DIA Options History — December 2022

In December 2022, DIA traded between $327.00 and $344.70. ATM implied volatility averaged 17.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.3% (HV 20d: 16.4%). Max pain ranged from $330.00 to $335.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2022-12-02: Highest Volume — 161,581 contracts
  • 2022-12-13: Largest IV drop — 10.4% change
  • 2022-12-12: Highest IV Rank — 44.9%
  • 2022-12-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$334.92$327.00$344.70$344.70$330.74
Max Pain$330.95$330.00$335.00$330.00$330.00
ATM IV17.8%16.1%20.0%16.5%17.9%
Expected Move5.2%4.8%5.6%5.3%5.2%
HV 20d16.4%12.7%19.6%19.0%15.5%
HV 60d20.6%18.9%22.4%22.4%18.9%
IV Rank29.4%17.5%44.9%20.5%30.1%
IV Percentile29.4%17.5%48.4%21.4%27.0%
Term Structure0.3%-0.5%0.9%0.3%0.8%
VWIV18.8%17.3%20.9%19.6%19.2%
Skew 25d3.6%3.2%4.2%3.3%3.6%
Skew 10d7.6%5.9%9.1%8.8%7.0%
Call IV 25d16.2%14.5%18.4%15.3%15.9%
Put IV 25d19.8%18.1%22.7%18.6%19.5%
Bid-Ask Spread %11.272.1140.955.212.41
Gamma HHI0.050.040.080.040.06
Net GEX-113.9M-299.0M107.4M101.9M-153.9M
Net DEX-437.6M-2.95B1.91B-2.95B337.4M
Net VEX-20.8M-22.5M-19.6M-21.2M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.992.381.252.00
Total Volume82,215.90548,151161,581116,87861,877
Total OI833,906.619736,986922,421826,191801,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$344.70$330.0016.5%5.3%19.0%20.5%19.6%3.3%0.3%101.9M-2.95B-21.2M1.255.2151,97664,902327,473498,718
2022-12-02$344.32$330.0016.1%5.2%18.8%17.5%19.5%3.6%0.3%107.4M-2.86B-21.3M1.982.6254,239107,342344,575533,728
2022-12-05$339.59$330.0017.3%5.1%19.6%26.0%19.1%3.8%0.8%-110.7M-1.30B-22.0M2.0911.7827,24256,991328,009537,911
2022-12-06$336.32$330.0018.3%5.4%19.6%32.8%19.6%3.6%0.6%-188.4M-456.9M-22.5M2.3829.4728,75068,391335,050545,833
2022-12-07$336.25$330.0018.4%5.5%19.1%34.0%19.8%3.6%0.7%-170.9M-516.8M-22.5M1.6825.8222,86538,371340,466542,258
2022-12-08$337.68$330.0018.0%5.1%17.3%30.7%18.7%3.8%0.6%-117.0M-1.00B-21.8M1.348.9526,31035,289347,297549,021
2022-12-09$336.19$330.0018.2%5.4%12.7%32.4%18.8%3.8%0.9%-168.6M-594.0M-21.7M2.297.1024,44056,073355,163554,470
2022-12-12$340.14$335.0020.0%5.6%13.3%44.9%20.9%4.2%-0.5%-32.7M-1.52B-21.1M1.0324.5628,16228,939333,395524,040
2022-12-13$342.37$335.0017.9%5.1%13.4%30.5%18.6%3.6%-0.1%36.7M-2.18B-20.5M1.3221.0040,96653,886342,922533,234
2022-12-14$339.85$335.0017.3%4.9%13.7%25.9%17.3%3.4%-0.3%-12.0M-1.53B-20.2M1.7640.9532,28456,877351,374545,372
2022-12-15$332.34$335.0018.3%5.3%15.9%33.2%18.3%3.8%0.1%-242.8M823.2M-20.9M0.9932.0767,92167,277360,449561,972
2022-12-16$329.53$330.0018.0%5.1%16.1%30.8%18.7%3.4%-0.2%-299.0M1.91B-21.2M1.852.8442,06877,964358,229556,210
2022-12-19$327.00$330.0018.4%5.3%16.1%33.9%19.0%3.7%0.2%-210.1M1.18B-20.2M1.883.7018,63435,082289,852447,134
2022-12-20$328.98$330.0017.5%5.0%16.3%27.4%18.2%3.2%-0.0%-185.0M616.1M-19.9M1.152.2822,44725,704293,476450,315
2022-12-21$333.24$330.0016.8%4.8%16.4%22.3%17.4%3.3%0.1%-81.2M-314.4M-19.8M1.602.1129,31946,823297,685453,361
2022-12-22$328.96$330.0018.1%5.2%16.9%31.5%18.9%3.6%0.1%-213.0M766.3M-20.5M1.393.1236,29650,488303,217469,149
2022-12-23$331.45$330.0016.9%4.8%17.0%23.4%17.7%3.3%0.1%-125.1M63.6M-20.1M1.313.7127,30635,767313,152473,635
2022-12-27$332.64$330.0017.8%5.1%16.3%29.3%18.1%3.6%0.8%-102.2M-131.4M-19.6M1.402.1925,51235,737294,986454,763
2022-12-28$328.70$330.0018.2%5.4%16.8%32.1%19.2%3.8%0.8%-175.8M692.5M-20.1M1.282.5424,00930,733307,405471,605
2022-12-29$332.28$330.0017.7%5.2%15.5%29.0%18.9%3.6%0.9%-50.0M-221.9M-19.9M1.682.1722,82838,447313,126470,584
2022-12-30$330.74$330.0017.9%5.2%15.5%30.1%19.2%3.6%0.8%-153.9M337.4M-20.1M2.002.4120,63941,238313,295488,130