DIA Options History — August 2022

In August 2022, DIA traded between $317.17 and $342.18. ATM implied volatility averaged 17.1%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.2% (HV 20d: 15.0%). Max pain ranged from $318.00 to $330.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.68.

Notable Days

2022-08-05: Highest Volume — 96,040 contracts
2022-08-26: Largest IV spike — 19.0% change
2022-08-30: Highest IV Rank — 58.1%
2022-08-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$330.47	$317.17	$342.18	$328.30	$317.17
Max Pain	$328.52	$318.00	$330.00	$318.00	$330.00
ATM IV	17.1%	14.5%	21.1%	17.6%	20.2%
Expected Move	5.0%	4.3%	6.2%	5.1%	5.9%
HV 20d	15.0%	12.0%	17.2%	15.1%	16.5%
HV 60d	19.8%	18.5%	22.0%	22.0%	19.5%
IV Rank	34.5%	18.6%	58.1%	37.0%	52.7%
IV Percentile	46.2%	25.4%	71.4%	51.6%	67.1%
Term Structure	0.1%	-0.6%	1.1%	-0.5%	0.0%
VWIV	18.3%	16.0%	22.0%	18.8%	21.3%
Skew 25d	4.6%	3.0%	6.2%	4.8%	5.7%
Skew 10d	9.5%	6.6%	12.9%	9.3%	11.4%
Call IV 25d	15.1%	13.0%	18.3%	15.5%	17.8%
Put IV 25d	19.8%	16.5%	24.5%	20.3%	23.5%
Bid-Ask Spread %	3.41	1.83	9.91	2.72	2.75
Gamma HHI	0.04	0.03	0.09	0.03	0.03
Net GEX	-3.4M	-178.8M	206.6M	47.0M	-174.2M
Net DEX	-609.3M	-2.81B	2.05B	-933.8M	2.05B
Net VEX	-18.6M	-19.4M	-17.8M	-18.4M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.50	2.37	2.02	2.07
Total Volume	63,283	26,120	96,040	71,326	94,608
Total OI	654,693.174	611,823	713,831	615,002	659,247

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
2022-08-01	$328.30	$318.00	17.6%	5.1%	15.1%	37.0%	18.8%	4.8%	-0.5%	47.0M	-933.8M	-18.4M	2.02	2.72	23,592	47,734	259,741	355,261
2022-08-02	$325.12	$319.00	18.2%	5.3%	15.4%	40.6%	18.9%	5.5%	-0.6%	3.6M	-410.0M	-18.4M	1.58	2.95	34,198	54,124	262,524	360,338
2022-08-03	$328.97	$319.00	16.4%	4.7%	15.7%	30.0%	18.4%	4.6%	-0.3%	77.3M	-1.10B	-18.1M	1.91	3.14	27,754	53,031	269,266	363,018
2022-08-04	$327.21	$330.00	16.3%	5.0%	15.8%	29.6%	17.6%	4.5%	-0.4%	37.0M	-801.3M	-17.9M	1.56	2.96	35,382	55,276	270,001	369,181
2022-08-05	$327.88	$330.00	15.4%	4.5%	15.8%	23.8%	18.6%	4.4%	0.0%	19.0M	-1.02B	-18.2M	1.76	3.70	34,833	61,207	279,768	374,728
2022-08-08	$328.71	$330.00	16.0%	4.7%	15.3%	27.2%	17.5%	5.1%	0.4%	60.2M	-964.6M	-18.3M	1.88	3.65	30,749	57,765	270,580	361,367
2022-08-09	$327.50	$330.00	16.4%	5.0%	15.1%	29.8%	17.9%	4.4%	1.1%	38.6M	-779.2M	-18.3M	1.95	2.81	8,849	17,271	274,569	366,540
2022-08-10	$333.12	$330.00	14.5%	4.3%	15.7%	18.6%	16.0%	3.8%	0.3%	142.1M	-1.79B	-17.8M	1.31	3.93	21,721	28,489	276,498	371,221
2022-08-11	$333.44	$330.00	15.1%	4.4%	15.3%	22.0%	16.5%	3.7%	0.3%	121.9M	-1.82B	-18.3M	1.39	2.32	24,207	33,647	281,967	384,343
2022-08-12	$337.38	$330.00	15.0%	4.5%	14.7%	21.5%	17.0%	3.0%	1.0%	206.6M	-2.56B	-18.2M	1.30	6.37	21,281	27,721	287,587	399,176
2022-08-15	$339.49	$330.00	15.2%	4.4%	14.2%	22.9%	17.2%	3.8%	0.7%	107.3M	-2.42B	-18.2M	1.43	4.08	15,914	22,758	275,468	381,739
2022-08-16	$342.18	$330.00	15.3%	4.4%	12.0%	23.5%	16.1%	3.8%	0.1%	109.5M	-2.81B	-18.2M	2.28	3.90	19,297	43,953	278,518	389,709
2022-08-17	$340.48	$330.00	16.0%	4.6%	12.3%	27.4%	16.5%	3.9%	0.2%	835.4K	-2.31B	-18.8M	1.26	9.91	26,919	33,831	282,545	412,461
2022-08-18	$340.71	$330.00	15.4%	4.4%	12.4%	23.8%	16.3%	3.6%	0.3%	60.0M	-2.38B	-19.0M	0.50	2.84	35,637	17,958	294,686	419,145
2022-08-19	$336.95	$330.00	16.4%	4.7%	13.2%	29.7%	16.3%	4.0%	0.1%	-118.9M	-597.1M	-19.1M	1.86	1.83	16,542	30,693	268,766	424,124
2022-08-22	$330.37	$330.00	19.1%	5.4%	15.4%	46.4%	18.7%	5.1%	-0.0%	-82.4M	381.1M	-18.9M	1.29	2.24	22,403	28,808	258,965	352,858
2022-08-23	$329.38	$330.00	18.7%	5.3%	15.3%	43.7%	19.4%	5.2%	0.0%	-70.6M	482.5M	-19.2M	2.30	2.30	13,970	32,082	269,615	359,307
2022-08-24	$330.17	$330.00	18.1%	5.1%	14.2%	40.3%	20.3%	5.1%	-0.1%	-85.2M	438.3M	-19.3M	2.37	2.21	16,553	39,306	271,854	370,748
2022-08-25	$332.47	$330.00	17.2%	4.8%	14.2%	34.7%	17.6%	4.6%	0.1%	-100.9M	7.8M	-19.2M	1.00	2.78	19,962	20,044	277,711	395,395
2022-08-26	$323.46	$330.00	20.4%	5.8%	16.9%	54.4%	20.7%	5.7%	-0.2%	-178.8M	2.02B	-19.4M	1.90	2.51	32,006	60,892	284,498	403,373
2022-08-29	$322.15	$330.00	20.6%	5.9%	17.0%	55.4%	22.0%	6.1%	-0.1%	-131.7M	1.35B	-19.1M	1.91	2.36	16,611	31,689	272,504	369,247
2022-08-30	$318.22	$330.00	21.1%	6.2%	17.2%	58.1%	21.3%	6.2%	-0.2%	-166.0M	1.96B	-18.5M	1.79	4.05	23,036	41,206	276,670	371,116
2022-08-31	$317.17	$330.00	20.2%	5.9%	16.5%	52.7%	21.3%	5.7%	0.0%	-174.2M	2.05B	-18.4M	2.07	2.75	30,844	63,764	282,313	376,934