DIA Options History — January 2024

In January 2024, DIA traded between $372.37 and $384.73. ATM implied volatility averaged 10.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.8% (HV 20d: 6.9%). Max pain ranged from $353.00 to $375.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2024-01-05: Highest Volume — 79,739 contracts
  • 2024-01-16: Largest IV spike — 11.8% change
  • 2024-01-17: Highest IV Rank — 21.3%
  • 2024-01-17: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$377.49$372.37$384.73$376.11$381.65
Max Pain$371.24$353.00$375.00$353.00$375.00
ATM IV10.7%10.0%11.7%11.3%11.0%
Expected Move3.1%2.9%3.4%3.1%3.3%
HV 20d6.9%6.0%7.5%6.9%7.5%
HV 60d9.8%8.1%10.5%10.5%8.1%
IV Rank12.3%6.0%21.3%17.3%14.7%
IV Percentile21.5%6.0%41.7%31.7%32.9%
Term Structure0.0%-0.4%0.2%0.1%0.1%
VWIV11.4%10.4%12.4%11.0%12.0%
Skew 25d2.3%1.7%2.9%2.3%1.8%
Skew 10d5.0%3.9%6.4%6.0%5.1%
Call IV 25d9.8%9.1%10.5%10.4%10.4%
Put IV 25d12.0%11.1%13.2%12.7%12.2%
Bid-Ask Spread %7.676.0812.587.6312.58
Gamma HHI0.050.030.080.080.04
Net GEX84.9M-101.8M194.3M160.3M54.3M
Net DEX-2.68B-3.38B-2.04B-3.07B-2.38B
Net VEX-20.4M-22.0M-18.7M-21.6M-21.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.452.481.752.32
Total Volume49,026.09526,64979,73943,11045,096
Total OI529,004.714413,018591,326542,804488,727

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$376.11$353.0011.3%3.1%6.9%17.3%11.0%2.3%0.1%160.3M-3.07B-21.6M1.757.6315,67427,436215,507327,297
2024-01-03$374.65$355.0011.4%3.1%7.1%18.4%10.9%2.5%-0.0%52.8M-2.62B-22.0M2.487.6320,04549,710223,205339,623
2024-01-04$375.31$372.0011.4%3.3%7.0%18.5%12.0%2.5%-0.1%95.2M-2.79B-21.8M1.556.9327,08042,039232,073344,381
2024-01-05$374.52$372.0011.0%3.2%7.0%15.3%12.0%2.4%0.0%89.5M-2.52B-21.6M1.756.5528,99450,745240,435350,891
2024-01-08$376.43$372.0011.0%3.2%7.1%14.8%12.2%2.4%0.1%153.8M-3.11B-20.7M1.566.3019,46030,285226,917336,248
2024-01-09$375.05$372.0010.6%3.1%7.3%11.2%11.3%2.5%0.2%87.2M-2.88B-20.7M1.196.2914,59917,360231,811339,891
2024-01-10$376.55$372.0010.4%3.0%7.4%9.7%11.6%2.4%0.2%178.4M-3.31B-20.3M1.156.4012,87414,847233,904341,436
2024-01-11$376.89$372.0010.1%2.9%7.2%7.5%10.6%1.9%0.1%168.4M-3.38B-19.7M1.357.8117,29923,269235,295342,007
2024-01-12$375.87$372.0010.1%2.9%6.0%6.9%10.8%1.9%0.2%16.9M-3.03B-20.2M0.826.8629,76524,341241,310348,579
2024-01-16$373.05$372.0011.3%3.2%6.5%17.2%11.6%2.5%-0.2%-46.7M-2.36B-19.9M1.246.0820,02124,778225,945333,133
2024-01-17$372.37$373.0011.7%3.4%6.5%21.3%12.0%2.7%-0.4%-101.8M-2.04B-20.7M2.386.7215,84737,736230,533337,896
2024-01-18$374.77$372.0011.0%3.2%6.8%14.9%11.5%2.9%-0.2%15.6M-2.76B-19.6M0.766.8130,13822,773235,046349,359
2024-01-19$378.44$372.0010.6%3.0%7.4%11.3%11.4%2.7%-0.2%176.4M-2.64B-18.8M0.666.9342,18327,930210,577353,690
2024-01-22$379.94$372.0010.5%3.1%6.8%10.3%11.1%2.4%0.1%70.8M-2.29B-19.0M1.447.6017,91825,825158,285254,733
2024-01-23$379.00$373.0010.0%2.9%6.8%6.2%10.4%2.1%0.1%23.3M-2.20B-18.7M1.088.9214,87716,019166,108265,215
2024-01-24$378.81$375.0010.0%2.9%6.8%6.0%10.9%2.0%0.1%35.9M-2.15B-19.5M2.459.4116,03239,301171,479272,275
2024-01-25$379.64$375.0010.2%3.0%6.6%7.8%11.0%1.9%0.1%46.0M-2.21B-20.0M0.458.1935,19115,996174,183293,316
2024-01-26$380.82$375.0010.2%3.0%6.7%8.2%10.7%1.7%0.0%194.3M-2.64B-21.0M1.308.5823,17330,072195,928297,063
2024-01-29$382.63$375.0010.5%3.1%6.7%10.9%12.1%1.9%0.1%136.5M-2.77B-21.0M1.958.489,02417,625185,796284,738
2024-01-30$384.73$375.0010.4%3.1%6.8%9.5%12.4%2.0%0.1%176.9M-3.05B-20.4M1.328.3215,57620,595185,605288,659
2024-01-31$381.65$375.0011.0%3.3%7.5%14.7%12.0%1.8%0.1%54.3M-2.38B-21.4M2.3212.5813,58131,515191,031297,696