DIA Options History — May 2024

In May 2024, DIA traded between $380.85 and $399.56. ATM implied volatility averaged 10.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.2% (HV 20d: 10.2%). Max pain ranged from $365.00 to $383.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2024-05-30: Highest Volume — 142,103 contracts
  • 2024-05-15: Largest IV drop — 9.2% change
  • 2024-05-01: Highest IV Rank — 37.7%
  • 2024-05-02: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$391.23$380.85$399.56$380.85$385.09
Max Pain$375.32$365.00$383.00$383.00$375.00
ATM IV10.4%9.1%12.0%12.0%10.9%
Expected Move3.0%2.6%3.7%3.7%3.2%
HV 20d10.2%9.1%11.4%11.4%11.3%
HV 60d10.4%9.9%10.9%10.6%10.7%
IV Rank17.7%0.0%37.7%37.7%25.8%
IV Percentile29.7%0.0%68.7%67.5%50.4%
Term Structure0.0%-0.3%0.4%0.0%-0.2%
VWIV10.8%8.3%13.3%12.9%11.3%
Skew 25d1.9%1.2%2.8%2.3%2.7%
Skew 10d4.8%2.9%7.6%5.3%6.8%
Call IV 25d9.6%8.6%11.0%10.8%9.7%
Put IV 25d11.5%9.9%13.3%13.2%12.4%
Bid-Ask Spread %7.465.7210.269.506.54
Gamma HHI0.090.040.270.040.06
Net GEX166.8M-108.8M457.7M34.6M299.2M
Net DEX-2.30B-3.88B-301.5M-1.16B-1.78B
Net VEX-16.6M-18.3M-15.0M-17.3M-18.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.252.431.110.48
Total Volume52,515.40918,863142,10340,178109,209
Total OI468,641436,286535,631447,758535,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$380.85$383.0012.0%3.7%11.4%37.7%12.9%2.3%0.0%34.6M-1.16B-17.3M1.119.5019,05821,120209,200238,558
2024-05-02$381.59$383.0011.9%3.7%10.5%36.8%13.3%2.1%0.0%52.1M-1.22B-17.7M0.858.9218,14115,458210,749247,559
2024-05-03$386.81$383.0010.9%3.2%11.4%22.6%11.5%1.9%0.1%262.3M-2.32B-17.3M1.3410.0923,78531,951218,105249,847
2024-05-06$387.72$365.0011.0%3.1%11.4%24.4%11.7%1.8%-0.1%188.7M-2.12B-17.1M0.777.5020,61515,799199,315239,971
2024-05-07$388.90$365.0010.6%3.0%11.4%19.1%10.7%1.7%0.3%253.1M-2.38B-16.5M1.367.9212,51017,037203,099246,319
2024-05-08$390.60$367.0010.4%3.1%11.0%16.8%12.0%1.5%0.3%323.0M-2.71B-16.6M1.115.7214,18015,803206,596254,527
2024-05-09$393.95$368.0010.4%3.0%11.3%16.5%11.1%1.6%0.3%432.3M-3.51B-16.8M0.697.6443,13229,730213,539262,176
2024-05-10$395.22$370.0010.3%3.0%9.6%15.0%10.8%1.4%0.4%457.7M-3.64B-16.7M1.578.3425,55640,083215,043274,745
2024-05-13$394.62$371.0010.9%3.1%9.2%24.7%11.2%1.7%-0.3%134.2M-2.75B-16.8M2.437.647,25417,597200,047273,510
2024-05-14$395.92$371.0010.6%3.0%9.2%20.4%11.0%1.7%-0.1%168.2M-3.02B-16.8M1.448.459,64613,895203,210277,410
2024-05-15$398.96$371.009.7%2.7%9.2%5.8%9.7%1.3%-0.2%304.1M-3.88B-15.5M1.7910.2615,29827,371204,828282,642
2024-05-16$399.48$375.009.5%2.7%9.2%4.0%9.9%1.2%-0.2%266.7M-3.80B-15.2M0.259.8185,17921,382203,729287,546
2024-05-17$399.56$375.009.1%2.6%9.2%0.0%9.7%1.3%0.0%315.9M-3.26B-15.0M1.046.9518,12218,853189,395294,040
2024-05-20$398.01$380.009.4%2.7%9.2%4.6%9.9%1.6%0.1%140.3M-2.84B-15.5M1.085.7410,56011,354180,159256,127
2024-05-21$398.58$380.009.3%2.6%9.1%1.8%8.3%1.5%0.1%180.3M-2.99B-15.2M1.425.827,78111,082185,083258,935
2024-05-22$396.13$380.009.6%2.8%9.5%7.4%9.6%1.6%0.0%86.2M-2.37B-15.9M1.556.0710,55116,325186,625262,106
2024-05-23$390.44$380.0010.4%3.0%10.1%19.3%10.3%2.1%-0.1%-56.2M-1.24B-15.9M1.096.0638,59542,114190,396263,329
2024-05-24$390.57$380.009.6%2.8%10.0%6.6%9.7%1.9%-0.1%15.5M-1.52B-16.6M1.297.0825,11932,392206,054268,442
2024-05-28$388.00$380.0010.3%3.0%10.4%17.5%10.4%2.3%-0.1%-22.4M-1.11B-16.8M0.896.1122,97520,512188,312265,972
2024-05-29$385.09$380.0011.0%3.2%10.0%26.7%11.3%2.8%-0.1%-58.5M-616.3M-17.6M1.165.8526,02030,092197,625272,032
2024-05-30$381.06$375.0011.7%3.4%10.6%36.7%11.3%2.8%-0.1%-108.8M-301.5M-17.5M0.786.0280,01962,084211,137276,432
2024-05-31$385.09$375.0010.9%3.2%11.3%25.8%11.3%2.7%-0.2%299.2M-1.78B-18.3M0.486.5473,63535,574250,127285,504