DIA Options History — May 2023

In May 2023, DIA traded between $328.06 and $340.68. ATM implied volatility averaged 13.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.4% (HV 20d: 12.5%). Max pain ranged from $335.00 to $339.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2023-05-04: Highest Volume — 77,070 contracts
  • 2023-05-05: Largest IV drop — 18.5% change
  • 2023-05-04: Highest IV Rank — 25.7%
  • 2023-05-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$333.36$328.06$340.68$340.68$330.07
Max Pain$338.05$335.00$339.00$335.00$339.00
ATM IV13.9%12.6%16.4%12.7%13.4%
Expected Move4.1%3.6%4.9%3.6%4.0%
HV 20d12.5%11.0%13.6%11.0%11.3%
HV 60d13.7%13.3%14.2%13.4%13.3%
IV Rank9.2%0.5%25.7%1.1%6.0%
IV Percentile6.6%0.4%26.2%0.4%5.2%
Term Structure0.1%-0.9%0.8%0.2%-0.2%
VWIV15.5%13.0%21.9%13.4%16.3%
Skew 25d5.4%4.6%6.5%4.8%4.7%
Skew 10d11.6%9.8%13.5%9.8%10.5%
Call IV 25d11.6%10.1%13.9%10.6%11.3%
Put IV 25d17.0%15.4%19.8%15.4%16.1%
Bid-Ask Spread %7.613.2426.693.325.75
Gamma HHI0.050.030.070.040.05
Net GEX-161.4M-278.0M31.3M31.3M-153.8M
Net DEX640.5M-966.7M1.75B-966.7M1.01B
Net VEX-20.3M-21.1M-18.5M-18.5M-19.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.602.801.581.32
Total Volume51,678.63628,04877,07051,74754,092
Total OI599,766.545502,790652,225502,790605,370

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$340.68$335.0012.7%3.6%11.0%1.1%13.4%4.8%0.2%31.3M-966.7M-18.5M1.583.3220,04631,701196,367306,423
2023-05-02$336.55$335.0014.3%4.1%11.2%11.5%15.1%5.4%0.1%-90.0M-51.1M-19.6M2.123.2416,95835,907207,144316,048
2023-05-03$334.39$335.0015.0%4.4%11.1%16.2%15.2%5.5%0.1%-148.3M403.3M-20.0M1.804.0120,40536,774211,119327,665
2023-05-04$330.81$337.0016.4%4.9%11.6%25.7%21.9%5.9%0.1%-256.9M1.18B-20.5M1.6010.3329,65647,414218,102347,215
2023-05-05$336.79$336.0013.4%4.1%13.3%5.6%16.9%4.6%0.3%-66.2M-324.5M-20.2M1.4110.5029,66841,900228,872360,377
2023-05-08$336.21$337.0013.7%4.2%13.3%7.7%14.6%5.3%0.8%-83.8M-56.2M-20.2M2.028.8411,38223,029215,542351,827
2023-05-09$336.01$337.0014.4%4.4%13.2%12.3%14.7%5.5%0.8%-81.2M-11.3M-20.5M2.8010.5810,11128,275220,941366,031
2023-05-10$335.66$339.0013.7%4.2%13.1%8.0%15.6%5.3%0.8%-152.8M361.9M-20.8M1.657.6322,96437,892225,109385,098
2023-05-11$332.87$339.0013.8%4.1%12.7%8.6%15.9%5.2%0.7%-278.0M1.16B-21.0M0.996.6828,42928,153231,393397,429
2023-05-12$332.82$339.0013.6%4.1%12.6%7.3%15.8%5.2%0.7%-227.6M1.13B-21.1M1.355.4025,55734,613243,833408,392
2023-05-15$333.35$339.0013.8%4.0%12.6%8.1%16.3%5.8%-0.2%-206.7M872.4M-20.4M1.235.4414,70018,151225,707386,538
2023-05-16$330.89$339.0014.0%4.0%12.8%10.0%14.7%5.6%-0.3%-271.4M1.50B-20.2M1.1626.6919,90523,018231,106392,722
2023-05-17$334.46$339.0013.1%3.8%13.4%3.9%13.7%5.2%-0.1%-154.4M475.4M-20.8M0.8712.1325,90622,653240,217401,572
2023-05-18$335.90$339.0012.6%3.6%13.5%0.5%13.8%5.7%-0.9%-130.2M16.8M-20.1M0.6012.6838,49222,933240,935407,482
2023-05-19$334.25$339.0013.1%3.8%13.6%3.7%13.0%5.3%-0.4%-231.4M692.0M-20.7M1.375.3222,95931,388239,216412,255
2023-05-22$333.06$339.0013.3%3.9%13.5%4.9%14.6%5.5%0.2%-170.6M663.5M-20.1M1.094.4420,28222,077217,180366,982
2023-05-23$331.28$339.0014.1%4.2%13.3%10.7%15.2%5.9%0.1%-205.6M1.09B-20.8M1.516.2211,19316,855225,698375,144
2023-05-24$328.28$339.0015.3%4.6%13.3%18.2%15.3%6.5%0.0%-257.6M1.75B-20.8M1.054.3526,62128,029228,909379,111
2023-05-25$328.06$339.0014.8%4.5%11.7%15.3%15.2%6.2%0.1%-238.1M1.64B-20.9M1.434.1623,41133,366238,857383,461
2023-05-26$331.11$339.0013.6%4.1%12.0%7.2%16.7%5.4%0.2%-45.3M654.5M-20.4M0.886.1029,47125,953249,337388,244
2023-05-30$330.44$339.0014.0%4.2%12.0%9.4%17.0%5.2%-0.2%-132.8M905.3M-19.7M1.183.5620,44324,198226,223367,671
2023-05-31$330.07$339.0013.4%4.0%11.3%6.0%16.3%4.7%-0.2%-153.8M1.01B-19.2M1.325.7523,29630,796230,837374,533