DIA Options History — September 2024

In September 2024, DIA traded between $404.58 and $423.16. ATM implied volatility averaged 13.1%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.3% (HV 20d: 10.8%). Max pain ranged from $402.00 to $416.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2024-09-27: Highest Volume — 111,805 contracts
  • 2024-09-06: Largest IV spike — 9.4% change
  • 2024-09-06: Highest IV Rank — 44.6%
  • 2024-09-06: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$415.24$404.58$423.16$409.13$422.41
Max Pain$410.60$402.00$416.00$402.00$416.00
ATM IV13.1%11.6%15.7%14.1%12.6%
Expected Move3.8%3.3%4.4%4.4%3.7%
HV 20d10.8%10.1%12.5%12.5%10.5%
HV 60d13.5%13.1%13.6%13.1%13.6%
IV Rank27.2%16.7%44.6%34.2%23.4%
IV Percentile78.6%61.1%97.2%90.1%75.4%
Term Structure0.1%-0.4%1.8%0.1%1.8%
VWIV13.7%11.7%17.9%15.0%13.1%
Skew 25d3.7%2.6%5.1%5.1%3.6%
Skew 10d7.7%5.1%11.4%10.5%6.8%
Call IV 25d11.6%10.4%13.8%12.2%11.0%
Put IV 25d15.2%13.1%18.4%17.2%14.5%
Bid-Ask Spread %7.604.3515.626.535.38
Gamma HHI0.060.030.260.030.05
Net GEX196.4M-43.9M689.9M73.5M104.2M
Net DEX-2.99B-5.11B-1.33B-2.16B-2.90B
Net VEX-17.9M-19.8M-16.3M-19.8M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.622.411.821.92
Total Volume56,558.6532,298111,80538,40557,401
Total OI527,858.05469,793574,461503,326515,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$409.13$402.0014.1%4.4%12.5%34.2%15.0%5.1%0.1%73.5M-2.16B-19.8M1.826.5313,61624,789208,465294,861
2024-09-04$410.41$402.0014.3%4.4%11.6%35.1%15.5%5.1%0.0%99.8M-2.54B-19.1M1.386.6914,73620,331212,274297,906
2024-09-05$407.94$410.0014.3%4.0%11.4%35.4%14.5%4.6%-0.0%24.7M-1.98B-19.4M1.298.7424,88532,098214,303301,799
2024-09-06$404.58$410.0015.7%4.4%11.1%44.6%15.7%4.6%-0.1%-43.9M-1.33B-19.7M1.669.0232,74354,254223,369310,160
2024-09-09$408.79$410.0014.9%4.2%11.5%39.6%17.9%4.2%-0.3%103.5M-2.36B-19.0M1.939.0616,86732,474211,892290,768
2024-09-10$407.81$409.0014.6%4.1%11.3%37.3%15.2%4.3%-0.4%56.9M-2.06B-19.2M1.9110.4911,82922,596218,073307,694
2024-09-11$408.40$409.0013.7%3.9%10.7%31.1%14.4%3.8%-0.2%66.7M-2.27B-18.6M1.357.9632,27843,505220,330310,534
2024-09-12$411.81$409.0012.5%3.5%10.8%23.1%14.4%3.1%-0.2%212.0M-3.14B-18.5M0.978.4826,84926,025229,552320,489
2024-09-13$415.06$409.0012.6%3.6%10.1%23.4%12.9%3.0%-0.1%373.5M-3.88B-18.2M0.928.3238,34235,209237,630324,773
2024-09-16$417.24$409.0013.0%3.7%10.2%26.4%13.1%3.2%-0.1%296.0M-4.06B-16.9M0.628.2430,18018,563221,632320,278
2024-09-17$416.57$410.0013.0%3.7%10.2%26.4%13.0%3.5%-0.0%303.1M-3.86B-17.5M1.238.6219,45523,854233,348325,816
2024-09-18$416.13$410.0013.5%3.9%10.2%29.4%13.7%3.8%-0.0%279.1M-3.70B-17.6M1.1215.6219,96122,429235,878332,221
2024-09-19$421.50$410.0012.2%3.5%11.0%21.2%12.8%2.7%0.0%689.9M-5.11B-16.3M0.698.9656,91139,090238,335336,126
2024-09-20$421.10$413.0011.8%3.4%10.8%18.5%11.8%2.6%-0.0%550.3M-3.22B-16.9M1.595.5322,60136,045204,329350,500
2024-09-23$421.00$414.0011.9%3.4%10.3%18.7%12.7%2.9%0.2%171.6M-3.05B-16.6M2.415.329,46822,830187,073282,720
2024-09-24$421.47$415.0011.7%3.3%10.3%17.3%11.7%3.0%0.2%160.9M-3.08B-16.4M1.175.0117,26220,211190,105296,165
2024-09-25$419.05$415.0011.7%3.4%10.6%17.8%12.0%3.1%0.3%30.6M-2.60B-16.8M2.064.3514,12929,119195,701303,526
2024-09-26$421.25$415.0011.6%3.3%10.6%16.7%11.8%2.8%0.3%148.4M-3.15B-16.4M1.704.7120,89035,543200,232313,596
2024-09-27$423.16$415.0012.6%3.6%10.5%23.7%12.8%4.3%0.3%227.0M-3.42B-17.1M1.815.0639,81371,992209,231330,467
2024-09-30$422.41$416.0012.6%3.7%10.5%23.4%13.1%3.6%1.8%104.2M-2.90B-17.2M1.925.3819,65837,743192,352322,658