DSX Options History — February 2014

In February 2014, DSX traded between $11.90 and $13.07. ATM implied volatility averaged 42.8%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.9% (HV 20d: 39.9%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2014-02-28: Highest Volume — 1,667 contracts
  • 2014-02-13: Largest IV drop — 12.0% change
  • 2014-02-05: Highest IV Rank — 75.2%
  • 2014-02-18: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.51$11.90$13.07$11.94$13.02
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV42.8%36.3%50.0%49.3%36.3%
Expected Move12.2%12.0%13.3%12.4%12.0%
HV 20d39.9%31.6%44.2%42.5%33.6%
HV 60d41.2%39.7%43.1%43.1%40.2%
IV Rank56.6%39.7%75.2%73.2%39.7%
IV Percentile65.3%22.6%96.0%96.0%22.6%
Term Structure-0.6%-5.8%2.6%-3.2%2.5%
VWIV41.2%31.8%48.9%43.7%31.8%
Skew 25d1.6%-2.7%10.7%1.2%2.7%
Skew 10d2.4%-18.9%20.8%15.7%8.4%
Call IV 25d42.0%37.1%49.5%47.8%37.1%
Put IV 25d43.6%36.5%51.4%49.0%39.8%
Bid-Ask Spread %35.9429.9363.8540.1135.03
Gamma HHI0.280.170.630.250.20
Net GEX-16.0K-562.2K220.4K-20.5K220.4K
Net DEX-7.2M-11.2M-2.9M-3.9M-11.2M
Net VEX-53.3K-60.7K-47.3K-59.4K-48.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.390.850.20
Total Volume568.316781,6678791,667
Total OI32,358.94727,32334,10733,60329,024

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$11.94$8.0049.3%12.4%42.5%73.2%0.0%1.2%-3.2%-20.5K-3.9M-59.4K0.8540.11N/AN/A47540419,46714,136
2014-02-04$12.34$8.0047.0%12.1%44.2%67.5%0.0%10.7%-2.2%-7.9K-5.7M-60.6K1.3933.68N/AN/A12116819,51614,085
2014-02-05$12.40$8.0050.0%12.3%43.7%75.2%43.7%2.1%-5.8%-3.9K-6.1M-60.7K0.5936.12N/AN/A21913019,45214,228
2014-02-06$12.48$8.0049.0%12.0%43.7%72.7%0.0%1.8%-4.0%3.3K-6.5M-60.1K0.3531.41N/AN/A1746119,50314,186
2014-02-07$12.63$8.0045.5%12.0%42.4%63.5%0.0%1.8%-1.0%3.0K-7.2M-59.1K0.0032.39N/AN/A272019,50214,196
2014-02-10$12.65$8.0048.7%12.0%41.9%71.8%0.0%0.9%-2.7%3.8K-7.4M-57.5K0.4733.06N/AN/A532519,42414,196
2014-02-11$13.07$8.0046.9%12.2%43.3%67.2%0.0%-0.0%-2.0%52.8K-10.0M-56.0K0.0336.88N/AN/A6421719,43814,196
2014-02-12$12.89$8.0048.0%12.2%43.6%69.9%0.0%1.5%-1.2%40.0K-9.1M-55.1K0.1132.56N/AN/A2402619,54914,202
2014-02-13$12.70$8.0042.2%12.2%42.5%55.1%0.0%0.1%-1.2%5.3K-7.7M-55.6K0.5633.25N/AN/A985519,52014,223
2014-02-14$12.69$8.0042.8%12.0%39.1%56.7%41.3%0.8%-1.1%2.1K-7.8M-53.9K0.0634.02N/AN/A4763019,49714,214
2014-02-18$12.47$8.0039.1%13.3%39.3%47.1%48.9%0.6%1.6%-144.1K-6.4M-49.9K0.4563.85N/AN/A50923019,81614,214
2014-02-19$11.90$8.0040.4%12.9%42.3%50.4%41.8%-2.7%0.6%-249.0K-2.9M-48.3K0.8139.35N/AN/A36529619,91414,193
2014-02-20$12.14$8.0038.6%12.2%42.8%45.8%0.0%2.5%2.6%-271.7K-4.3M-48.8K0.3534.07N/AN/A32411519,75914,101
2014-02-21$12.14$8.0038.4%12.2%42.1%45.3%0.0%1.0%2.4%-562.2K-4.8M-47.3K0.4529.93N/AN/A65329519,91614,092
2014-02-24$12.54$8.0039.3%12.1%33.1%47.7%0.0%3.1%0.5%155.7K-8.9M-47.6K0.6237.13N/AN/A93657918,0009,323
2014-02-25$12.52$8.0038.5%12.4%33.1%45.4%39.7%1.8%0.2%144.0K-8.6M-48.9K0.0034.41N/AN/A78018,4349,887
2014-02-26$12.39$8.0036.7%12.2%31.6%40.8%0.0%1.3%1.1%145.3K-8.3M-47.6K0.4731.79N/AN/A28013318,7239,887
2014-02-27$12.69$8.0036.5%12.0%32.6%40.4%0.0%-0.7%1.6%179.6K-9.5M-48.1K0.0033.88N/AN/A650218,8399,968
2014-02-28$13.02$8.0036.3%12.0%33.6%39.7%31.8%2.7%2.5%220.4K-11.2M-48.9K0.2035.03N/AN/A1,39527219,0589,966