DIA Options History — March 2022

In March 2022, DIA traded between $327.41 and $352.79. ATM implied volatility averaged 20.5%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.2% (HV 20d: 20.7%). Max pain ranged from $330.00 to $350.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.35.

Notable Days

2022-03-01: Highest Volume — 107,053 contracts
2022-03-02: Largest IV drop — 14.9% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$340.32	$327.41	$352.79	$332.50	$348.60
Max Pain	$339.30	$330.00	$350.00	$350.00	$345.00
ATM IV	20.5%	13.7%	28.0%	26.2%	15.6%
Expected Move	6.3%	4.2%	9.0%	8.2%	4.6%
HV 20d	20.7%	16.9%	23.0%	19.5%	17.0%
HV 60d	17.1%	16.2%	17.5%	16.5%	17.4%
IV Rank	57.3%	15.0%	100.0%	100.0%	26.3%
IV Percentile	81.9%	34.9%	100.0%	100.0%	66.3%
Term Structure	-0.0%	-0.9%	0.6%	-0.3%	0.4%
VWIV	23.5%	16.9%	33.9%	33.9%	18.2%
Skew 25d	8.0%	5.8%	10.5%	9.7%	5.9%
Skew 10d	15.5%	10.4%	20.1%	20.1%	12.2%
Call IV 25d	17.0%	11.6%	22.9%	21.4%	13.1%
Put IV 25d	25.0%	17.3%	33.0%	31.1%	18.9%
Bid-Ask Spread %	15.65	2.78	35.12	8.91	21.35
Gamma HHI	0.05	0.03	0.10	0.05	0.03
Net GEX	-3.0M	-163.1M	166.2M	-57.9M	51.4M
Net DEX	1.36B	-428.4M	2.97B	2.47B	410.0M
Net VEX	-20.3M	-21.1M	-19.6M	-21.1M	-20.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.97	2.06	1.76	1.27
Total Volume	70,239.261	47,597	107,053	107,053	51,741
Total OI	680,096	637,875	716,232	672,194	672,136

Daily Data (23 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
2022-03-01	$332.50	$350.00	26.2%	8.2%	19.5%	100.0%	33.9%	9.7%	-0.3%	-57.9M	2.47B	-21.1M	1.76	8.91	38,723	68,330	232,636	439,558
2022-03-02	$339.67	$350.00	22.3%	6.8%	20.8%	74.1%	27.0%	9.1%	-0.4%	8.5M	1.44B	-21.1M	1.20	2.78	39,840	47,894	242,289	435,560
2022-03-03	$337.35	$350.00	23.6%	7.3%	20.5%	82.9%	26.3%	9.8%	-0.3%	-45.3M	1.91B	-20.9M	1.21	3.91	35,528	43,097	244,792	446,796
2022-03-04	$335.16	$350.00	24.6%	7.5%	20.1%	89.5%	27.6%	9.8%	-0.2%	-69.3M	2.30B	-20.8M	1.49	6.10	34,980	52,097	251,038	451,759
2022-03-07	$329.16	$349.00	27.8%	9.0%	20.8%	100.0%	31.1%	10.5%	-0.8%	-83.3M	2.79B	-20.7M	1.14	4.37	26,012	29,705	231,248	441,005
2022-03-08	$327.41	$345.00	28.0%	9.0%	20.8%	100.0%	30.2%	10.1%	0.2%	-94.7M	2.97B	-20.6M	1.38	8.18	32,697	45,148	236,044	445,518
2022-03-09	$334.47	$345.00	24.6%	7.9%	22.1%	79.7%	28.6%	9.2%	-0.5%	-51.2M	2.10B	-20.8M	1.71	3.88	22,936	39,271	242,224	455,599
2022-03-10	$331.79	$345.00	24.2%	7.6%	21.8%	77.5%	27.1%	8.8%	0.2%	-115.9M	2.60B	-20.3M	1.16	4.14	29,563	34,268	243,504	466,214
2022-03-11	$330.57	$345.00	23.9%	7.5%	21.3%	75.9%	26.8%	8.4%	0.1%	-163.1M	2.71B	-20.1M	1.96	3.69	26,489	51,920	247,206	469,026
2022-03-14	$329.93	$330.00	25.6%	7.1%	21.0%	85.9%	27.1%	8.7%	-0.9%	-82.2M	2.54B	-20.1M	1.66	18.00	26,705	44,254	233,287	441,123
2022-03-15	$336.13	$330.00	23.7%	6.7%	22.3%	74.5%	24.5%	8.6%	-0.7%	-32.8M	1.78B	-20.2M	1.34	18.90	25,424	33,962	237,782	447,266
2022-03-16	$339.40	$330.00	20.4%	6.0%	22.3%	55.2%	24.3%	7.7%	0.1%	19.4M	1.30B	-19.7M	2.06	26.43	31,747	65,510	242,563	453,748
2022-03-17	$344.80	$335.00	18.4%	5.5%	23.0%	43.2%	21.6%	7.2%	-0.2%	109.7M	522.3M	-19.6M	1.19	20.60	40,119	47,734	244,209	469,330
2022-03-18	$346.90	$330.00	18.2%	5.4%	22.3%	42.0%	20.8%	7.1%	-0.9%	132.9M	701.3M	-20.0M	1.45	21.77	41,083	59,520	234,462	479,681
2022-03-21	$344.25	$330.00	18.1%	5.3%	22.3%	41.1%	19.2%	7.8%	0.2%	-52.0M	1.04B	-20.1M	1.09	22.24	25,782	28,141	208,504	432,295
2022-03-22	$348.13	$335.00	16.3%	4.7%	21.8%	30.4%	19.6%	6.7%	0.2%	45.4M	336.0M	-19.7M	1.00	22.09	27,080	27,172	214,873	435,990
2022-03-23	$344.45	$335.00	16.9%	5.0%	21.4%	33.9%	18.9%	7.0%	0.2%	-54.7M	896.3M	-20.3M	0.98	18.08	27,518	26,846	224,371	444,994
2022-03-24	$346.59	$335.00	15.6%	4.9%	21.4%	26.4%	18.1%	6.8%	0.2%	43.8M	465.6M	-20.1M	1.04	24.53	25,220	26,244	224,157	448,073
2022-03-25	$347.43	$335.00	15.4%	4.9%	19.2%	24.9%	17.1%	6.5%	0.5%	53.3M	288.7M	-20.1M	1.46	35.12	29,699	43,353	225,639	453,616
2022-03-28	$348.62	$335.00	14.1%	4.4%	19.0%	17.5%	16.9%	6.5%	0.5%	86.2M	276.3M	-20.0M	0.97	21.08	24,172	23,425	217,294	420,581
2022-03-29	$352.79	$335.00	13.7%	4.2%	18.1%	15.0%	18.2%	5.8%	0.6%	166.2M	-428.4M	-19.7M	1.22	23.28	28,642	35,063	223,634	426,620
2022-03-30	$351.36	$335.00	14.7%	4.6%	16.9%	21.1%	17.6%	5.9%	0.5%	117.3M	-69.1M	-20.3M	1.20	20.57	23,131	27,718	226,912	437,052
2022-03-31	$348.60	$345.00	15.6%	4.6%	17.0%	26.3%	18.2%	5.9%	0.4%	51.4M	410.0M	-20.4M	1.27	21.35	22,787	28,954	230,121	442,015