DIA Options History — June 2024

In June 2024, DIA traded between $385.39 and $394.56. ATM implied volatility averaged 10.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.3% (HV 20d: 9.3%). Max pain ranged from $375.00 to $390.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2024-06-20: Highest Volume — 145,976 contracts
2024-06-12: Largest IV drop — 8.0% change
2024-06-20: Highest IV Rank — 30.2%
2024-06-03: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$389.20	$385.39	$394.56	$385.39	$390.50
Max Pain	$385.89	$375.00	$390.00	$375.00	$390.00
ATM IV	10.6%	9.9%	11.2%	11.1%	10.6%
Expected Move	3.1%	2.8%	3.3%	3.3%	3.0%
HV 20d	9.3%	7.4%	10.3%	10.1%	7.4%
HV 60d	10.3%	9.9%	10.7%	10.7%	9.9%
IV Rank	21.7%	11.5%	30.2%	28.2%	21.9%
IV Percentile	40.2%	10.3%	62.3%	57.9%	42.1%
Term Structure	0.1%	-0.2%	0.2%	0.1%	0.2%
VWIV	10.8%	9.9%	12.1%	12.1%	10.4%
Skew 25d	2.0%	1.4%	2.4%	2.3%	2.0%
Skew 10d	4.7%	3.4%	5.8%	5.6%	3.7%
Call IV 25d	9.8%	9.3%	10.6%	9.9%	9.6%
Put IV 25d	11.7%	10.9%	12.4%	12.2%	11.5%
Bid-Ask Spread %	8.35	3.87	11.74	7.11	10.79
Gamma HHI	0.07	0.04	0.18	0.04	0.08
Net GEX	186.9M	-61.5M	504.8M	155.7M	-61.5M
Net DEX	-1.82B	-2.89B	-1.16B	-1.54B	-1.16B
Net VEX	-17.1M	-18.5M	-15.7M	-18.5M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.36	1.71	0.72	1.71
Total Volume	60,320.158	22,353	145,976	65,929	91,423
Total OI	514,607.789	416,764	559,787	506,803	503,453

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$385.39	$375.00	11.1%	3.3%	10.1%	28.2%	12.1%	2.3%	0.1%	155.7M	-1.54B	-18.5M	0.72	7.11	38,237	27,692	223,826	282,977
2024-06-04	$387.34	$380.00	10.8%	3.3%	10.3%	25.2%	11.8%	2.4%	0.0%	231.3M	-2.00B	-18.5M	0.81	7.31	30,778	24,864	228,693	290,905
2024-06-05	$388.06	$380.00	10.5%	3.2%	10.2%	19.5%	11.6%	2.3%	0.1%	283.3M	-2.20B	-17.8M	0.85	7.05	27,329	23,114	236,172	297,959
2024-06-06	$389.26	$386.00	10.3%	3.0%	10.2%	17.5%	10.5%	2.1%	0.2%	352.3M	-2.54B	-17.3M	0.69	10.17	30,268	20,837	237,288	303,982
2024-06-07	$388.64	$386.00	10.1%	2.9%	9.7%	14.6%	10.4%	1.9%	0.1%	420.9M	-2.22B	-17.4M	0.83	10.37	30,154	24,963	244,302	307,974
2024-06-10	$388.84	$386.00	10.6%	3.0%	9.6%	21.0%	10.3%	2.0%	-0.0%	119.6M	-1.93B	-17.0M	0.89	8.73	11,822	10,531	215,049	296,612
2024-06-11	$387.70	$386.00	10.8%	3.0%	9.6%	24.0%	10.6%	1.9%	-0.2%	59.8M	-1.66B	-17.3M	0.93	8.51	20,063	18,565	217,230	299,261
2024-06-12	$387.06	$386.00	9.9%	2.8%	9.5%	11.5%	10.1%	1.5%	0.0%	30.4M	-1.55B	-16.7M	0.65	10.38	45,033	29,248	220,892	303,976
2024-06-13	$387.07	$387.00	10.0%	2.9%	8.9%	12.2%	9.9%	1.4%	0.1%	40.4M	-1.58B	-16.7M	0.57	9.98	43,579	24,815	231,842	312,659
2024-06-14	$386.04	$387.00	10.7%	3.1%	8.8%	22.4%	10.6%	1.7%	0.1%	39.2M	-1.33B	-17.0M	1.03	10.12	35,553	36,586	243,985	315,802
2024-06-17	$388.76	$386.00	10.6%	3.1%	9.3%	21.9%	10.7%	1.7%	-0.0%	209.6M	-2.07B	-17.3M	0.53	11.74	21,271	11,342	227,404	303,647
2024-06-18	$389.04	$386.00	10.6%	3.0%	9.3%	21.7%	10.9%	1.5%	0.1%	242.6M	-2.15B	-16.8M	0.91	8.97	17,228	15,653	229,123	306,438
2024-06-20	$391.93	$387.00	11.2%	3.2%	9.8%	30.2%	11.2%	1.8%	0.1%	504.8M	-2.89B	-16.8M	0.36	10.50	107,543	38,433	230,821	314,831
2024-06-21	$391.34	$388.00	10.9%	3.1%	9.6%	25.6%	11.1%	1.6%	0.1%	480.7M	-1.58B	-16.3M	1.08	3.87	27,115	29,416	209,634	327,835
2024-06-24	$394.56	$388.00	10.8%	3.1%	8.5%	25.1%	10.8%	2.3%	0.1%	236.4M	-2.11B	-15.7M	1.08	5.27	34,656	37,588	170,359	246,405
2024-06-25	$390.88	$388.00	10.8%	3.1%	9.2%	24.8%	10.8%	2.3%	0.2%	74.3M	-1.25B	-16.9M	0.76	5.77	27,205	20,560	179,361	267,668
2024-06-26	$391.08	$390.00	10.8%	3.1%	8.9%	24.5%	10.3%	2.4%	0.1%	134.5M	-1.39B	-17.3M	1.69	5.86	22,661	38,323	189,446	269,998
2024-06-27	$391.39	$390.00	10.5%	3.0%	8.4%	20.7%	10.4%	2.2%	0.2%	-3.2M	-1.42B	-16.8M	0.86	6.05	27,717	23,918	193,498	296,241
2024-06-28	$390.50	$390.00	10.6%	3.0%	7.4%	21.9%	10.4%	2.0%	0.2%	-61.5M	-1.16B	-17.0M	1.71	10.79	33,792	57,631	200,278	303,175