DIA Options History — November 2023

In November 2023, DIA traded between $332.97 and $359.21. ATM implied volatility averaged 10.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 2.5% (HV 20d: 13.1%). Max pain ranged from $335.00 to $345.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2023-11-30: Highest Volume — 110,475 contracts
  • 2023-11-10: Largest IV drop — 9.2% change
  • 2023-11-01: Highest IV Rank — 25.1%
  • 2023-11-01: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$347.14$332.97$359.21$332.97$359.21
Max Pain$340.71$335.00$345.00$335.00$345.00
ATM IV10.6%9.6%12.7%12.7%9.9%
Expected Move3.1%2.8%3.9%3.9%3.0%
HV 20d13.1%9.7%14.8%12.9%10.1%
HV 60d11.2%10.5%11.6%10.5%11.4%
IV Rank8.6%0.2%25.1%25.1%3.0%
IV Percentile9.3%0.4%30.6%30.6%2.4%
Term Structure0.1%-0.1%0.6%0.1%0.1%
VWIV11.5%10.4%13.8%13.8%10.7%
Skew 25d2.5%2.1%3.2%3.2%2.3%
Skew 10d5.5%4.2%6.7%6.7%5.7%
Call IV 25d9.6%8.9%11.3%11.3%9.1%
Put IV 25d12.1%11.1%14.5%14.5%11.4%
Bid-Ask Spread %5.153.438.494.058.49
Gamma HHI0.070.030.220.030.08
Net GEX334.1M29.4M593.7M29.4M450.6M
Net DEX-2.38B-4.03B-297.4M-297.4M-4.03B
Net VEX-18.6M-19.5M-17.7M-18.4M-17.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.602.321.230.98
Total Volume41,352.38121,206110,47551,115110,475
Total OI540,125.619504,479572,252521,588539,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$332.97$335.0012.7%3.9%12.9%25.1%13.8%3.2%0.1%29.4M-297.4M-18.4M1.234.0522,95828,157262,294259,294
2023-11-02$338.08$337.0011.8%3.6%13.9%17.5%13.2%2.8%0.3%274.4M-1.46B-18.7M1.243.4327,99734,592268,379267,158
2023-11-03$340.82$338.0011.4%3.5%13.8%14.3%11.8%2.5%0.3%593.7M-2.18B-19.4M0.614.9142,20825,614281,161282,456
2023-11-06$340.57$338.0011.4%3.4%13.8%14.8%13.1%2.8%0.5%227.4M-1.60B-19.1M1.234.0312,53015,452270,145264,011
2023-11-07$341.98$338.0011.1%3.3%13.7%11.7%11.9%2.6%0.6%279.1M-1.90B-18.8M2.324.267,40117,184273,572268,502
2023-11-08$341.32$338.0010.9%3.3%13.7%10.5%12.0%2.7%0.5%220.8M-1.63B-19.3M1.994.659,49818,870275,544277,685
2023-11-09$338.90$338.0011.6%3.5%13.9%16.3%12.3%2.6%0.5%59.2M-920.2M-19.5M0.994.8619,54419,344276,855284,548
2023-11-10$342.93$338.0010.6%3.2%14.5%7.9%12.2%2.2%0.5%342.1M-1.98B-19.3M1.743.9222,50439,082282,875289,377
2023-11-13$343.72$339.0011.2%3.2%13.9%14.1%11.4%2.9%-0.1%261.7M-1.87B-18.9M1.443.7210,85515,584265,117278,208
2023-11-14$348.93$339.0010.6%3.1%14.8%9.2%11.1%2.2%-0.1%483.2M-3.18B-18.3M0.784.4643,41433,923266,071282,047
2023-11-15$350.39$340.0010.6%3.0%14.3%9.3%11.3%2.2%-0.1%540.4M-3.33B-19.0M0.845.5520,12616,969272,646289,920
2023-11-16$349.69$341.0010.2%2.9%14.0%5.4%10.4%2.3%-0.1%558.7M-3.07B-18.7M0.604.2029,22317,611274,183297,934
2023-11-17$349.13$342.0010.2%2.9%13.6%5.5%10.4%2.1%-0.0%270.4M-2.16B-19.2M1.335.1713,35117,755258,953305,554
2023-11-20$352.06$342.0010.1%2.9%13.4%4.1%10.6%2.6%0.0%347.0M-2.86B-18.2M0.873.9113,52111,760236,288268,191
2023-11-21$350.69$343.0010.1%2.9%13.6%4.6%10.4%2.3%-0.1%280.3M-2.49B-18.4M0.986.0710,71910,487238,183273,020
2023-11-22$352.70$344.009.8%2.8%13.4%2.0%10.4%2.2%-0.1%409.5M-2.93B-18.0M1.666.8610,41617,311241,908275,710
2023-11-24$353.61$345.009.6%2.8%12.7%0.2%10.9%2.3%-0.1%431.0M-3.06B-17.9M0.856.3512,64110,734243,464285,389
2023-11-27$353.57$345.009.8%2.9%11.1%1.6%11.2%2.5%0.1%314.9M-2.94B-17.7M2.315.987,41717,161240,601271,421
2023-11-28$354.14$345.009.8%2.9%9.7%1.5%10.6%2.2%0.1%318.8M-2.98B-18.2M1.405.909,94813,946241,564281,586
2023-11-29$354.55$345.009.8%3.0%9.7%1.6%11.0%2.2%0.1%322.5M-3.07B-18.1M1.367.3012,76517,353243,803287,215
2023-11-30$359.21$345.009.9%3.0%10.1%3.0%10.7%2.3%0.1%450.6M-4.03B-17.8M0.988.4955,66954,806245,779294,027