DIA Options History — August 2023

In August 2023, DIA traded between $341.63 and $355.91. ATM implied volatility averaged 12.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.5% (HV 20d: 8.7%). Max pain ranged from $340.00 to $350.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2023-08-02: Highest Volume — 95,145 contracts
2023-08-15: Largest IV spike — 12.2% change
2023-08-17: Highest IV Rank — 21.8%
2023-08-17: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$348.96	$341.63	$355.91	$355.91	$348.40
Max Pain	$344.52	$340.00	$350.00	$350.00	$346.00
ATM IV	12.2%	10.5%	13.9%	10.7%	10.6%
Expected Move	3.5%	3.0%	4.0%	3.0%	3.0%
HV 20d	8.7%	7.4%	10.2%	7.9%	9.8%
HV 60d	9.9%	9.2%	10.3%	10.3%	9.3%
IV Rank	12.0%	2.8%	21.8%	3.9%	3.1%
IV Percentile	17.4%	3.2%	29.4%	7.1%	4.4%
Term Structure	0.1%	-0.1%	0.4%	-0.0%	0.2%
VWIV	12.3%	10.5%	14.1%	10.5%	10.7%
Skew 25d	3.5%	2.6%	4.2%	2.8%	2.6%
Skew 10d	7.9%	5.2%	9.6%	6.9%	6.5%
Call IV 25d	10.6%	9.3%	12.1%	9.7%	9.5%
Put IV 25d	14.1%	12.0%	16.3%	12.5%	12.1%
Bid-Ask Spread %	5.27	2.83	10.42	6.84	3.84
Gamma HHI	0.04	0.03	0.08	0.08	0.05
Net GEX	31.7M	-148.3M	324.6M	176.2M	259.7M
Net DEX	-1.03B	-2.46B	257.4M	-2.46B	-1.57B
Net VEX	-20.6M	-21.3M	-18.9M	-20.1M	-19.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.74	2.07	2.07	1.19
Total Volume	53,623.435	30,291	95,145	37,438	54,782
Total OI	606,338.087	544,069	653,763	589,053	611,146

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
2023-08-01	$355.91	$350.00	10.7%	3.0%	7.9%	3.9%	10.5%	2.8%	-0.0%	176.2M	-2.46B	-20.1M	2.07	6.84	12,181	25,257	232,567	356,486
2023-08-02	$352.65	$350.00	11.9%	3.3%	8.6%	10.4%	12.8%	3.3%	-0.0%	-34.8M	-1.35B	-21.3M	1.59	10.42	36,774	58,371	235,670	366,345
2023-08-03	$352.31	$340.00	11.8%	3.5%	7.4%	10.1%	11.0%	3.4%	-0.1%	-48.1M	-1.36B	-21.2M	1.06	7.43	29,609	31,432	231,799	382,514
2023-08-04	$350.43	$340.00	12.7%	3.7%	7.6%	14.9%	13.4%	3.5%	-0.1%	-128.2M	-864.3M	-21.3M	1.68	8.90	24,698	41,542	239,524	389,217
2023-08-07	$354.16	$340.00	11.9%	3.5%	8.2%	10.4%	12.2%	3.8%	0.4%	159.7M	-1.97B	-20.5M	1.49	6.16	18,585	27,622	230,225	372,768
2023-08-08	$353.30	$341.00	12.0%	3.5%	7.9%	11.2%	12.4%	3.8%	0.2%	52.0M	-1.56B	-21.1M	1.48	9.37	18,484	27,300	235,861	385,958
2023-08-09	$352.02	$341.00	12.1%	3.5%	8.1%	11.8%	12.6%	3.7%	0.2%	60.8M	-1.52B	-20.4M	1.04	4.66	25,491	26,390	239,406	382,180
2023-08-10	$351.21	$343.00	12.7%	3.7%	8.1%	15.1%	12.4%	3.7%	0.2%	2.1M	-1.19B	-21.0M	1.32	4.75	28,679	37,912	244,478	386,617
2023-08-11	$352.85	$343.00	11.9%	3.5%	8.2%	10.6%	12.2%	3.3%	0.3%	71.1M	-1.64B	-20.4M	1.56	4.62	24,046	37,578	250,264	389,802
2023-08-14	$352.85	$344.00	11.6%	3.4%	8.2%	9.1%	12.3%	3.4%	0.1%	115.6M	-1.76B	-20.7M	1.32	3.27	13,048	17,243	241,595	370,672
2023-08-15	$349.33	$344.00	13.1%	3.8%	8.4%	17.1%	12.8%	3.7%	0.1%	-10.9M	-862.1M	-20.6M	1.31	5.41	20,621	27,078	246,333	374,694
2023-08-16	$348.17	$345.00	13.0%	3.7%	8.4%	16.9%	12.4%	3.7%	0.1%	-17.2M	-554.9M	-21.2M	1.06	4.34	26,478	28,102	253,402	382,098
2023-08-17	$344.94	$346.00	13.9%	4.0%	8.8%	21.8%	14.1%	4.2%	0.2%	-104.3M	257.4M	-21.0M	1.01	4.80	28,451	28,652	254,587	385,400
2023-08-18	$345.55	$346.00	13.0%	3.7%	8.8%	16.9%	14.0%	3.9%	0.3%	-77.4M	151.4M	-20.9M	1.43	5.74	19,500	27,870	263,247	390,516
2023-08-21	$345.20	$346.00	13.1%	3.7%	8.5%	17.2%	12.2%	4.1%	-0.0%	-64.4M	-266.4M	-20.7M	0.87	3.49	30,251	26,262	210,079	333,990
2023-08-22	$342.69	$346.00	13.4%	3.8%	8.7%	19.4%	13.9%	4.2%	-0.1%	-114.2M	112.4M	-21.1M	1.23	2.84	17,629	21,669	225,881	341,349
2023-08-23	$344.91	$346.00	12.2%	3.5%	9.1%	12.4%	12.4%	3.9%	0.0%	-2.7M	-527.1M	-20.9M	0.95	2.83	18,087	17,268	236,227	344,640
2023-08-24	$341.63	$346.00	12.9%	3.7%	9.4%	16.4%	13.0%	3.9%	0.1%	-148.3M	194.9M	-20.9M	1.21	5.40	25,573	30,859	238,729	349,683
2023-08-25	$343.96	$345.00	12.0%	3.4%	9.5%	11.1%	11.6%	3.5%	0.1%	-13.2M	-499.0M	-20.7M	1.94	3.81	26,661	51,806	247,128	350,857
2023-08-28	$345.56	$345.00	11.6%	3.3%	9.7%	8.6%	11.5%	3.5%	0.3%	95.2M	-949.6M	-20.0M	1.06	3.25	20,811	21,974	237,827	325,312
2023-08-29	$348.69	$345.00	10.9%	3.1%	10.2%	5.1%	10.9%	3.1%	0.2%	175.8M	-1.55B	-18.9M	0.74	2.84	31,911	23,701	245,254	334,741
2023-08-30	$349.25	$346.00	10.5%	3.0%	9.8%	2.8%	11.1%	2.7%	0.3%	324.6M	-1.91B	-20.2M	1.17	6.19	20,770	24,331	258,076	340,632
2023-08-31	$348.40	$346.00	10.6%	3.0%	9.8%	3.1%	10.7%	2.6%	0.2%	259.7M	-1.57B	-19.9M	1.19	3.84	25,053	29,729	264,189	346,957