DSX Options History — March 2014

In March 2014, DSX traded between $11.75 and $13.55. ATM implied volatility averaged 36.7%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.0% (HV 20d: 31.7%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2014-03-10: Highest Volume — 1,627 contracts
  • 2014-03-13: Largest IV spike — 9.1% change
  • 2014-03-17: Highest IV Rank — 52.7%
  • 2014-03-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.58$11.75$13.55$12.99$11.99
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV36.7%33.9%39.5%39.1%35.4%
Expected Move12.1%11.8%12.4%12.2%12.2%
HV 20d31.7%28.5%35.8%33.3%28.5%
HV 60d37.4%34.9%41.0%40.2%34.9%
IV Rank44.8%34.7%52.7%46.9%44.2%
IV Percentile27.6%6.3%55.2%47.2%15.9%
Term Structure1.8%-1.3%3.9%-0.6%1.3%
VWIV41.5%39.7%42.6%42.6%42.3%
Skew 25d1.7%-4.0%8.3%1.0%5.1%
Skew 10d4.5%-11.7%17.4%7.1%6.9%
Call IV 25d37.2%32.5%40.9%40.9%33.7%
Put IV 25d38.9%34.4%42.0%41.9%38.8%
Bid-Ask Spread %43.4731.5561.3331.5547.55
Gamma HHI0.200.150.420.190.16
Net GEX152.9K-136.7K321.6K247.4K97.8K
Net DEX-8.6M-14.6M-4.3M-11.5M-4.9M
Net VEX-42.9K-49.5K-37.6K-49.5K-38.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.034.270.040.13
Total Volume512.8571361,627886258
Total OI27,423.71418,59030,93629,97820,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$12.99$8.0039.1%12.2%33.3%46.9%42.6%1.0%-0.6%247.4K-11.5M-49.5K0.0431.55N/AN/A8543220,0059,973
2014-03-04$13.35$8.0038.8%12.3%33.0%46.3%41.3%7.5%-1.3%284.4K-13.6M-48.5K0.5933.53N/AN/A61736219,9839,990
2014-03-05$13.55$8.0037.0%11.9%31.6%41.7%41.2%-4.0%0.5%307.4K-14.6M-49.2K0.6832.94N/AN/A32221820,00510,311
2014-03-06$13.45$8.0036.3%12.2%31.9%39.7%0.0%0.2%2.2%305.5K-14.1M-47.3K0.0337.88N/AN/A284920,06710,392
2014-03-07$13.54$8.0034.3%11.8%31.9%34.7%0.0%0.0%2.3%321.6K-14.4M-47.8K0.1850.80N/AN/A3576520,04110,394
2014-03-10$13.35$8.0036.5%12.1%32.3%40.3%0.0%0.0%3.0%320.6K-13.6M-46.5K4.2733.73N/AN/A3091,31820,10510,394
2014-03-11$12.82$8.0038.1%12.4%35.8%44.5%0.0%0.5%1.8%204.6K-10.2M-46.2K1.5641.62N/AN/A31649320,06610,870
2014-03-12$12.69$8.0036.2%12.1%33.9%39.6%0.0%2.7%1.6%182.8K-9.3M-45.4K0.7339.55N/AN/A936820,03210,834
2014-03-13$12.46$8.0039.5%12.2%34.2%48.2%0.0%0.7%1.0%117.0K-7.8M-43.7K0.0561.33N/AN/A2431220,00910,814
2014-03-14$12.34$8.0038.1%12.3%34.0%52.1%0.0%-0.1%3.4%104.4K-7.4M-43.7K0.3837.37N/AN/A1204519,99610,811
2014-03-17$12.33$8.0038.2%12.4%34.0%52.7%0.0%2.1%1.7%61.5K-7.0M-41.6K0.2836.45N/AN/A1063019,94410,829
2014-03-18$12.49$8.0038.2%12.0%33.8%52.5%41.5%4.1%2.2%127.4K-7.9M-41.1K0.1247.48N/AN/A5246319,90710,821
2014-03-19$12.50$8.0037.1%12.0%28.9%49.2%0.0%-1.9%2.3%123.9K-7.9M-40.3K2.6258.67N/AN/A12232020,09510,828
2014-03-20$12.17$8.0035.9%12.0%29.9%45.5%41.9%4.8%3.9%-136.7K-6.2M-39.1K0.0738.14N/AN/A4613319,88910,660
2014-03-21$12.43$8.0036.3%12.0%30.8%46.7%0.0%4.0%3.7%72.3K-7.4M-39.3K0.3556.39N/AN/A30410519,84310,602
2014-03-24$12.10$8.0036.9%12.2%30.0%48.6%0.0%8.3%0.9%94.2K-5.0M-37.6K0.5748.31N/AN/A58232913,1375,453
2014-03-25$12.00$8.0033.9%12.2%30.1%39.6%0.0%0.2%2.1%94.8K-4.9M-38.2K0.0848.20N/AN/A3032413,5555,776
2014-03-26$11.75$8.0034.9%12.2%30.7%42.7%39.7%-1.1%2.3%91.6K-4.3M-38.3K1.0241.65N/AN/A21121513,7255,795
2014-03-27$11.78$8.0034.8%12.0%29.1%42.1%42.3%0.0%2.5%90.0K-4.3M-39.5K0.8143.70N/AN/A18114713,8685,989
2014-03-28$12.02$8.0034.9%12.0%28.5%42.7%0.0%1.2%1.7%98.5K-4.9M-39.2K0.4145.95N/AN/A2239213,9796,066
2014-03-31$11.99$8.0035.4%12.2%28.5%44.2%0.0%5.1%1.3%97.8K-4.9M-38.4K0.1347.55N/AN/A2283013,9796,066