DIA Options History — September 2023

In September 2023, DIA traded between $334.74 and $350.08. ATM implied volatility averaged 11.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.5% (HV 20d: 9.0%). Max pain ranged from $344.00 to $350.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2023-09-22: Highest Volume — 86,171 contracts
  • 2023-09-21: Largest IV spike — 10.4% change
  • 2023-09-26: Highest IV Rank — 25.8%
  • 2023-09-26: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$343.47$334.74$350.08$348.85$334.74
Max Pain$348.50$344.00$350.00$346.00$344.00
ATM IV11.6%9.6%14.2%10.1%13.4%
Expected Move3.3%2.8%4.1%2.8%3.9%
HV 20d9.0%8.2%9.7%9.7%8.5%
HV 60d9.1%8.7%9.3%9.2%8.9%
IV Rank10.0%0.0%25.8%0.3%21.1%
IV Percentile17.0%0.0%41.7%0.4%36.1%
Term Structure0.1%-0.1%0.4%0.4%0.2%
VWIV11.7%9.6%14.1%9.6%13.8%
Skew 25d3.0%2.1%3.8%2.3%3.3%
Skew 10d6.6%4.4%8.6%5.7%7.2%
Call IV 25d10.2%8.6%12.3%9.2%11.8%
Put IV 25d13.1%10.8%16.0%11.5%15.0%
Bid-Ask Spread %3.762.724.894.604.81
Gamma HHI0.040.030.120.050.07
Net GEX-13.1M-224.6M308.6M308.6M-188.1M
Net DEX-370.5M-1.76B942.9M-1.76B833.3M
Net VEX-19.1M-20.0M-18.1M-20.0M-19.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.682.271.842.27
Total Volume51,334.427,09386,17148,08976,728
Total OI563,752.05478,412625,989625,989570,950

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$348.85$346.0010.1%2.8%9.7%0.3%9.6%2.3%0.4%308.6M-1.76B-20.0M1.844.6016,91731,172274,032351,957
2023-09-05$347.84$350.0010.6%3.1%8.8%3.4%10.8%2.9%0.2%130.0M-1.15B-19.9M1.033.3020,02020,533255,033335,790
2023-09-06$345.19$350.0011.2%3.3%9.1%6.7%10.7%2.9%0.2%-31.7M-478.7M-19.6M0.804.1033,16226,563251,441342,202
2023-09-07$345.92$350.0011.2%3.3%9.1%6.7%11.9%2.9%0.1%7.8M-672.6M-19.4M1.353.9819,93726,996256,305339,932
2023-09-08$346.19$350.0010.8%3.1%9.2%4.4%11.0%2.6%0.1%37.6M-708.9M-19.3M1.473.5313,63220,019260,613346,387
2023-09-11$347.17$350.0010.6%3.1%9.0%3.2%11.6%2.8%0.1%79.4M-1.05B-18.4M1.343.3111,59915,494245,895337,080
2023-09-12$347.24$350.0010.9%3.1%9.0%4.8%11.2%2.8%0.2%71.3M-1.02B-18.7M0.943.2816,35815,383248,835340,403
2023-09-13$346.43$350.0010.5%3.0%8.4%2.7%11.3%2.6%0.1%752.8K-805.5M-18.3M1.203.8014,40217,243249,882344,404
2023-09-14$350.08$350.009.6%2.8%9.1%0.0%9.9%2.1%0.2%274.4M-1.73B-18.1M0.683.3343,02629,152255,868348,779
2023-09-15$345.88$349.0010.3%3.0%9.6%3.8%10.0%2.4%0.1%-224.6M-125.4M-18.6M1.343.2532,71443,717249,262360,459
2023-09-18$345.98$349.0010.7%3.1%9.5%6.4%11.5%2.8%0.1%31.6M-659.3M-18.5M0.722.7221,31915,286201,770276,642
2023-09-19$345.33$350.0010.8%3.1%9.6%7.0%11.0%2.9%0.0%9.2M-586.6M-19.0M1.133.3716,57118,649217,546283,813
2023-09-20$344.56$349.0011.3%3.2%9.2%9.5%11.1%3.1%0.1%9.5M-566.9M-19.0M1.403.6719,59927,407224,890284,255
2023-09-21$341.13$349.0012.5%3.6%9.6%16.0%12.3%3.2%0.0%-150.3M327.4M-19.3M1.294.1429,64938,380231,713290,672
2023-09-22$340.04$349.0012.5%3.6%9.1%16.3%12.3%3.3%-0.1%-151.1M398.9M-19.8M1.453.7935,18150,990245,530298,278
2023-09-25$339.47$348.0012.9%3.7%8.7%18.6%13.0%3.6%0.1%-69.0M233.2M-19.6M1.363.6317,86624,302232,157287,596
2023-09-26$336.08$347.0014.2%4.1%9.0%25.8%14.1%3.7%0.0%-125.9M761.4M-19.5M1.833.7919,71236,095240,942291,391
2023-09-27$334.85$346.0013.8%4.0%8.2%23.5%13.8%3.8%0.2%-178.3M942.9M-19.3M1.693.8124,32341,037247,656297,862
2023-09-28$336.41$344.0013.1%3.8%8.4%19.3%13.5%3.4%0.2%-102.5M403.9M-19.3M0.964.8923,26122,294256,674300,145
2023-09-29$334.74$344.0013.4%3.9%8.5%21.1%13.8%3.3%0.2%-188.1M833.3M-19.0M2.274.8123,49353,235265,407305,543