DIA Options History — October 2023

In October 2023, DIA traded between $323.51 and $340.00. ATM implied volatility averaged 14.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.1% (HV 20d: 10.2%). Max pain ranged from $335.00 to $343.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2023-10-13: Highest Volume — 110,992 contracts
  • 2023-10-13: Largest IV spike — 13.8% change
  • 2023-10-27: Highest IV Rank — 47.8%
  • 2023-10-27: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$333.10$323.51$340.00$333.65$330.11
Max Pain$339.09$335.00$343.00$343.00$335.00
ATM IV14.3%12.4%16.0%13.9%13.8%
Expected Move4.2%3.6%4.8%4.0%4.2%
HV 20d10.2%8.4%13.3%8.4%12.6%
HV 60d9.4%8.8%10.6%8.8%10.3%
IV Rank29.3%15.8%47.8%23.8%33.3%
IV Percentile46.8%26.6%66.3%41.3%42.1%
Term Structure-0.1%-0.6%0.4%-0.1%0.0%
VWIV14.5%12.5%16.6%14.6%14.7%
Skew 25d4.0%3.0%5.4%3.4%3.6%
Skew 10d8.6%6.2%11.9%7.4%7.6%
Call IV 25d12.4%11.0%14.1%12.3%12.0%
Put IV 25d16.4%14.0%19.1%15.7%15.6%
Bid-Ask Spread %3.992.446.384.073.09
Gamma HHI0.040.030.080.030.03
Net GEX-62.9M-320.6M114.6M-101.1M-62.8M
Net DEX488.7M-616.7M1.94B741.9M383.6M
Net VEX-18.7M-19.3M-18.0M-18.7M-18.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.832.571.632.02
Total Volume59,113.72731,690110,99243,36731,690
Total OI545,989.136487,299602,847523,244516,846

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$333.65$343.0013.9%4.0%8.4%23.8%14.6%3.4%-0.1%-101.1M741.9M-18.7M1.634.0716,48926,878238,962284,282
2023-10-03$329.62$342.0015.6%4.6%9.1%33.4%16.5%3.7%-0.1%-171.1M1.32B-18.6M1.394.6829,78441,290244,180290,780
2023-10-04$331.09$340.0014.6%4.2%9.3%27.9%15.0%3.5%-0.1%-120.3M856.0M-18.8M1.844.2318,87734,786260,736288,938
2023-10-05$331.42$341.0014.6%4.2%9.2%27.7%14.5%3.3%-0.1%-105.2M776.2M-18.7M1.724.5716,04827,661264,988294,107
2023-10-06$334.78$340.0013.5%3.9%10.1%21.8%13.6%3.1%-0.0%72.6M-90.2M-18.9M1.264.5237,27946,993272,990304,179
2023-10-09$335.50$340.0013.8%4.0%10.1%23.6%13.7%3.3%0.1%14.3M-15.3M-18.6M1.813.6815,05027,271242,913287,644
2023-10-10$337.49$340.0013.0%3.8%10.4%18.7%13.0%3.2%0.4%84.3M-389.8M-18.5M1.273.0021,71027,681246,007297,486
2023-10-11$337.99$340.0012.4%3.6%10.5%15.8%12.5%3.0%0.2%101.6M-410.8M-18.3M2.572.5012,34931,759252,559302,114
2023-10-12$336.46$340.0012.7%3.7%9.6%17.4%12.6%3.1%0.1%7.6M2.2M-18.1M1.102.8926,83729,391256,009310,776
2023-10-13$336.15$340.0014.5%4.2%8.8%27.2%14.7%4.3%0.0%-21.6M113.9M-18.8M1.664.7441,73969,253267,751317,742
2023-10-16$340.00$340.0013.1%3.8%9.9%20.2%13.3%4.2%-0.4%114.6M-616.7M-19.0M1.432.6823,04732,930245,496304,514
2023-10-17$339.29$340.0013.9%4.0%9.9%24.6%13.3%4.3%-0.5%68.8M-371.3M-19.2M1.642.4415,04224,688253,631317,868
2023-10-18$336.26$340.0014.9%4.3%10.3%32.4%15.1%4.6%-0.6%-83.1M284.2M-18.9M1.216.3817,49721,202257,606325,105
2023-10-19$333.83$340.0015.7%4.5%10.0%37.3%16.3%5.4%-0.6%-167.1M872.0M-18.9M1.304.4831,93041,656263,823326,660
2023-10-20$331.31$340.0015.4%4.5%10.3%35.1%14.3%5.0%-0.4%-179.6M1.36B-18.4M0.835.3646,35638,373274,181328,666
2023-10-23$329.71$339.0014.9%4.4%10.4%33.6%15.5%4.8%0.0%-118.0M1.06B-18.5M1.193.6523,26127,788238,059249,240
2023-10-24$331.93$337.0014.0%4.2%10.2%28.4%13.8%4.5%0.0%-60.6M458.7M-18.7M1.663.2814,39023,919250,226256,977
2023-10-25$330.50$337.0015.2%4.6%10.3%35.9%15.4%4.5%0.1%-110.0M759.8M-19.3M2.333.3119,67145,762254,501266,833
2023-10-26$327.89$336.0015.3%4.6%10.4%40.2%15.1%4.2%0.0%-185.5M1.27B-18.7M1.304.8330,20339,303259,341268,536
2023-10-27$323.51$335.0016.0%4.8%11.2%47.8%15.9%4.3%-0.0%-320.6M1.94B-18.0M1.685.6633,51756,430268,631267,453
2023-10-30$329.67$335.0014.7%4.5%13.3%39.3%16.6%4.0%0.0%-41.8M440.0M-18.5M1.413.6225,98536,737250,728241,697
2023-10-31$330.11$335.0013.8%4.2%12.6%33.3%14.7%3.6%0.0%-62.8M383.6M-18.8M2.023.0910,50421,186258,591258,255