DIA Options History — March 2023

In March 2023, DIA traded between $318.19 and $334.67. ATM implied volatility averaged 17.7%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.8% (HV 20d: 14.9%). Max pain ranged from $325.00 to $335.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.69.

Notable Days

2023-03-10: Highest Volume — 118,354 contracts
2023-03-09: Largest IV spike — 18.1% change
2023-03-13: Highest IV Rank — 51.2%
2023-03-13: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$324.98	$318.19	$334.67	$327.27	$331.75
Max Pain	$332.04	$325.00	$335.00	$335.00	$326.00
ATM IV	17.7%	15.1%	20.8%	17.3%	15.4%
Expected Move	5.0%	4.3%	5.7%	5.1%	4.3%
HV 20d	14.9%	11.6%	16.9%	11.6%	16.6%
HV 60d	14.0%	13.5%	14.4%	13.6%	14.2%
IV Rank	28.6%	10.2%	51.2%	24.9%	11.6%
IV Percentile	34.1%	6.3%	64.3%	27.8%	8.3%
Term Structure	-0.1%	-1.2%	0.7%	-0.4%	0.7%
VWIV	18.5%	15.2%	22.0%	18.1%	16.9%
Skew 25d	5.4%	3.8%	6.9%	4.4%	4.9%
Skew 10d	11.1%	7.4%	15.0%	8.6%	10.4%
Call IV 25d	15.2%	12.9%	18.0%	15.1%	12.9%
Put IV 25d	20.6%	17.1%	24.4%	19.6%	17.7%
Bid-Ask Spread %	16.16	2.26	47.68	2.76	2.77
Gamma HHI	0.06	0.03	0.14	0.06	0.14
Net GEX	-167.9M	-327.4M	186.6M	-218.2M	186.6M
Net DEX	1.30B	-940.8M	3.17B	1.42B	-940.8M
Net VEX	-17.7M	-19.2M	-16.8M	-17.0M	-18.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.96	2.23	2.22	0.96
Total Volume	68,425.13	41,542	118,354	45,721	63,402
Total OI	560,586.826	484,776	627,419	551,524	566,035

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-03-01	$327.27	$335.00	17.3%	5.1%	11.6%	24.9%	18.1%	4.4%	-0.4%	-218.2M	1.42B	-17.0M	2.22	2.76	14,192	31,529	245,185	306,339
2023-03-02	$330.72	$333.00	16.3%	4.8%	11.9%	18.2%	17.1%	4.2%	-0.4%	-118.9M	680.4M	-17.0M	1.80	2.80	22,674	40,807	248,809	314,033
2023-03-03	$333.98	$332.00	15.3%	4.6%	12.3%	11.5%	16.6%	4.1%	-0.2%	-18.6M	-49.1M	-16.9M	1.45	5.11	25,473	36,980	254,912	327,918
2023-03-06	$334.67	$335.00	15.1%	4.3%	12.3%	10.2%	15.2%	3.8%	0.1%	-95.7M	145.1M	-16.8M	1.50	40.51	19,122	28,698	229,464	308,837
2023-03-07	$329.15	$335.00	16.3%	4.6%	13.6%	18.0%	18.9%	4.1%	0.0%	-204.7M	1.18B	-16.8M	2.02	44.59	18,398	37,202	239,448	312,687
2023-03-08	$328.59	$335.00	15.9%	4.5%	13.1%	15.8%	15.4%	3.9%	0.2%	-231.4M	1.31B	-16.9M	1.19	47.68	18,938	22,604	244,665	316,028
2023-03-09	$323.22	$335.00	18.8%	5.2%	14.1%	36.0%	19.6%	4.5%	-0.2%	-281.3M	2.25B	-17.2M	1.69	33.81	28,277	47,845	250,801	323,022
2023-03-10	$318.71	$335.00	20.2%	5.6%	14.6%	47.0%	19.7%	5.6%	-0.0%	-327.4M	3.17B	-17.4M	1.71	38.97	43,687	74,667	260,146	334,428
2023-03-13	$319.89	$335.00	20.8%	5.7%	14.6%	51.2%	21.5%	6.1%	-0.7%	-250.7M	2.75B	-17.4M	2.23	19.33	25,425	56,732	246,509	328,977
2023-03-14	$320.56	$335.00	19.1%	5.4%	13.8%	39.2%	18.9%	5.6%	-0.2%	-262.3M	2.63B	-17.0M	1.75	29.22	24,805	43,379	252,315	340,212
2023-03-15	$318.19	$335.00	20.5%	5.6%	13.9%	49.0%	22.0%	6.7%	-0.9%	-293.6M	3.16B	-17.3M	2.20	37.74	35,673	78,471	257,317	349,361
2023-03-16	$323.33	$335.00	18.0%	5.0%	15.5%	31.2%	19.4%	6.0%	-0.8%	-273.1M	1.84B	-17.3M	1.02	25.78	48,003	48,777	267,409	355,181
2023-03-17	$318.23	$335.00	20.4%	5.6%	16.1%	48.5%	21.6%	6.9%	-1.2%	-291.5M	3.17B	-17.7M	1.54	6.28	34,753	53,637	265,860	361,559
2023-03-20	$322.08	$335.00	19.1%	5.4%	16.9%	38.7%	19.3%	6.8%	-0.2%	-154.0M	1.35B	-17.6M	1.40	2.67	26,511	37,219	192,405	292,371
2023-03-21	$325.73	$330.00	17.1%	4.9%	16.6%	24.6%	18.4%	6.2%	-0.0%	-116.6M	606.5M	-18.1M	1.80	4.46	25,058	45,070	203,102	307,438
2023-03-22	$322.58	$330.00	17.3%	5.0%	16.7%	26.4%	17.9%	5.7%	0.0%	-181.1M	1.27B	-18.6M	1.46	7.57	26,351	38,484	210,542	326,699
2023-03-23	$321.01	$330.00	18.9%	5.4%	16.6%	37.9%	18.6%	6.2%	-0.1%	-189.9M	1.38B	-18.8M	1.44	5.07	31,471	45,292	217,722	323,591
2023-03-24	$321.99	$330.00	18.4%	5.3%	16.2%	34.1%	19.5%	6.1%	-0.1%	-123.4M	1.07B	-19.2M	1.73	4.00	26,683	46,084	233,146	332,880
2023-03-27	$324.66	$329.00	17.1%	4.9%	16.5%	24.6%	17.9%	5.7%	0.5%	-137.0M	636.8M	-18.9M	1.97	2.26	14,030	27,606	209,692	311,407
2023-03-28	$323.13	$326.00	17.3%	5.0%	16.4%	25.7%	17.9%	5.7%	0.4%	-162.6M	832.4M	-17.2M	1.76	2.45	15,251	26,898	213,169	317,133
2023-03-29	$326.84	$325.00	16.1%	4.6%	16.9%	17.2%	17.1%	5.2%	0.6%	-86.2M	184.8M	-18.7M	2.18	3.14	18,395	40,054	219,084	325,560
2023-03-30	$328.32	$326.00	16.0%	4.6%	16.6%	16.5%	19.1%	5.3%	0.6%	-30.7M	-142.3M	-18.9M	1.94	2.64	20,101	39,070	221,559	328,540
2023-03-31	$331.75	$326.00	15.4%	4.3%	16.6%	11.6%	16.9%	4.9%	0.7%	186.6M	-940.8M	-18.6M	0.96	2.77	32,319	31,083	229,775	336,260