DIA Options History — January 2022

In January 2022, DIA traded between $340.62 and $368.67. ATM implied volatility averaged 17.9%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.9% (HV 20d: 13.0%). Max pain ranged from $351.00 to $360.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-01-27: Highest Volume — 143,608 contracts
  • 2022-01-18: Largest IV spike — 20.3% change
  • 2022-01-26: Highest IV Rank — 88.6%
  • 2022-01-26: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$354.54$340.62$368.67$365.38$349.88
Max Pain$357.70$351.00$360.00$355.00$351.00
ATM IV17.9%13.6%23.8%14.1%18.8%
Expected Move5.2%3.6%7.2%3.8%5.7%
HV 20d13.0%11.5%15.0%15.0%13.7%
HV 60d13.3%12.8%14.2%12.8%14.2%
IV Rank47.8%16.9%88.6%20.5%58.4%
IV Percentile73.7%31.3%98.8%41.3%89.7%
Term Structure-0.1%-1.2%0.8%0.3%-0.1%
VWIV19.2%12.7%26.1%14.3%22.6%
Skew 25d6.8%4.7%9.8%4.9%7.9%
Skew 10d14.6%11.0%19.8%11.6%14.1%
Call IV 25d15.2%11.8%19.8%12.0%15.5%
Put IV 25d22.0%16.8%29.6%17.0%23.5%
Bid-Ask Spread %17.674.3635.505.654.52
Gamma HHI0.060.040.130.060.04
Net GEX-17.0M-192.5M178.6M118.7M42.6M
Net DEX524.7M-2.15B3.32B-1.56B756.2M
Net VEX-20.5M-21.9M-19.3M-19.5M-21.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.793.161.081.14
Total Volume81,353.552,122143,60852,12269,383
Total OI775,609.6594,092873,735778,138637,996

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$365.38$355.0014.1%3.8%15.0%20.5%14.3%4.9%0.3%118.7M-1.56B-19.5M1.085.6525,10827,014236,828541,310
2022-01-04$368.67$355.0013.8%3.6%13.1%18.3%12.7%4.7%0.3%178.6M-2.15B-19.3M0.864.3647,99641,389240,197548,478
2022-01-05$365.14$355.0015.5%4.2%13.2%30.5%14.9%5.6%0.2%93.2M-1.25B-20.7M1.4712.6928,36941,700256,441563,170
2022-01-06$362.51$360.0016.1%4.6%13.5%34.7%18.1%5.5%-0.0%20.2M-674.2M-20.8M1.9031.2235,77868,017260,923568,683
2022-01-07$362.97$360.0015.4%4.4%13.5%30.1%17.6%5.5%0.3%-9.4M-849.1M-21.9M1.1530.0030,83135,606270,494584,711
2022-01-10$359.67$360.0015.8%4.5%13.9%32.2%16.2%5.7%-0.1%-21.0M75.0M-21.1M1.0935.5035,87239,069247,821561,665
2022-01-11$362.25$360.0014.4%4.3%14.0%22.5%15.3%4.9%0.3%60.0M-626.0M-20.3M0.9930.8835,59135,089255,435568,244
2022-01-12$363.03$360.0013.6%3.9%13.8%16.9%16.8%5.0%-0.1%98.8M-805.1M-20.3M1.4328.2727,61039,371264,479577,551
2022-01-13$361.52$360.0015.2%4.6%13.6%28.6%16.7%5.4%0.8%8.9M-355.9M-21.0M1.2316.9838,77347,655268,161590,837
2022-01-14$359.05$360.0014.9%4.2%13.8%26.4%16.0%5.7%-0.2%-192.5M409.8M-20.7M1.2014.9938,29645,837276,500597,235
2022-01-18$353.39$360.0017.9%5.1%13.9%47.7%18.0%6.6%0.1%-170.4M1.42B-20.3M0.7916.2246,83136,861260,880576,954
2022-01-19$351.77$360.0018.8%5.4%12.5%53.8%18.5%6.6%-1.2%-174.2M1.63B-19.9M1.3217.6528,07936,944270,476580,076
2022-01-20$348.97$360.0019.1%5.5%11.6%55.5%18.2%6.8%-0.5%-147.8M2.22B-19.9M1.2925.6926,71234,364273,613585,215
2022-01-21$343.31$360.0021.6%6.2%12.3%73.4%21.8%7.7%-0.2%-133.3M3.32B-20.3M1.8123.2832,59059,086266,571585,919
2022-01-24$341.18$360.0023.3%6.9%11.6%85.5%24.7%9.4%-0.2%-43.7M2.08B-19.8M1.0820.3441,15344,371207,322386,770
2022-01-25$343.71$355.0022.7%6.8%11.7%80.8%25.3%9.4%-0.4%3.3M1.61B-20.8M0.986.0238,02737,347223,286395,215
2022-01-26$340.62$355.0023.8%7.2%11.5%88.6%26.1%9.8%-0.6%-30.3M2.04B-20.6M1.6413.9734,13656,103227,245404,887
2022-01-27$342.77$355.0023.2%7.0%11.9%84.3%25.9%9.3%-0.6%-20.6M1.78B-20.7M3.169.1234,542109,066232,181415,798
2022-01-28$345.04$353.0020.8%6.3%12.4%68.0%25.0%8.8%-0.3%-20.6M1.44B-21.3M1.856.0033,80862,696239,388463,237
2022-01-31$349.88$351.0018.8%5.7%13.7%58.4%22.6%7.9%-0.1%42.6M756.2M-21.2M1.144.5232,36437,019224,631413,365