DIA Options History — July 2022

In July 2022, DIA traded between $306.42 and $328.91. ATM implied volatility averaged 20.0%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.3% (HV 20d: 19.7%). Max pain ranged from $315.00 to $317.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.79.

Notable Days

2022-07-15: Highest Volume — 127,830 contracts
2022-07-27: Largest IV drop — 9.9% change
2022-07-05: Highest IV Rank — 68.0%
2022-07-05: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$315.27	$306.42	$328.91	$311.04	$328.91
Max Pain	$315.40	$315.00	$317.00	$315.00	$317.00
ATM IV	20.0%	16.3%	22.6%	21.8%	16.3%
Expected Move	5.7%	4.6%	6.3%	6.0%	4.6%
HV 20d	19.7%	15.2%	24.9%	24.7%	15.2%
HV 60d	23.4%	22.7%	23.9%	23.6%	22.9%
IV Rank	51.9%	29.3%	68.0%	63.1%	29.3%
IV Percentile	67.4%	44.0%	82.9%	78.6%	44.0%
Term Structure	0.0%	-0.6%	0.5%	0.0%	0.1%
VWIV	21.1%	17.5%	24.1%	21.2%	17.5%
Skew 25d	5.3%	3.9%	6.1%	5.0%	3.9%
Skew 10d	9.9%	7.8%	11.5%	9.6%	7.8%
Call IV 25d	17.4%	14.6%	19.6%	19.4%	14.6%
Put IV 25d	22.7%	18.6%	25.1%	24.3%	18.6%
Bid-Ask Spread %	4.26	1.79	8.28	4.21	2.06
Gamma HHI	0.05	0.03	0.20	0.03	0.20
Net GEX	4.1M	-117.0M	213.6M	-61.6M	213.6M
Net DEX	483.5M	-1.47B	1.83B	1.09B	-1.47B
Net VEX	-17.6M	-18.5M	-16.5M	-17.1M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	1.43	2.37	1.66	1.50
Total Volume	97,714.7	77,305	127,830	107,428	99,081
Total OI	588,341.3	536,353	645,102	568,689	645,102

Daily Data (20 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
2022-07-01	$311.04	$315.00	21.8%	6.0%	24.7%	63.1%	21.2%	5.0%	0.0%	-61.6M	1.09B	-17.1M	1.66	4.21	40,329	67,099	249,526	319,163
2022-07-05	$309.20	$315.00	22.6%	6.3%	24.7%	68.0%	22.8%	5.5%	-0.2%	-58.7M	1.35B	-16.5M	1.43	5.77	39,601	56,673	229,809	306,544
2022-07-06	$311.33	$315.00	21.7%	6.3%	24.9%	62.1%	23.0%	5.8%	-0.1%	-32.8M	976.7M	-16.8M	1.88	7.04	28,703	54,060	238,489	312,878
2022-07-07	$313.57	$315.00	20.8%	5.9%	24.8%	56.5%	21.2%	5.8%	-0.1%	16.0K	681.6M	-17.1M	1.90	6.54	31,002	58,781	242,323	318,819
2022-07-08	$314.06	$315.00	19.8%	5.7%	24.8%	50.2%	22.6%	5.4%	0.1%	20.0M	612.0M	-16.9M	1.85	6.13	37,640	69,451	248,032	326,623
2022-07-11	$311.41	$315.00	21.2%	6.2%	24.4%	58.8%	24.1%	5.9%	0.4%	-48.4M	1.10B	-16.7M	2.37	5.50	23,603	55,829	231,924	315,126
2022-07-12	$309.38	$315.00	22.1%	6.3%	22.6%	64.2%	22.8%	6.1%	-0.1%	-67.4M	1.37B	-16.6M	2.24	8.28	25,987	58,326	237,217	322,173
2022-07-13	$308.12	$315.00	21.8%	6.1%	18.8%	62.4%	22.9%	5.8%	-0.6%	-93.7M	1.60B	-16.7M	1.92	5.77	35,330	67,682	241,785	330,191
2022-07-14	$306.42	$315.00	21.6%	6.2%	18.9%	61.3%	22.4%	5.7%	0.0%	-117.0M	1.83B	-16.6M	1.47	5.95	51,315	75,376	249,049	342,515
2022-07-15	$312.11	$315.00	19.7%	5.8%	19.6%	50.0%	21.7%	5.1%	0.5%	102.4M	756.0M	-17.1M	1.60	3.62	49,160	78,670	260,978	354,620
2022-07-18	$310.11	$315.00	20.8%	6.0%	16.9%	56.4%	21.9%	6.0%	-0.0%	-47.1M	1.08B	-17.6M	1.62	3.34	34,285	55,420	236,280	326,609
2022-07-19	$318.11	$315.00	19.7%	5.6%	18.9%	49.9%	21.2%	5.8%	-0.0%	31.1M	44.3M	-18.1M	2.05	3.92	31,834	65,385	242,549	331,674
2022-07-20	$318.94	$315.00	19.6%	5.6%	17.7%	49.1%	20.4%	5.3%	0.2%	32.0M	-52.5M	-18.3M	1.69	2.89	35,789	60,361	247,011	342,673
2022-07-21	$319.54	$315.00	18.3%	5.2%	17.6%	41.6%	20.3%	4.7%	0.2%	59.3M	-270.8M	-18.5M	1.63	1.79	41,045	66,837	260,027	352,669
2022-07-22	$318.45	$316.00	18.5%	5.3%	17.7%	42.8%	19.1%	4.6%	0.2%	52.1M	-124.8M	-18.4M	1.55	2.30	43,339	67,111	271,169	361,486
2022-07-25	$319.20	$316.00	18.8%	5.4%	15.4%	44.6%	19.1%	5.0%	-0.0%	6.3M	63.1M	-18.3M	1.96	2.59	26,116	51,189	257,345	345,032
2022-07-26	$317.45	$317.00	20.0%	5.8%	15.5%	52.0%	20.5%	5.4%	-0.0%	-23.5M	372.7M	-18.5M	2.09	2.15	26,613	55,560	260,832	352,659
2022-07-27	$322.83	$315.00	18.1%	5.2%	15.3%	40.0%	19.2%	5.1%	0.0%	37.5M	-455.9M	-18.5M	1.69	3.14	35,017	59,199	264,146	357,029
2022-07-28	$325.15	$317.00	17.3%	4.9%	15.4%	35.5%	18.5%	4.3%	-0.1%	77.3M	-892.3M	-18.4M	1.70	2.21	35,368	60,128	269,201	365,549
2022-07-29	$328.91	$317.00	16.3%	4.6%	15.2%	29.3%	17.5%	3.9%	0.1%	213.6M	-1.47B	-18.4M	1.50	2.06	39,670	59,411	272,216	372,886