DSX Options History — July 2014

In July 2014, DSX traded between $9.20 and $11.13. ATM implied volatility averaged 32.7%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.5% (HV 20d: 27.2%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2014-07-07: Highest Volume — 2,550 contracts
  • 2014-07-08: Largest IV drop — 27.9% change
  • 2014-07-28: Highest IV Rank — 45.5%
  • 2014-07-10: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.21$9.20$11.13$11.09$9.75
Max Pain$8.42$8.00$10.00$8.00$8.00
ATM IV32.7%24.7%37.1%29.2%32.9%
Expected Move10.5%9.8%11.7%10.7%10.3%
HV 20d27.2%20.1%35.6%35.2%35.6%
HV 60d27.7%26.5%31.4%28.3%31.4%
IV Rank33.2%10.9%45.5%23.3%33.8%
IV Percentile21.7%0.4%50.4%3.6%21.8%
Term Structure-0.2%-3.5%5.8%4.2%-0.3%
VWIV36.7%34.7%38.9%37.9%35.7%
Skew 25d4.7%-1.1%18.2%3.8%0.9%
Skew 10d8.1%-2.0%21.0%4.1%3.3%
Call IV 25d30.0%21.7%38.6%22.8%31.0%
Put IV 25d34.7%26.5%42.1%26.5%31.9%
Bid-Ask Spread %65.3545.1477.0845.1458.66
Gamma HHI0.290.190.420.260.37
Net GEX21.3K-21.8K126.3K69.6K-11.4K
Net DEX616.4K-2.7M2.9M-1.6M1.9M
Net VEX-27.0K-29.7K-22.5K-26.8K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0023.410.070.68
Total Volume630.045332,5501,341422
Total OI16,115.81812,78418,27112,78418,271

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$11.09$8.0029.2%10.7%35.2%23.3%0.0%3.8%4.2%69.6K-1.6M-26.8K0.0745.14N/AN/A1,259828,1464,638
2014-07-02$11.09$8.0028.0%10.7%31.9%20.1%0.0%7.1%4.4%118.5K-2.6M-28.4K0.0063.65N/AN/A20009,3634,656
2014-07-03$11.13$8.0027.8%10.7%31.0%19.6%0.0%6.3%5.8%126.3K-2.7M-29.3K0.0076.28N/AN/A10009,5024,656
2014-07-07$10.73$8.0034.3%10.5%33.3%37.8%37.9%0.5%-0.2%107.8K-1.6M-26.9K0.5262.28N/AN/A1,6818699,5024,656
2014-07-08$10.47$8.0024.7%10.8%34.0%10.9%36.5%8.5%-2.3%51.6K-147.2K-26.1K0.3148.29N/AN/A1,0623329,4655,524
2014-07-09$10.40$8.0030.9%10.8%32.1%28.2%36.2%1.1%-1.1%78.4K-50.0K-26.6K0.1359.65N/AN/A120159,8395,824
2014-07-10$10.20$8.0033.9%11.7%32.2%36.6%38.9%5.3%1.6%53.1K598.0K-24.9K0.1274.96N/AN/A524649,9005,829
2014-07-11$10.14$8.0033.4%11.2%29.4%35.1%38.0%2.0%1.0%24.4K935.1K-24.7K2.3848.57N/AN/A17341210,3895,871
2014-07-14$10.14$8.0034.8%11.2%29.1%39.1%37.3%0.5%-2.4%16.4K936.8K-25.2K0.6967.92N/AN/A17612210,5056,274
2014-07-15$10.09$8.0033.4%10.3%23.0%35.3%36.4%-1.1%0.9%25.1K995.8K-25.8K23.4174.43N/AN/A2763210,6816,391
2014-07-16$10.11$8.0034.0%10.5%20.5%37.0%37.4%3.0%-2.7%-18.4K1.4M-27.0K3.7766.23N/AN/A9636210,7046,992
2014-07-17$10.10$8.0033.3%10.8%20.1%35.0%36.0%1.1%0.6%-21.4K1.4M-27.4K0.0069.59N/AN/A33010,6727,196
2014-07-18$10.28$8.0034.8%10.6%21.8%39.3%37.4%-1.1%-0.2%-21.8K1.2M-27.9K0.0865.51N/AN/A5874610,6917,155
2014-07-21$10.15$0.0036.4%10.2%21.3%43.5%0.0%1.6%-1.6%-17.8K811.1K-28.7K0.0077.08N/AN/A18508,6726,963
2014-07-22$10.01$0.0034.6%10.1%20.5%38.6%0.0%6.8%-1.7%-14.0K1.2M-27.6K0.5971.32N/AN/A150898,8146,963
2014-07-23$10.00$0.0034.2%9.9%20.4%37.6%34.7%18.2%-2.3%-16.5K1.3M-27.5K0.4470.73N/AN/A3961748,9587,051
2014-07-24$10.05$10.0034.5%10.1%20.7%38.5%0.0%8.2%-2.0%-15.1K1.2M-28.3K0.1771.76N/AN/A108189,1087,220
2014-07-25$9.98$10.0031.9%10.1%20.6%31.0%0.0%10.0%0.8%-15.0K1.4M-27.9K0.0770.05N/AN/A162129,0607,231
2014-07-28$9.69$10.0037.1%10.1%22.3%45.5%36.4%7.8%-3.5%-13.5K1.8M-25.9K2.4172.70N/AN/A2606279,1717,240
2014-07-29$9.20$10.0032.5%9.8%27.4%32.8%36.3%7.8%-1.5%-19.6K2.9M-22.5K1.8476.83N/AN/A6711,2369,2527,407
2014-07-30$9.77$8.0032.4%9.9%35.6%32.4%35.7%5.4%-2.2%-17.4K2.2M-28.7K0.2446.10N/AN/A304739,7088,438
2014-07-31$9.75$8.0032.9%10.3%35.6%33.8%35.7%0.9%-0.3%-11.4K1.9M-29.7K0.6858.66N/AN/A2511719,8368,435