DIA Options History — July 2023

In July 2023, DIA traded between $338.07 and $354.66. ATM implied volatility averaged 11.0%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.5% (HV 20d: 9.4%). Max pain ranged from $340.00 to $350.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2023-07-20: Highest Volume — 116,322 contracts
  • 2023-07-06: Largest IV spike — 9.2% change
  • 2023-07-06: Highest IV Rank — 10.9%
  • 2023-07-06: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$347.74$338.07$354.66$344.38$354.47
Max Pain$343.10$340.00$350.00$340.00$350.00
ATM IV11.0%10.4%11.9%10.4%10.8%
Expected Move3.1%2.8%3.5%2.8%3.0%
HV 20d9.4%7.9%10.7%9.6%7.9%
HV 60d11.3%10.5%11.6%11.4%10.5%
IV Rank5.2%1.9%10.9%2.3%4.0%
IV Percentile5.8%0.4%10.7%1.6%7.1%
Term Structure0.1%-0.2%0.2%0.1%-0.1%
VWIV11.4%10.4%12.9%11.1%10.4%
Skew 25d2.7%2.0%3.8%2.8%2.7%
Skew 10d6.1%4.3%7.9%6.6%6.2%
Call IV 25d9.9%9.3%10.6%9.4%9.5%
Put IV 25d12.6%11.7%14.2%12.2%12.3%
Bid-Ask Spread %11.254.5123.417.1016.57
Gamma HHI0.070.030.200.040.07
Net GEX181.0M-133.1M534.5M206.6M94.3M
Net DEX-1.73B-2.83B-237.7M-1.54B-2.03B
Net VEX-18.2M-20.1M-16.8M-17.5M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.503.060.841.40
Total Volume56,057.4515,585116,32215,58544,184
Total OI558,237.7519,203607,461520,217568,730

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$344.38$340.0010.4%2.8%9.6%2.3%11.1%2.8%0.1%206.6M-1.54B-17.5M0.847.108,4837,102202,019318,198
2023-07-05$342.88$340.0010.9%2.9%9.5%5.1%10.7%3.0%0.1%133.4M-1.16B-18.1M0.827.4912,88910,577204,784319,992
2023-07-06$339.24$340.0011.9%3.5%10.4%10.9%12.7%3.8%0.1%-44.2M-387.0M-18.4M1.1315.5825,75829,205207,672321,824
2023-07-07$338.07$340.0011.5%3.4%10.4%8.2%12.4%3.0%0.0%-80.2M-237.7M-18.1M0.7218.0027,54019,850218,628325,263
2023-07-10$339.21$340.0011.7%3.4%10.3%9.7%12.9%3.4%0.1%29.6M-521.7M-18.1M1.3820.299,59913,253214,330320,981
2023-07-11$342.21$340.0011.5%3.3%10.7%8.3%10.8%3.1%0.1%149.7M-1.10B-17.9M0.8423.4119,91616,698217,997325,093
2023-07-12$343.77$340.0010.7%3.1%10.7%3.7%11.8%2.7%0.1%250.1M-1.49B-17.8M0.5016.6635,76017,933222,214331,791
2023-07-13$344.55$340.0010.7%3.1%10.7%3.5%10.5%2.7%0.1%308.4M-1.65B-17.4M0.5416.0324,55413,295227,902338,662
2023-07-14$345.03$340.0010.4%3.0%10.4%1.9%11.7%2.0%0.1%534.5M-1.85B-17.6M0.648.2936,82123,684240,606342,748
2023-07-17$346.28$341.0010.7%3.1%9.1%3.5%11.0%2.4%0.1%223.5M-1.73B-17.4M0.554.5121,70912,028218,093324,567
2023-07-18$349.64$341.0010.7%3.1%9.5%3.7%11.1%2.3%-0.1%368.8M-2.52B-16.8M0.684.5840,30427,478224,228327,172
2023-07-19$350.87$342.0010.9%3.1%9.0%4.7%11.6%2.0%0.0%404.2M-2.65B-17.9M0.765.2142,53932,428236,601334,307
2023-07-20$352.18$343.0011.4%3.3%8.9%7.7%12.3%2.3%-0.2%435.8M-2.83B-18.2M0.677.4869,75846,564241,037350,099
2023-07-21$352.17$345.0010.8%3.1%8.8%4.1%11.4%2.3%0.1%338.7M-2.26B-18.6M2.337.1320,01646,628233,798369,714
2023-07-24$354.19$345.0011.1%3.2%8.5%6.1%11.2%2.7%0.1%164.3M-2.35B-18.3M2.056.4321,33543,712206,428312,775
2023-07-25$354.55$348.0011.0%3.2%8.5%5.3%11.9%2.7%0.0%123.0M-2.38B-18.6M2.497.2918,10545,028214,275331,910
2023-07-26$354.66$349.0010.4%3.0%8.4%1.9%10.9%2.9%0.2%128.6M-2.40B-18.7M2.6510.5115,98642,425219,560352,494
2023-07-27$352.18$349.0011.3%3.2%8.7%7.3%11.4%2.9%0.1%-133.1M-1.45B-19.6M3.0610.6328,12686,129224,841365,960
2023-07-28$354.18$349.0010.4%3.0%8.6%2.2%10.5%2.6%0.2%-16.8M-2.11B-19.1M1.9111.7321,89841,852232,013375,448
2023-07-31$354.47$350.0010.8%3.0%7.9%4.0%10.4%2.7%-0.1%94.3M-2.03B-20.1M1.4016.5718,41925,765220,430348,300