DIA Options History — November 2022

In November 2022, DIA traded between $320.76 and $344.83. ATM implied volatility averaged 19.7%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.2% (HV 20d: 19.9%). Max pain ranged from $318.00 to $330.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2022-11-04: Highest Volume — 192,702 contracts
  • 2022-11-10: Largest IV drop — 8.2% change
  • 2022-11-01: Highest IV Rank — 63.8%
  • 2022-11-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$334.42$320.76$344.83$326.70$344.83
Max Pain$325.57$318.00$330.00$318.00$330.00
ATM IV19.7%16.7%22.2%22.0%16.7%
Expected Move5.9%4.9%6.9%6.9%5.4%
HV 20d19.9%18.2%22.0%20.6%19.8%
HV 60d22.4%21.6%23.4%21.8%22.5%
IV Rank45.0%21.8%63.8%63.8%21.8%
IV Percentile46.3%21.8%69.0%67.5%21.8%
Term Structure0.2%-0.7%1.7%-0.1%0.2%
VWIV21.7%18.7%25.2%25.2%20.5%
Skew 25d3.3%2.1%4.2%2.7%3.6%
Skew 10d7.1%4.0%10.5%5.0%8.2%
Call IV 25d18.3%15.2%20.8%20.8%15.3%
Put IV 25d21.6%18.9%24.1%23.5%18.9%
Bid-Ask Spread %5.501.7611.263.033.06
Gamma HHI0.050.040.060.050.05
Net GEX9.5M-152.6M137.4M37.5M73.2M
Net DEX-2.06B-3.79B-269.3M-1.64B-2.90B
Net VEX-20.3M-21.8M-18.8M-20.1M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.381.293.313.032.07
Total Volume137,282.90551,022192,702106,772126,629
Total OI738,951.381659,061802,730659,061791,591

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$326.70$318.0022.0%6.9%20.6%63.8%25.2%2.7%-0.1%37.5M-1.64B-20.1M3.033.0326,50280,270290,861368,200
2022-11-02$322.77$319.0021.9%6.7%21.3%63.0%23.9%2.5%0.0%-36.3M-843.6M-20.5M2.716.2146,415125,812294,034382,820
2022-11-03$320.76$325.0021.6%6.5%20.7%61.5%23.0%2.2%-0.0%-152.1M-269.3M-20.2M2.6511.2647,937127,189301,951417,126
2022-11-04$323.72$325.0020.6%6.3%18.2%55.2%22.2%2.1%-0.0%-69.5M-1.20B-20.0M1.639.2973,278119,424317,636414,062
2022-11-07$328.36$325.0020.8%6.3%18.4%55.0%23.1%2.5%1.3%56.6M-1.84B-19.9M2.077.7539,81682,361301,104380,951
2022-11-08$332.59$325.0021.8%6.6%18.4%60.5%24.1%3.3%1.1%79.0M-2.54B-20.9M1.998.2361,040121,760313,217399,766
2022-11-09$325.62$325.0022.2%6.8%20.8%61.2%24.4%3.3%1.3%-35.4M-894.8M-21.7M2.367.8243,672103,101320,160429,830
2022-11-10$336.71$325.0020.3%6.2%22.0%49.2%23.4%3.0%1.7%113.0M-3.39B-20.8M2.145.3760,234129,168326,335440,048
2022-11-11$338.21$325.0019.2%5.8%21.0%41.5%21.4%3.4%1.4%137.4M-3.79B-20.6M2.166.8256,489122,014335,856459,186
2022-11-14$337.45$325.0020.2%5.9%20.7%48.0%20.9%3.9%-0.7%71.3M-2.97B-20.2M2.506.8235,24988,280311,089432,362
2022-11-15$336.32$325.0020.3%5.9%20.9%49.0%21.0%3.9%-0.5%29.0M-2.64B-20.2M2.867.7936,165103,502313,099446,230
2022-11-16$336.11$325.0020.3%5.8%20.7%48.6%21.1%3.7%-0.4%-8.4M-2.51B-20.1M2.159.2435,75376,934318,870467,066
2022-11-17$335.34$325.0020.1%5.8%20.7%45.4%21.0%3.6%-0.3%-19.7M-2.28B-20.5M1.296.8363,73981,932328,200474,530
2022-11-18$337.40$325.0019.6%5.7%19.4%42.3%20.2%3.4%-0.6%18.2M-1.84B-19.8M1.672.7052,75788,013302,425478,698
2022-11-21$336.91$325.0018.8%5.5%19.1%36.8%20.4%3.3%-0.4%1.5M-1.66B-19.8M2.252.0530,56268,765284,916384,557
2022-11-22$341.00$325.0017.6%5.2%19.2%28.2%19.2%3.4%-0.3%84.7M-2.49B-18.8M3.312.9531,222103,406290,114394,928
2022-11-23$341.77$330.0016.8%4.9%19.2%22.5%18.7%3.9%-0.2%27.7M-2.40B-19.9M3.302.4837,030122,316296,630425,394
2022-11-25$343.69$330.0017.3%5.1%19.2%26.2%20.2%4.2%-0.3%71.8M-2.69B-20.5M2.881.7613,14837,874308,454453,139
2022-11-28$338.40$330.0018.4%5.7%18.9%33.6%21.7%4.2%0.2%-128.2M-1.31B-20.4M3.212.0525,13080,658295,421451,838
2022-11-29$338.12$330.0018.0%5.7%18.9%30.9%20.4%4.0%0.1%-152.6M-1.10B-21.8M1.802.0527,65349,742304,318470,967
2022-11-30$344.83$330.0016.7%5.4%19.8%21.8%20.5%3.6%0.2%73.2M-2.90B-20.1M2.073.0641,20285,427313,591478,000