DSX Options History — January 2014

In January 2014, DSX traded between $11.61 and $13.31. ATM implied volatility averaged 38.3%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 2.2% (HV 20d: 40.5%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2014-01-24: Highest Volume — 9,328 contracts
  • 2014-01-16: Largest IV spike — 23.3% change
  • 2014-01-30: Highest IV Rank — 63.9%
  • 2014-01-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.53$11.61$13.31$13.30$12.21
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV38.3%31.5%45.6%37.4%43.5%
Expected Move11.9%11.7%12.2%12.0%12.1%
HV 20d40.5%31.3%46.6%43.8%42.1%
HV 60d40.5%38.6%43.2%40.9%42.8%
IV Rank46.9%27.5%63.9%50.3%58.4%
IV Percentile46.2%4.8%85.7%41.3%77.0%
Term Structure0.8%-3.8%4.7%-0.4%-2.0%
VWIV41.9%39.7%44.5%42.3%40.7%
Skew 25d1.9%-3.1%6.7%6.7%1.8%
Skew 10d4.8%-8.4%20.5%20.5%-0.3%
Call IV 25d38.7%34.2%45.4%34.3%45.4%
Put IV 25d40.6%31.2%47.2%41.0%47.2%
Bid-Ask Spread %34.4227.1649.4628.5038.77
Gamma HHI0.240.150.330.240.25
Net GEX53.1K-48.7K300.2K297.4K-19.8K
Net DEX-5.4M-10.5M311.3K-10.4M-5.2M
Net VEX-49.9K-60.7K-41.8K-48.0K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.029.220.890.12
Total Volume1,504.3812819,328281816
Total OI28,416.23824,95233,08725,49033,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$13.30$8.0037.4%12.0%43.8%50.3%42.3%6.7%-0.4%297.4K-10.4M-48.0K0.8928.50N/AN/A14913217,2588,232
2014-01-03$13.31$8.0035.8%11.9%43.9%46.9%0.0%-3.1%0.2%300.2K-10.5M-48.8K3.1927.16N/AN/A3251,03817,2808,184
2014-01-06$13.04$8.0034.3%11.9%44.7%43.5%41.5%-1.0%3.5%218.6K-8.7M-48.0K0.0429.20N/AN/A2,27710017,3959,144
2014-01-07$12.75$8.0036.3%12.0%44.9%44.1%41.7%1.0%0.9%127.0K-6.5M-46.1K1.4632.66N/AN/A21030716,7249,178
2014-01-08$12.78$8.0032.0%11.8%44.9%33.8%0.0%3.1%2.2%104.5K-6.3M-45.5K0.0529.15N/AN/A3371816,7699,451
2014-01-09$12.38$8.0035.5%11.9%46.4%42.1%0.0%0.1%3.7%81.3K-4.2M-43.8K3.0730.31N/AN/A25277316,8239,439
2014-01-10$12.18$8.0031.7%11.7%46.6%27.9%43.1%1.1%2.8%74.0K-3.0M-41.8K0.4828.92N/AN/A79838716,8729,641
2014-01-13$12.15$8.0038.3%11.8%46.3%45.0%44.5%1.0%0.9%89.1K-3.2M-42.5K9.2240.78N/AN/A3353,08817,4749,828
2014-01-14$12.30$8.0038.1%11.9%31.3%44.4%43.3%1.9%2.6%-14.7K-2.5M-47.1K1.1130.12N/AN/A14816417,37012,553
2014-01-15$12.70$8.0031.5%12.1%33.1%27.5%0.0%1.7%4.7%-20.9K-5.0M-48.0K0.1433.73N/AN/A6519417,32112,584
2014-01-16$13.28$8.0038.9%12.1%36.3%46.5%42.4%1.7%0.2%30.4K-10.3M-49.6K0.1245.20N/AN/A1,64919017,82612,608
2014-01-17$13.12$8.0038.0%12.0%34.4%44.2%0.0%1.4%0.9%-15.4K-9.3M-50.5K0.6932.25N/AN/A1,37093918,18812,672
2014-01-21$13.10$8.0039.6%11.8%33.0%48.4%41.1%3.5%0.4%46.4K-5.7M-49.7K0.4131.82N/AN/A37315414,14410,808
2014-01-22$12.84$8.0036.2%11.7%32.9%39.7%39.7%2.3%3.9%23.2K-4.7M-48.4K2.8849.46N/AN/A26676614,32910,897
2014-01-23$12.55$8.0039.1%11.9%33.6%47.0%41.1%4.6%1.5%-22.4K-2.9M-49.0K0.7133.94N/AN/A37526814,39711,595
2014-01-24$11.62$8.0042.0%12.1%42.3%54.5%40.7%3.2%0.5%-48.7K311.3K-44.9K0.2439.77N/AN/A7,5421,78614,45911,631
2014-01-27$11.61$8.0043.5%12.0%41.7%58.3%0.0%2.7%-2.6%-35.5K-2.9M-55.4K1.2333.85N/AN/A8601,05518,59913,109
2014-01-28$12.00$8.0043.9%11.9%44.1%59.4%0.0%3.9%-0.5%-32.4K-4.0M-59.9K0.4333.70N/AN/A56624118,77913,971
2014-01-29$11.99$8.0043.8%12.2%42.6%59.1%0.0%1.5%-3.1%-34.6K-4.0M-60.7K0.8241.08N/AN/A23319218,90114,186
2014-01-30$12.02$8.0045.6%12.1%41.5%63.9%0.0%1.2%-3.8%-32.7K-4.3M-59.9K0.0232.39N/AN/A361718,94614,110
2014-01-31$12.21$8.0043.5%12.1%42.1%58.4%0.0%1.8%-2.0%-19.8K-5.2M-60.5K0.1238.77N/AN/A7308618,95914,107