	3.9%	17.6%	18.5%	15.4%	5.9%	0.8%	152.0M	-1.91B	-20.7M	1.02	4.57	30,626	31,113	254,753	566,324
2021-12-29	$365.35	$355.00	13.5%	3.8%	16.2%	16.6%	14.5%	5.0%	0.7%	158.9M	-2.03B	-20.4M	1.16	8.57	23,676	27,395	254,717	573,375
2021-12-30	$364.37	$355.00	14.0%	3.9%	15.9%	19.6%	15.9%	5.8%	0.6%	156.6M	-1.81B	-20.5M	1.14	11.45	28,936	33,042	258,117	578,177
2021-12-31	$364.41	$355.00	13.9%	3.8%	15.5%	19.3%	14.5%	5.0%	0.5%	149.9M	-1.78B	-20.1M	1.05	4.07	31,643	33,381	260,717	582,793