DSX Options History — June 2014

In June 2014, DSX traded between $10.86 and $12.19. ATM implied volatility averaged 30.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.6% (HV 20d: 29.7%). 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 16 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2014-06-20: Highest Volume — 2,489 contracts
  • 2014-06-09: Largest IV drop — 21.3% change
  • 2014-06-06: Highest IV Rank — 38.3%
  • 2014-06-18: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.39$10.86$12.19$10.87$10.89
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV30.3%26.5%34.5%29.5%28.4%
Expected Move11.1%10.7%11.4%11.3%11.3%
HV 20d29.7%21.9%34.7%22.6%34.6%
HV 60d28.0%25.9%29.4%26.0%28.5%
IV Rank26.6%15.8%38.3%24.2%21.1%
IV Percentile6.4%0.4%18.7%3.2%2.0%
Term Structure1.8%-3.5%6.1%1.0%6.1%
VWIV39.3%37.1%41.5%37.1%39.6%
Skew 25d-1.2%-11.7%5.3%-2.8%0.5%
Skew 10d4.1%-16.0%90.5%6.9%1.7%
Call IV 25d29.8%23.8%34.5%25.9%25.1%
Put IV 25d28.6%22.1%34.2%23.1%25.7%
Bid-Ask Spread %58.5444.3978.1469.9555.77
Gamma HHI0.230.180.340.340.19
Net GEX48.3K9.3K100.9K66.0K38.8K
Net DEX-3.5M-6.7M-1.1M-2.0M-1.1M
Net VEX-25.5K-27.2K-24.2K-25.0K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.380.170.12
Total Volume485.952492,489240508
Total OI19,742.90511,02823,16622,24312,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$10.87$8.0029.5%11.3%22.6%24.2%37.1%-2.8%1.0%66.0K-2.0M-25.0K0.1769.95N/AN/A2053515,2706,973
2014-06-03$10.87$8.0031.8%11.0%21.9%30.8%0.0%-2.4%-0.9%63.7K-2.0M-25.1K0.2949.41N/AN/A2667715,4476,988
2014-06-04$11.32$8.0032.8%10.9%26.5%33.5%0.0%2.1%-1.0%49.6K-3.6M-25.5K0.3356.22N/AN/A55318515,6367,059
2014-06-05$11.55$8.0030.6%11.1%26.4%27.4%0.0%0.4%-3.5%21.1K-4.5M-26.3K0.4357.36N/AN/A924015,9647,100
2014-06-06$11.46$8.0034.5%11.1%23.9%38.3%40.2%-0.4%-1.6%50.8K-4.4M-27.2K0.6151.90N/AN/A1478915,9797,071
2014-06-09$11.50$8.0027.1%11.2%23.9%17.7%41.5%-1.4%2.6%31.2K-4.5M-26.0K0.0261.33N/AN/A146316,0207,083
2014-06-10$11.80$8.0026.5%10.9%24.7%15.8%0.0%-1.3%1.2%46.6K-5.3M-25.8K2.3857.16N/AN/A17140715,9447,085
2014-06-11$11.85$8.0030.7%11.0%24.5%27.6%0.0%-2.5%4.6%69.3K-5.7M-26.0K1.3878.14N/AN/A8011016,0316,930
2014-06-12$11.36$8.0032.2%11.0%29.3%31.8%0.0%0.7%-0.9%9.3K-4.0M-24.4K0.0073.56N/AN/A68016,0427,030
2014-06-13$11.44$8.0032.1%10.9%27.9%31.6%0.0%3.6%0.0%38.6K-4.2M-25.3K0.1176.97N/AN/A44516,0567,030
2014-06-16$11.93$8.0030.1%10.8%31.2%26.0%0.0%-0.3%1.8%73.5K-5.7M-24.8K0.0654.06N/AN/A1891216,0367,035
2014-06-17$12.19$8.0030.2%11.0%31.7%26.3%38.8%3.5%3.3%100.9K-6.7M-25.2K0.0351.94N/AN/A1,7844716,0427,047
2014-06-18$11.92$8.0029.6%11.4%32.8%24.5%37.9%2.2%3.3%91.7K-5.7M-25.8K0.5559.69N/AN/A22012216,1057,061
2014-06-19$11.71$8.0028.2%11.1%33.6%20.6%39.3%5.3%4.4%60.2K-4.5M-24.9K0.2147.90N/AN/A2966215,7417,016
2014-06-20$11.47$8.0032.4%11.3%34.5%32.5%39.7%1.5%1.8%31.9K-3.8M-24.2K0.4652.72N/AN/A1,70878115,7077,058
2014-06-23$11.21$8.0030.9%10.9%34.7%28.3%0.0%-2.9%2.1%29.5K-1.6M-24.8K0.7044.39N/AN/A3992786,8884,140
2014-06-24$11.07$8.0030.1%11.1%34.7%26.0%38.9%-4.9%2.2%32.5K-1.6M-26.1K0.7149.39N/AN/A1921377,2574,386
2014-06-25$10.99$8.0029.9%11.1%34.7%25.3%39.7%-6.7%3.9%35.7K-1.4M-26.2K0.9973.00N/AN/A1341327,4014,523
2014-06-26$11.00$8.0029.5%10.7%34.7%24.3%0.0%-8.2%4.0%35.5K-1.2M-25.9K0.1360.88N/AN/A168217,4914,535
2014-06-27$10.86$8.0029.9%11.2%34.6%25.3%39.6%-11.7%3.5%38.9K-1.2M-25.8K0.1747.67N/AN/A249437,6414,556
2014-06-30$10.89$8.0028.4%11.3%34.6%21.1%0.0%0.5%6.1%38.8K-1.1M-25.5K0.1255.77N/AN/A454547,6414,556