DSX Options History — April 2014

In April 2014, DSX traded between $11.26 and $12.26. ATM implied volatility averaged 34.4%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.7% (HV 20d: 29.6%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2014-04-17: Highest Volume — 1,760 contracts
  • 2014-04-28: Largest IV spike — 17.7% change
  • 2014-04-30: Highest IV Rank — 60.7%
  • 2014-04-11: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.74$11.26$12.26$12.26$11.26
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV34.4%30.7%39.8%33.5%39.8%
Expected Move11.9%10.5%13.4%12.0%11.7%
HV 20d29.6%27.0%32.1%27.8%28.3%
HV 60d33.5%29.9%35.9%35.3%30.2%
IV Rank41.8%31.7%60.7%38.3%60.7%
IV Percentile16.6%0.8%63.1%5.2%63.1%
Term Structure2.6%-3.2%5.6%5.6%-3.2%
VWIV41.2%38.9%48.2%40.2%40.6%
Skew 25d1.5%-14.8%10.2%-5.0%2.4%
Skew 10d7.1%-7.6%21.9%-4.6%1.9%
Call IV 25d34.6%24.5%39.7%34.6%34.0%
Put IV 25d36.1%24.9%41.8%29.6%36.4%
Bid-Ask Spread %61.8543.11117.1343.1167.14
Gamma HHI0.180.150.200.150.20
Net GEX110.0K71.4K146.4K108.7K109.0K
Net DEX-4.3M-5.8M-2.7M-5.8M-2.7M
Net VEX-35.7K-39.4K-31.4K-38.9K-31.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.009.400.410.09
Total Volume325.286681,76076830
Total OI21,231.1920,49821,88720,49821,887

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$12.26$8.0033.5%12.0%27.8%38.3%0.0%-5.0%5.6%108.7K-5.8M-38.9K0.4143.11N/AN/A542214,3306,168
2014-04-02$12.10$8.0033.4%11.9%27.0%38.0%0.0%-2.5%1.9%104.8K-5.6M-38.1K0.2147.21N/AN/A561214,3796,184
2014-04-03$11.85$8.0034.7%12.1%27.5%42.0%0.0%-14.8%1.0%101.0K-5.1M-38.2K0.0945.08N/AN/A2342014,3926,184
2014-04-04$12.13$8.0034.2%12.0%29.1%40.3%0.0%4.2%1.6%112.1K-5.4M-39.4K0.3244.92N/AN/A822614,5426,197
2014-04-07$11.73$8.0037.0%11.9%30.7%48.9%0.0%0.9%3.2%97.4K-4.3M-37.1K0.0343.84N/AN/A181614,5876,217
2014-04-08$11.75$8.0032.0%11.7%28.0%33.7%40.2%4.7%3.1%101.2K-4.3M-37.0K2.0954.07N/AN/A8016714,6526,217
2014-04-09$12.02$8.0031.4%11.7%29.5%32.1%0.0%3.9%2.2%106.7K-5.1M-37.5K0.5153.80N/AN/A1296614,6526,373
2014-04-10$11.76$8.0035.9%11.9%29.8%45.5%40.5%1.4%1.5%98.7K-4.3M-36.3K0.4444.67N/AN/A642814,7226,402
2014-04-11$11.45$8.0038.0%13.4%30.9%52.1%0.0%1.9%3.1%71.4K-3.1M-34.6K1.5983.84N/AN/A23136714,7206,421
2014-04-14$11.69$8.0036.1%11.4%32.1%46.3%39.1%-0.1%3.1%89.0K-3.6M-34.7K0.0486.04N/AN/A2351014,7036,679
2014-04-15$11.54$8.0035.3%12.2%31.7%43.9%43.9%4.1%2.4%79.0K-3.4M-35.0K0.1658.46N/AN/A1592514,8366,677
2014-04-16$11.65$8.0033.0%11.6%32.0%36.6%0.0%5.2%3.6%97.4K-3.7M-35.4K3.0555.92N/AN/A4212814,9636,642
2014-04-17$11.79$8.0032.5%11.4%31.3%35.4%38.9%0.3%3.9%111.0K-4.1M-34.7K0.3559.99N/AN/A1,30745314,9516,687
2014-04-21$11.72$8.0032.6%10.5%30.1%37.7%39.1%2.3%4.1%133.2K-4.4M-35.6K0.58117.13N/AN/A1599214,9216,236
2014-04-22$11.92$8.0031.9%12.2%29.5%35.3%0.0%1.5%4.9%144.9K-5.1M-36.3K0.0052.37N/AN/A83015,0236,317
2014-04-23$11.86$8.0032.5%12.7%29.4%37.3%48.2%4.5%2.4%144.2K-5.0M-35.7K0.1856.86N/AN/A1272315,0626,317
2014-04-24$11.85$8.0030.7%11.8%28.4%31.7%39.9%10.2%4.6%146.4K-4.8M-35.3K0.5967.16N/AN/A22113115,1136,338
2014-04-25$11.60$8.0031.6%11.9%29.4%34.3%0.0%5.9%3.1%134.3K-4.1M-34.9K0.6755.60N/AN/A23715915,2266,444
2014-04-28$11.28$8.0037.2%12.1%29.8%52.2%40.6%0.7%1.9%114.8K-3.0M-32.0K9.4058.56N/AN/A2523515,2236,465
2014-04-29$11.27$8.0038.4%10.7%29.8%56.2%0.0%-0.2%0.5%106.0K-2.8M-32.3K0.91103.17N/AN/A17015515,2116,595
2014-04-30$11.26$8.0039.8%11.7%28.3%60.7%0.0%2.4%-3.2%109.0K-2.7M-31.4K0.0967.14N/AN/A7646615,2316,656