DIA Options History — October 2022

In October 2022, DIA traded between $292.43 and $328.44. ATM implied volatility averaged 25.0%, placing in the 81.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.4% (HV 20d: 24.6%). Max pain ranged from $305.00 to $310.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2022-10-28: Highest Volume — 194,396 contracts
  • 2022-10-25: Largest IV drop — 5.9% change
  • 2022-10-12: Highest IV Rank — 97.6%
  • 2022-10-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$305.97$292.43$328.44$295.18$327.95
Max Pain$306.14$305.00$310.00$310.00$310.00
ATM IV25.0%21.8%27.6%24.0%21.8%
Expected Move7.3%6.7%7.9%7.0%6.8%
HV 20d24.6%21.5%26.7%25.0%21.5%
HV 60d20.8%19.6%21.8%19.6%21.8%
IV Rank81.8%62.4%97.6%75.8%62.4%
IV Percentile89.1%65.9%99.2%89.3%65.9%
Term Structure-0.2%-1.3%0.3%0.0%-0.0%
VWIV25.9%23.7%28.3%25.0%24.3%
Skew 25d4.1%2.8%5.6%5.3%2.8%
Skew 10d8.5%5.3%12.6%11.7%5.3%
Call IV 25d23.2%20.4%25.6%21.4%20.5%
Put IV 25d27.2%23.3%30.2%26.6%23.3%
Bid-Ask Spread %8.192.0216.274.503.56
Gamma HHI0.050.030.120.060.05
Net GEX-28.6M-161.3M230.1M-105.8M56.8M
Net DEX564.4M-2.82B2.66B2.09B-1.95B
Net VEX-18.5M-19.9M-16.3M-16.3M-19.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.031.362.792.222.79
Total Volume119,50385,099194,39699,994116,217
Total OI638,013.619572,783701,734572,783636,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$295.18$310.0024.0%7.0%25.0%75.8%25.0%5.3%0.0%-105.8M2.09B-16.3M2.224.5031,09568,899263,305309,478
2022-10-04$302.31$310.0024.0%7.0%26.7%75.6%25.9%5.6%0.0%-55.5M1.03B-17.5M2.043.5639,73380,921268,186319,402
2022-10-05$303.62$309.0023.6%6.8%26.2%73.5%25.4%5.5%0.1%-49.0M846.6M-18.2M2.122.1932,18968,300278,966333,800
2022-10-06$299.43$305.0024.9%7.1%26.5%81.2%23.7%5.3%0.1%-96.9M1.55B-17.8M1.5816.0642,70367,652284,346339,503
2022-10-07$292.56$305.0025.5%7.2%26.3%85.1%25.4%5.0%0.3%-161.3M2.66B-16.7M2.0412.6742,12185,808296,614344,621
2022-10-10$292.92$305.0026.5%7.5%26.2%91.2%27.4%5.0%-0.7%-121.7M2.42B-16.7M2.5711.7323,82561,274283,160330,595
2022-10-11$292.43$305.0027.4%7.9%22.4%96.7%26.5%4.7%0.1%-121.5M2.48B-17.1M1.7511.4941,19372,075287,075339,229
2022-10-12$293.22$305.0027.6%7.8%22.4%97.6%27.1%4.6%-0.5%-122.8M2.42B-17.8M1.5812.1836,28857,354304,857352,383
2022-10-13$300.68$305.0027.1%7.8%24.6%94.8%28.3%4.2%-0.1%-81.5M1.16B-18.5M1.929.3860,805116,610311,179355,554
2022-10-14$297.06$305.0026.9%7.8%24.7%93.7%26.9%4.3%0.2%-123.3M1.86B-18.7M2.1713.2342,52192,428324,964376,770
2022-10-17$302.66$305.0025.9%7.4%25.6%87.4%27.1%4.0%-0.8%-55.6M906.8M-18.6M2.1912.2529,83265,396300,251346,445
2022-10-18$305.20$305.0026.1%7.5%25.7%88.5%26.2%3.8%-1.3%-32.6M497.7M-19.0M1.8211.8336,45466,274305,241353,002
2022-10-19$303.71$305.0026.1%7.5%25.1%88.5%25.8%3.8%-1.0%-43.3M784.9M-18.9M2.0311.6535,58172,187311,883358,793
2022-10-20$303.27$305.0025.5%7.3%25.1%84.7%26.7%3.2%-0.6%-57.7M880.0M-18.8M2.0016.2735,62571,283314,127367,131
2022-10-21$310.97$305.0025.2%7.3%24.9%83.1%26.3%3.1%-1.1%74.0M-273.4M-19.6M1.367.0266,66790,493309,296374,357
2022-10-24$315.22$305.0025.2%7.5%24.9%82.9%27.0%3.1%-0.0%51.8M-804.1M-19.5M2.122.3435,58575,427270,531313,613
2022-10-25$318.48$305.0023.7%7.2%24.6%74.0%26.2%3.0%0.2%65.8M-1.17B-19.7M1.812.3040,14472,805278,694327,444
2022-10-26$319.10$305.0023.0%7.1%23.7%69.8%25.0%3.0%-0.2%66.8M-1.21B-19.5M2.322.0231,84173,786285,236337,708
2022-10-27$320.99$305.0022.5%6.9%22.3%66.8%24.2%2.8%0.0%82.0M-1.50B-19.5M2.232.4941,99293,784290,117347,353
2022-10-28$328.44$310.0022.0%6.7%22.2%63.7%24.1%3.0%0.0%230.1M-2.82B-19.9M2.003.3764,799129,597301,572364,573
2022-10-31$327.95$310.0021.8%6.8%21.5%62.4%24.3%2.8%-0.0%56.8M-1.95B-19.7M2.793.5630,68085,537282,143354,789