DIA Options History — December 2023

In December 2023, DIA traded between $361.14 and $377.54. ATM implied volatility averaged 10.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.6% (HV 20d: 8.4%). Max pain ranged from $345.00 to $351.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2023-12-01: Highest Volume — 135,261 contracts
  • 2023-12-12: Largest IV drop — 5.9% change
  • 2023-12-21: Highest IV Rank — 11.9%
  • 2023-12-01: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$369.69$361.14$377.54$362.93$376.72
Max Pain$347.70$345.00$351.00$346.00$351.00
ATM IV10.0%9.3%10.6%10.2%10.3%
Expected Move2.9%2.7%3.2%3.2%2.8%
HV 20d8.4%7.4%9.7%9.5%7.4%
HV 60d11.1%10.4%11.6%11.5%10.5%
IV Rank5.0%0.0%11.9%5.6%9.0%
IV Percentile5.8%0.0%17.9%5.2%11.9%
Term Structure0.3%-0.0%0.7%0.0%0.6%
VWIV10.7%9.4%11.6%11.5%9.8%
Skew 25d1.8%1.4%2.4%1.9%1.7%
Skew 10d4.6%3.1%5.8%4.9%4.4%
Call IV 25d9.3%8.6%10.0%9.7%9.5%
Put IV 25d11.1%10.0%12.0%11.6%11.2%
Bid-Ask Spread %8.246.3213.147.139.05
Gamma HHI0.070.040.130.080.05
Net GEX255.0M36.2M500.1M458.4M118.8M
Net DEX-4.09B-6.24B-3.21B-4.97B-3.72B
Net VEX-18.0M-20.9M-15.7M-18.0M-20.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.702.661.300.78
Total Volume59,796.326,279135,261135,26167,149
Total OI559,535.65462,441607,480586,808581,959

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$362.93$346.0010.2%3.2%9.5%5.6%11.5%1.9%0.0%458.4M-4.97B-18.0M1.307.1358,87776,384260,890325,918
2023-12-04$362.55$345.0010.1%3.0%9.5%4.6%11.6%1.8%0.4%319.0M-3.95B-18.1M2.666.4014,85139,569249,921318,598
2023-12-05$361.95$345.009.9%3.0%9.6%3.1%10.7%1.8%0.4%277.8M-3.82B-18.4M1.347.7215,97621,394254,879328,317
2023-12-06$361.14$345.0010.1%3.1%9.7%4.3%10.8%1.7%0.4%209.7M-3.63B-18.1M1.696.3214,22323,996254,641331,337
2023-12-07$361.90$345.0010.1%3.0%9.6%4.9%10.9%1.7%0.3%258.2M-3.79B-18.1M0.897.3417,86115,869258,798338,101
2023-12-08$363.56$345.009.7%2.9%8.8%1.3%10.5%1.5%0.5%500.1M-4.34B-17.5M0.966.8732,87031,584264,352341,098
2023-12-11$364.42$345.0010.0%2.9%8.3%3.6%10.6%1.7%-0.0%356.0M-4.27B-16.9M0.767.2923,01417,521251,147317,316
2023-12-12$366.38$345.009.4%2.8%8.3%0.0%10.7%1.6%0.1%423.7M-4.74B-16.6M0.827.0628,00523,033255,652325,002
2023-12-13$371.02$345.009.4%2.7%7.9%0.0%11.0%1.5%0.1%493.6M-5.83B-15.8M0.7011.8044,05931,039259,920333,917
2023-12-14$372.85$345.009.5%2.7%7.9%0.8%10.3%1.6%0.1%455.6M-6.24B-15.7M0.717.8663,73845,485264,765342,715
2023-12-15$372.13$350.009.3%2.7%7.9%0.0%9.4%1.4%0.1%254.5M-3.74B-15.7M0.937.9039,18336,410207,856357,459
2023-12-18$373.08$350.009.6%2.8%7.7%2.8%11.1%1.9%0.1%193.7M-3.80B-16.0M1.467.4414,89321,690190,596271,845
2023-12-19$375.00$350.009.7%2.8%7.5%4.0%9.9%1.8%0.3%238.2M-4.12B-16.1M2.167.7919,11541,310195,407281,887
2023-12-20$372.06$350.0010.2%2.9%8.1%8.3%10.2%1.8%0.4%36.2M-3.21B-18.0M1.929.3325,59049,184196,138307,633
2023-12-21$373.64$350.0010.6%3.0%8.0%11.9%11.3%1.8%0.1%68.6M-3.34B-19.1M2.006.9418,86937,673202,375327,014
2023-12-22$373.67$350.0010.5%3.0%8.1%10.9%11.0%1.9%0.1%40.0M-3.40B-19.9M1.498.5832,97548,986209,759345,374
2023-12-26$375.55$350.0010.4%2.9%8.1%9.8%11.1%2.4%0.7%96.8M-3.48B-20.9M1.099.9912,59213,687199,346337,799
2023-12-27$375.76$351.0010.2%2.8%8.1%7.8%10.7%2.2%0.5%108.0M-3.56B-20.4M1.8013.1411,17720,110199,937344,029
2023-12-28$377.54$351.0010.1%2.8%8.1%7.1%11.4%2.0%0.6%192.7M-3.82B-20.1M1.078.8322,17123,814201,257355,759
2023-12-29$376.72$351.0010.3%2.8%7.4%9.0%9.8%1.7%0.6%118.8M-3.72B-20.9M0.789.0537,66929,480217,329364,630