DIA Options History — June 2023

In June 2023, DIA traded between $330.65 and $344.96. ATM implied volatility averaged 11.0%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.8% (HV 20d: 11.8%). Max pain ranged from $335.00 to $340.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2023-06-02: Highest Volume — 134,002 contracts
2023-06-12: Largest IV spike — 8.9% change
2023-06-15: Highest IV Rank — 6.1%
2023-06-01: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$339.30	$330.65	$344.96	$330.65	$344.34
Max Pain	$338.62	$335.00	$340.00	$339.00	$340.00
ATM IV	11.0%	10.1%	12.6%	12.6%	10.1%
Expected Move	3.2%	2.7%	3.7%	3.7%	2.7%
HV 20d	11.8%	11.2%	13.1%	11.2%	12.2%
HV 60d	12.2%	11.3%	13.7%	12.9%	11.4%
IV Rank	1.5%	0.0%	6.1%	0.3%	0.0%
IV Percentile	0.9%	0.0%	2.8%	0.4%	0.0%
Term Structure	0.2%	-0.2%	0.4%	0.0%	0.2%
VWIV	11.3%	9.5%	13.8%	13.8%	9.5%
Skew 25d	2.8%	2.0%	4.4%	4.4%	2.0%
Skew 10d	6.3%	4.2%	9.9%	9.9%	4.2%
Call IV 25d	9.9%	9.1%	10.9%	10.9%	9.2%
Put IV 25d	12.7%	11.2%	15.3%	15.3%	11.2%
Bid-Ask Spread %	5.18	3.15	9.14	4.11	3.15
Gamma HHI	0.07	0.03	0.17	0.06	0.08
Net GEX	25.4M	-143.6M	413.5M	-124.3M	307.1M
Net DEX	-925.6M	-2.75B	849.0M	849.0M	-1.97B
Net VEX	-18.2M	-19.0M	-17.3M	-18.8M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.51	1.53	0.82	0.54
Total Volume	55,792.19	27,324	134,002	54,675	64,438
Total OI	612,055.333	515,912	696,727	616,872	580,555

Daily Data (21 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
2023-06-01	$330.65	$339.00	12.6%	3.7%	11.2%	0.3%	13.8%	4.4%	0.0%	-124.3M	849.0M	-18.8M	0.82	4.11	30,119	24,556	236,988	379,884
2023-06-02	$338.06	$339.00	11.7%	3.5%	13.1%	0.0%	13.4%	3.0%	-0.1%	97.6M	-1.43B	-19.0M	0.62	4.48	82,705	51,297	243,144	383,103
2023-06-05	$336.40	$335.00	11.8%	3.5%	11.7%	1.0%	12.1%	3.3%	0.3%	-71.0M	-432.7M	-18.8M	1.15	9.14	20,681	23,808	233,050	383,335
2023-06-06	$336.06	$335.00	11.3%	3.3%	11.6%	0.0%	12.8%	2.9%	0.3%	-77.6M	-361.6M	-18.3M	1.24	6.70	21,482	26,625	239,128	388,439
2023-06-07	$337.06	$335.00	11.0%	3.3%	11.7%	0.0%	12.1%	2.9%	0.2%	-31.4M	-665.8M	-18.6M	0.57	8.34	33,355	18,958	248,029	400,622
2023-06-08	$339.00	$336.00	10.6%	3.2%	11.8%	0.0%	11.2%	2.8%	0.2%	63.6M	-1.17B	-18.7M	1.53	4.28	26,760	40,948	253,894	407,290
2023-06-09	$339.53	$337.00	10.5%	3.1%	11.4%	0.0%	11.1%	2.8%	0.3%	79.9M	-1.35B	-18.7M	0.86	4.46	35,716	30,817	259,765	432,241
2023-06-12	$341.04	$337.00	11.5%	3.3%	11.4%	5.5%	11.9%	3.3%	-0.1%	16.3M	-1.46B	-18.5M	0.73	5.19	20,727	15,111	243,400	417,317
2023-06-13	$342.24	$338.00	11.3%	3.2%	11.5%	4.2%	11.3%	2.4%	-0.1%	61.8M	-1.89B	-17.9M	0.89	6.07	26,885	23,866	246,840	420,708
2023-06-14	$339.99	$340.00	11.0%	3.2%	11.4%	2.7%	11.7%	2.7%	0.2%	-143.6M	-1.13B	-18.2M	1.43	5.62	23,946	34,149	249,006	430,116
2023-06-15	$344.96	$340.00	11.6%	3.3%	11.9%	6.1%	12.2%	2.7%	-0.2%	413.5M	-2.75B	-17.9M	0.51	4.69	67,898	34,392	255,590	441,137
2023-06-16	$343.42	$340.00	10.7%	3.1%	12.0%	0.7%	10.7%	2.1%	0.2%	190.4M	-1.29B	-17.6M	1.22	3.31	25,840	31,648	234,090	451,933
2023-06-20	$340.82	$340.00	11.3%	3.3%	12.2%	4.7%	11.3%	2.8%	0.2%	3.7M	-718.1M	-17.8M	1.37	4.79	24,368	33,473	191,436	324,476
2023-06-21	$339.69	$340.00	10.7%	3.1%	12.2%	1.1%	11.3%	2.6%	0.3%	-15.8M	-552.2M	-18.1M	1.49	5.10	17,019	25,350	200,667	336,508
2023-06-22	$339.13	$340.00	10.4%	3.0%	12.0%	0.0%	10.1%	2.6%	0.3%	-86.3M	-418.1M	-18.6M	0.83	6.59	23,203	19,197	206,090	343,525
2023-06-23	$337.54	$340.00	10.4%	3.0%	11.6%	0.0%	10.0%	2.9%	0.2%	-139.6M	-86.1M	-18.0M	0.64	6.76	31,167	19,811	213,095	351,601
2023-06-26	$337.55	$340.00	10.8%	3.0%	11.6%	2.5%	10.5%	3.1%	0.4%	-53.9M	-310.4M	-18.2M	1.47	5.45	12,134	17,863	207,848	336,409
2023-06-27	$339.42	$340.00	10.5%	2.9%	11.3%	0.8%	10.1%	2.8%	0.3%	24.5M	-776.3M	-18.0M	0.99	3.73	13,752	13,572	212,370	341,370
2023-06-28	$337.86	$340.00	10.7%	2.9%	11.5%	1.5%	10.5%	2.8%	0.2%	-57.4M	-441.3M	-17.7M	1.04	3.26	16,642	17,371	214,432	345,935
2023-06-29	$340.56	$340.00	10.4%	2.8%	11.7%	0.1%	10.0%	2.5%	0.3%	75.0M	-1.08B	-17.5M	0.59	3.56	31,400	18,587	219,580	348,216
2023-06-30	$344.34	$340.00	10.1%	2.7%	12.2%	0.0%	9.5%	2.0%	0.2%	307.1M	-1.97B	-17.3M	0.54	3.15	41,951	22,487	227,115	353,440