DIA Options History — November 2024

In November 2024, DIA traded between $418.18 and $451.16. ATM implied volatility averaged 12.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 2.6% (HV 20d: 15.3%). Max pain ranged from $390.00 to $424.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2024-11-26: Highest Volume — 92,907 contracts
  • 2024-11-06: Largest IV drop — 19.0% change
  • 2024-11-04: Highest IV Rank — 51.5%
  • 2024-11-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$437.38$418.18$451.16$420.41$451.16
Max Pain$403.90$390.00$424.00$424.00$420.00
ATM IV12.7%11.1%16.7%16.5%11.2%
Expected Move3.8%3.4%5.5%5.5%3.4%
HV 20d15.3%10.4%16.7%10.8%15.6%
HV 60d12.1%10.2%12.7%10.2%12.3%
IV Rank24.1%13.7%51.5%50.1%13.8%
IV Percentile69.8%49.6%98.4%98.0%49.6%
Term Structure-0.1%-0.7%0.5%-0.3%-0.1%
VWIV13.9%12.1%20.1%19.0%12.6%
Skew 25d3.1%2.1%4.8%4.8%2.8%
Skew 10d7.2%5.0%10.9%9.5%5.4%
Call IV 25d11.4%9.7%14.3%14.2%10.1%
Put IV 25d14.5%12.9%19.1%19.0%12.9%
Bid-Ask Spread %7.624.3612.497.665.14
Gamma HHI0.080.030.170.040.13
Net GEX188.3M-82.8M468.9M-82.8M156.4M
Net DEX-3.94B-5.43B-1.38B-1.77B-5.10B
Net VEX-17.9M-20.4M-16.0M-20.4M-18.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.723.231.260.98
Total Volume49,062.325,53592,90743,48028,553
Total OI587,372.35519,289653,310592,714630,739

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$420.41$424.0016.5%5.5%10.8%50.1%19.0%4.8%-0.3%-82.8M-1.77B-20.4M1.267.6619,24324,237219,185373,529
2024-11-04$418.18$390.0016.7%4.7%10.4%51.5%20.1%4.8%0.2%-63.7M-1.38B-20.4M0.979.7912,97612,559202,050360,044
2024-11-05$421.33$390.0015.9%4.5%10.6%46.2%19.1%4.6%-0.3%3.5M-1.98B-19.4M0.9610.8518,31417,590206,415363,904
2024-11-06$437.26$395.0012.9%3.9%16.7%25.6%14.5%2.8%0.1%395.4M-5.10B-16.6M0.8810.7246,64740,866216,428374,310
2024-11-07$437.93$395.0011.7%3.5%16.6%17.7%13.0%2.2%0.2%366.4M-5.00B-17.0M1.0512.4919,59720,518223,817392,351
2024-11-08$439.90$395.0011.9%3.6%16.2%18.9%12.7%2.1%0.2%414.7M-5.43B-16.6M0.958.2137,23835,336229,142397,953
2024-11-11$442.83$395.0012.2%3.6%16.3%20.8%12.8%2.2%0.2%352.7M-5.33B-16.0M1.038.7322,07022,750219,246378,897
2024-11-12$439.71$395.0012.0%3.6%16.2%19.9%13.6%2.3%0.4%268.0M-4.63B-17.2M1.858.2914,13026,187226,940392,339
2024-11-13$440.32$395.0011.7%3.5%16.0%17.2%12.6%2.2%0.5%279.7M-4.69B-17.2M1.969.3712,73325,013228,464397,149
2024-11-14$437.52$400.0011.6%3.4%16.2%16.5%12.4%2.3%0.5%166.8M-3.98B-17.3M0.989.5225,46825,082229,370410,417
2024-11-15$434.02$400.0012.5%3.7%16.5%23.1%12.6%3.1%0.4%-35.0M-2.51B-18.6M1.775.8127,23248,086234,849418,461
2024-11-18$434.14$405.0012.4%3.6%16.2%22.3%12.6%3.1%-0.5%15.7M-3.11B-17.7M1.076.0013,06113,950205,585313,704
2024-11-19$432.67$405.0012.8%3.7%16.2%24.9%13.5%3.5%-0.5%-28.2M-2.84B-18.2M1.455.8817,85025,894209,859319,698
2024-11-20$434.15$410.0013.2%3.8%15.8%27.9%13.1%3.6%-0.7%30.0M-3.15B-18.2M1.306.6116,21021,137213,953325,509
2024-11-21$439.38$410.0012.7%3.7%16.1%24.2%12.8%3.4%-0.7%182.2M-3.99B-17.9M0.725.2732,40123,448216,933332,745
2024-11-22$442.69$410.0011.8%3.4%15.9%18.1%13.1%3.0%-0.5%468.9M-4.81B-17.5M0.885.4525,16322,049226,872340,180
2024-11-25$447.25$412.0011.5%3.4%16.1%16.3%12.6%2.9%0.1%432.3M-5.00B-17.0M1.144.3623,34026,565212,903329,594
2024-11-26$448.93$413.0011.2%3.4%15.9%14.1%13.0%3.0%-0.3%364.2M-5.08B-17.1M3.236.6721,97270,935212,141346,586
2024-11-27$447.84$419.0011.1%3.4%15.9%13.7%12.1%3.6%-0.5%78.9M-4.00B-19.8M0.975.6122,81722,029216,721398,465
2024-11-29$451.16$420.0011.2%3.4%15.6%13.8%12.6%2.8%-0.1%156.4M-5.10B-18.7M0.985.1414,39214,161227,278403,461