DIA Options History — September 2022

In September 2022, DIA traded between $288.65 and $324.28. ATM implied volatility averaged 22.1%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.1% (HV 20d: 20.0%). Max pain ranged from $311.00 to $329.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2022-09-16: Highest Volume — 153,855 contracts
  • 2022-09-13: Largest IV spike — 17.9% change
  • 2022-09-27: Highest IV Rank — 90.4%
  • 2022-09-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$306.93$288.65$324.28$315.54$288.65
Max Pain$321.33$311.00$329.00$329.00$311.00
ATM IV22.1%17.8%26.4%20.6%24.4%
Expected Move6.4%5.1%7.7%6.0%7.2%
HV 20d20.0%16.1%23.2%16.5%23.2%
HV 60d18.3%17.2%19.5%19.5%19.0%
IV Rank64.1%38.3%90.4%55.0%78.0%
IV Percentile77.4%46.8%98.4%68.3%91.3%
Term Structure-0.2%-0.7%0.5%-0.1%0.0%
VWIV22.4%18.6%25.8%21.5%24.6%
Skew 25d5.0%3.9%6.1%5.5%5.6%
Skew 10d10.2%7.9%12.6%10.4%12.3%
Call IV 25d19.7%16.2%23.1%18.4%21.7%
Put IV 25d24.7%20.1%29.2%23.9%27.3%
Bid-Ask Spread %6.232.7020.403.264.58
Gamma HHI0.040.030.070.030.06
Net GEX-152.3M-221.7M-26.6M-191.2M-159.4M
Net DEX2.49B321.1M3.62B2.26B3.54B
Net VEX-18.1M-19.6M-15.8M-18.3M-15.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.671.182.421.462.08
Total Volume90,512.1936,931153,85575,527115,295
Total OI670,800.429587,195781,361669,332648,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$315.54$329.0020.6%6.0%16.5%55.0%21.5%5.5%-0.1%-191.2M2.26B-18.3M1.463.2630,68244,845286,977382,355
2022-09-02$312.67$329.0020.7%6.1%16.6%55.8%20.4%5.2%-0.1%-202.2M2.80B-18.1M1.184.2238,06945,022299,284391,700
2022-09-06$312.20$325.0021.5%6.1%16.5%60.3%21.2%5.5%-0.2%-171.1M2.54B-18.0M2.4210.2437,19089,912287,409381,839
2022-09-07$316.52$325.0019.5%5.8%17.5%48.6%21.7%5.2%0.1%-138.0M1.87B-18.6M1.685.0740,84868,439293,417400,222
2022-09-08$317.25$325.0019.1%5.6%16.1%45.7%18.6%4.7%0.2%-126.9M1.66B-18.7M1.197.2924,92429,723301,738406,978
2022-09-09$322.70$325.0017.8%5.1%17.5%38.3%19.5%3.9%0.5%-26.6M467.1M-19.6M1.226.6523,63228,871315,221417,793
2022-09-12$324.28$325.0019.0%5.4%17.0%45.3%20.3%4.5%-0.3%-31.8M321.1M-19.6M1.507.6621,66432,467302,060402,489
2022-09-13$311.20$325.0022.4%6.3%21.6%66.0%22.7%5.5%-0.3%-151.7M2.73B-19.0M2.047.3845,78893,183311,241414,372
2022-09-14$312.15$325.0021.2%6.0%21.3%58.7%21.3%5.2%-0.2%-178.0M2.72B-19.2M1.3919.2927,69238,504323,368431,819
2022-09-15$310.82$325.0021.4%6.0%21.3%60.0%21.7%4.0%-0.7%-171.6M2.94B-19.0M1.6120.4025,08640,366332,989440,146
2022-09-16$307.97$325.0021.9%6.2%21.3%63.1%21.6%4.3%-0.7%-207.6M3.62B-18.8M2.263.3347,262106,593331,607449,754
2022-09-19$309.87$320.0021.4%6.1%21.5%60.1%21.8%4.7%-0.1%-129.2M1.83B-18.9M1.192.8916,84820,083253,816333,379
2022-09-20$307.78$320.0022.5%6.4%20.8%66.7%22.7%4.5%-0.3%-142.8M2.05B-18.4M1.302.7022,25329,040259,831338,158
2022-09-21$302.76$320.0023.4%6.7%21.3%72.4%22.2%5.0%-0.4%-180.0M2.76B-18.2M1.735.5232,26655,788264,368342,830
2022-09-22$302.78$320.0021.9%6.3%21.2%63.3%21.8%4.0%-0.2%-202.0M2.75B-17.7M1.523.2230,79046,867274,773349,290
2022-09-23$295.65$320.0024.0%7.0%21.8%75.9%24.4%5.1%-0.7%-221.7M3.59B-17.0M1.764.5840,33971,190285,349350,350
2022-09-26$293.51$315.0025.1%7.4%20.3%82.8%25.6%5.5%0.0%-150.1M3.21B-16.4M1.653.2438,37563,191271,514328,330
2022-09-27$291.02$315.0026.4%7.7%20.3%90.4%25.7%6.1%-0.3%-134.0M3.33B-16.4M1.882.7937,96271,517283,600330,684
2022-09-28$297.70$312.0024.2%7.1%22.4%76.9%25.8%5.6%0.1%-132.8M2.27B-17.3M1.933.5037,37972,142289,370334,802
2022-09-29$292.42$312.0025.0%7.4%23.0%81.8%25.8%5.8%0.2%-148.9M3.15B-16.7M2.102.9638,28380,386297,059345,743
2022-09-30$288.65$311.0024.4%7.2%23.2%78.0%24.6%5.6%0.0%-159.4M3.54B-15.8M2.084.5837,39377,902305,716343,069