DIA Options History — February 2022

In February 2022, DIA traded between $331.06 and $357.25. ATM implied volatility averaged 19.8%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.7% (HV 20d: 16.1%). Max pain ranged from $350.00 to $350.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-02-24: Highest Volume — 102,772 contracts
  • 2022-02-11: Largest IV spike — 20.6% change
  • 2022-02-23: Highest IV Rank — 100.0%
  • 2022-02-23: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$346.42$331.06$357.25$353.80$337.72
Max Pain$350.00$350.00$350.00$350.00$350.00
ATM IV19.8%15.2%24.8%16.2%23.0%
Expected Move5.9%4.4%7.4%4.8%7.1%
HV 20d16.1%14.2%19.7%14.4%19.7%
HV 60d15.3%14.4%16.4%14.4%16.4%
IV Rank65.2%30.9%100.0%38.3%86.7%
IV Percentile87.5%59.1%100.0%71.4%97.2%
Term Structure0.1%-1.3%1.4%0.2%0.1%
VWIV21.8%16.4%27.0%19.1%27.0%
Skew 25d8.1%6.3%9.8%7.0%9.1%
Skew 10d16.3%12.7%19.3%14.1%18.6%
Call IV 25d16.5%12.7%20.8%13.6%19.2%
Put IV 25d24.6%19.0%29.7%20.6%28.2%
Bid-Ask Spread %12.443.5220.213.5218.26
Gamma HHI0.040.030.050.050.04
Net GEX8.4M-96.0M121.4M96.9M-41.1M
Net DEX1.16B-465.4M2.93B63.5M1.89B
Net VEX-21.3M-22.6M-20.3M-20.6M-21.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.371.041.891.691.21
Total Volume71,976.68451,665102,77272,68559,868
Total OI683,971.947646,270716,594651,937664,337

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$353.80$350.0016.2%4.8%14.4%38.3%19.1%7.0%0.2%96.9M63.5M-20.6M1.693.5227,00745,678232,034419,903
2022-02-02$356.29$350.0015.2%4.4%14.2%30.9%16.4%6.7%0.3%117.3M-299.3M-20.9M1.755.3825,90845,365235,503433,934
2022-02-03$351.12$350.0018.4%5.5%14.7%54.8%21.7%8.3%0.2%45.7M668.7M-21.5M1.899.2227,08951,119238,062443,890
2022-02-04$352.06$350.0016.7%5.2%14.6%42.4%19.8%7.1%0.2%71.2M434.4M-21.1M1.3714.2731,82843,509245,078447,123
2022-02-07$350.70$350.0017.6%5.3%14.6%49.2%20.5%7.5%1.0%34.0M720.6M-20.8M1.118.9124,78127,386231,416433,916
2022-02-08$354.24$350.0016.5%4.8%14.9%40.9%18.4%6.4%0.2%87.0M89.2M-20.9M1.2013.6726,22331,490235,469439,499
2022-02-09$357.25$350.0015.2%4.7%15.0%30.9%18.6%6.3%1.3%121.4M-465.4M-20.9M1.048.9630,97032,146241,340445,323
2022-02-10$351.54$350.0018.3%5.6%15.9%54.1%20.1%7.7%1.4%16.3M656.0M-21.7M1.2411.3136,49545,144247,856450,426
2022-02-11$347.49$350.0022.1%6.5%16.3%82.8%22.4%9.2%0.9%-41.9M1.41B-22.6M1.5120.2134,13051,522253,821457,544
2022-02-14$345.54$350.0022.8%6.6%16.2%88.3%23.1%9.8%-0.8%-11.2M1.47B-22.6M1.3713.6735,05747,981241,438442,907
2022-02-15$348.91$350.0019.4%5.6%15.9%62.5%20.7%8.3%0.2%37.4M926.2M-22.0M1.5512.8326,42840,862248,341450,844
2022-02-16$350.25$350.0018.2%5.2%15.9%53.4%19.8%7.7%-0.2%39.9M793.9M-21.8M1.0718.0124,94726,718249,207459,708
2022-02-17$344.28$350.0021.3%6.1%16.8%76.9%23.1%9.2%-0.1%-52.4M1.80B-21.4M1.1314.1529,71633,499251,695462,073
2022-02-18$341.73$350.0022.5%6.6%15.9%86.3%23.0%9.0%-1.3%-94.1M2.30B-21.5M1.6211.9429,08147,113251,778464,816
2022-02-22$336.30$350.0023.6%7.1%16.8%95.0%25.6%9.0%-0.6%-66.2M2.38B-20.9M1.4412.7328,59441,210221,891424,379
2022-02-23$331.43$350.0024.8%7.4%17.2%100.0%25.2%9.0%-0.6%-95.0M2.86B-20.8M1.3911.0524,62634,195230,838432,167
2022-02-24$331.06$350.0023.7%7.2%17.0%91.9%26.8%8.8%-0.5%-96.0M2.93B-20.3M1.1813.1847,19855,574236,260436,540
2022-02-25$340.34$350.0021.3%6.3%19.7%74.5%23.2%8.2%-0.5%-9.3M1.40B-21.2M1.2315.1143,56853,532249,449444,662
2022-02-28$337.72$350.0023.0%7.1%19.7%86.7%27.0%9.1%0.1%-41.1M1.89B-21.2M1.2118.2627,14732,721228,237436,100