DIA Options History — January 2023

In January 2023, DIA traded between $329.54 and $343.12. ATM implied volatility averaged 16.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.3% (HV 20d: 15.2%). Max pain ranged from $330.00 to $340.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2023-01-06: Highest Volume — 117,714 contracts
  • 2023-01-12: Largest IV drop — 10.8% change
  • 2023-01-03: Highest IV Rank — 37.4%
  • 2023-01-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$336.25$329.54$343.12$330.63$339.61
Max Pain$336.30$330.00$340.00$330.00$335.00
ATM IV16.5%14.4%18.9%18.9%15.8%
Expected Move4.9%4.2%5.5%5.5%5.0%
HV 20d15.2%13.4%16.7%15.6%13.4%
HV 60d17.3%16.3%18.6%18.6%16.3%
IV Rank19.6%5.7%37.4%37.4%14.4%
IV Percentile15.7%1.6%41.3%41.3%9.9%
Term Structure-0.0%-0.6%0.7%-0.2%0.0%
VWIV18.1%16.3%19.8%19.8%18.6%
Skew 25d3.3%2.4%3.7%3.5%3.6%
Skew 10d6.5%5.3%7.8%6.6%7.5%
Call IV 25d14.9%13.1%17.5%17.5%14.1%
Put IV 25d18.2%15.5%20.9%20.9%17.7%
Bid-Ask Spread %6.672.0022.122.292.46
Gamma HHI0.070.050.130.070.05
Net GEX-51.7M-293.9M211.5M-154.7M-63.1M
Net DEX-448.5M-2.50B846.2M350.4M-375.2M
Net VEX-18.2M-19.3M-17.0M-19.3M-18.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.741.012.802.371.87
Total Volume68,274.0537,465117,71460,47639,737
Total OI694,717.05539,428805,949705,385599,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$330.63$330.0018.9%5.5%15.6%37.4%19.8%3.5%-0.2%-154.7M350.4M-19.3M2.372.2917,92742,549276,379429,006
2023-01-04$330.75$330.0018.6%5.3%14.9%34.6%19.2%3.5%-0.2%-132.5M259.4M-18.9M1.802.4119,14334,382282,852430,465
2023-01-05$329.54$340.0018.6%5.3%14.6%35.1%19.4%3.6%-0.4%-172.9M602.3M-19.1M1.4222.1224,54234,849290,714435,651
2023-01-06$336.82$335.0017.2%5.1%16.7%25.2%17.8%3.2%-0.1%68.7M-1.21B-18.4M1.7419.0742,93374,781298,897443,513
2023-01-09$335.47$335.0017.9%5.3%16.7%30.2%19.5%3.2%0.5%-71.2M-601.5M-18.7M2.0618.6424,31150,137289,105442,218
2023-01-10$336.49$335.0017.0%5.0%16.7%23.8%18.5%3.0%0.6%-47.1M-799.1M-18.5M2.8017.389,85527,610297,584445,940
2023-01-11$338.95$340.0017.3%5.0%16.4%25.7%18.8%2.9%0.1%19.6M-1.39B-18.3M1.5517.4619,47030,118299,935442,997
2023-01-12$341.27$340.0015.4%4.6%16.4%12.8%18.5%2.7%0.7%109.9M-1.97B-17.5M1.323.5046,39561,428304,848452,661
2023-01-13$343.12$340.0014.4%4.2%16.3%5.7%16.7%2.4%0.4%211.5M-2.50B-17.0M1.842.8432,23859,202318,432463,430
2023-01-17$339.03$340.0015.5%4.4%14.7%12.5%16.6%2.9%-0.2%-34.5M-1.16B-17.1M1.552.6826,44841,023296,853452,377
2023-01-18$333.24$340.0016.5%4.7%15.7%19.5%18.3%3.4%-0.3%-232.1M279.2M-17.8M1.903.4332,74662,346307,394468,830
2023-01-19$331.38$340.0016.8%4.9%15.6%22.1%18.0%3.2%-0.6%-293.9M846.2M-18.1M1.492.3733,39049,827316,601488,223
2023-01-20$332.99$335.0015.9%4.6%15.5%15.6%17.0%3.6%-0.1%-56.8M763.3M-17.8M1.352.5436,90849,768309,522496,427
2023-01-23$335.85$335.0016.1%4.7%15.1%16.7%17.3%3.7%-0.1%-64.8M-85.3M-17.6M1.262.4530,45038,519210,481328,947
2023-01-24$336.57$335.0015.6%4.7%14.3%13.2%16.3%3.7%-0.1%-69.9M-152.5M-18.2M1.522.0622,53734,155220,888345,265
2023-01-25$336.78$335.0015.4%4.7%14.1%12.1%17.3%3.5%-0.2%-60.6M-193.0M-18.4M1.992.2215,44530,724231,651361,058
2023-01-26$338.64$335.0015.2%4.6%14.2%10.3%17.9%3.4%-0.3%404.4K-589.4M-18.2M1.642.0021,73635,539234,360368,988
2023-01-27$340.35$335.0015.0%4.6%13.4%9.0%16.6%3.4%-0.2%127.7M-1.06B-18.0M1.012.3335,62835,869242,464383,397
2023-01-30$337.49$336.0016.2%5.2%13.4%17.3%19.3%3.6%-0.0%-117.9M11.0M-18.7M2.353.1112,18028,636224,601361,861
2023-01-31$339.61$335.0015.8%5.0%13.4%14.4%18.6%3.6%0.0%-63.1M-375.2M-18.4M1.872.4613,83425,903229,411370,115