DSX Options History — August 2014

In August 2014, DSX traded between $9.44 and $11.03. ATM implied volatility averaged 29.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 5.0% (HV 20d: 34.3%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2014-08-14: Highest Volume — 988 contracts
  • 2014-08-05: Largest IV drop — 21.1% change
  • 2014-08-04: Highest IV Rank — 41.0%
  • 2014-08-12: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.30$9.44$11.03$9.62$10.64
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV29.3%25.8%35.5%32.3%26.2%
Expected Move9.9%9.3%10.5%10.2%9.3%
HV 20d34.3%24.0%38.7%35.4%24.0%
HV 60d31.6%30.4%32.5%31.3%31.0%
IV Rank17.8%3.3%41.0%32.1%4.5%
IV Percentile10.0%0.4%39.7%17.9%1.2%
Term Structure2.3%-0.9%4.7%-0.9%2.5%
VWIV34.4%23.9%37.7%35.9%33.5%
Skew 25d0.5%-9.6%6.4%-0.5%-9.6%
Skew 10d12.6%-12.8%60.4%8.4%50.1%
Call IV 25d31.2%25.2%37.3%31.0%29.3%
Put IV 25d31.8%19.7%38.4%30.5%19.7%
Bid-Ask Spread %70.7958.3385.3166.9385.31
Gamma HHI0.280.240.350.330.28
Net GEX22.8K-16.0K54.7K-7.5K43.3K
Net DEX103.7K-2.3M2.9M2.2M-1.0M
Net VEX-30.2K-32.2K-26.6K-29.2K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.006.801.230.09
Total Volume298.52426988468141
Total OI18,774.14317,92819,91418,49218,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$9.62$8.0032.3%10.2%35.4%32.1%35.9%-0.5%-0.9%-7.5K2.2M-29.2K1.2366.93N/AN/A2102589,9968,496
2014-08-04$9.48$8.0035.4%10.0%33.8%41.0%34.8%-2.1%1.7%-8.4K2.4M-28.0K6.8072.29N/AN/A2013610,1578,503
2014-08-05$9.44$8.0028.0%10.4%33.1%20.0%35.3%1.1%1.7%-9.3K2.6M-28.5K5.3670.30N/AN/A2815010,1578,638
2014-08-06$9.44$8.0032.7%10.3%33.2%33.3%35.4%2.9%0.3%-13.0K2.6M-28.3K0.0070.96N/AN/A26010,1798,788
2014-08-07$9.44$8.0025.9%10.3%32.8%14.2%0.0%-3.9%1.4%-16.0K2.9M-26.6K0.6571.94N/AN/A171110,2028,788
2014-08-08$9.65$8.0029.3%10.2%34.0%23.8%35.4%-0.4%3.8%-4.6K2.4M-28.5K0.0573.47N/AN/A2981510,2068,745
2014-08-11$9.86$8.0033.0%10.1%35.1%34.1%33.7%4.8%4.7%20.2K1.6M-29.6K0.1274.75N/AN/A991210,4588,734
2014-08-12$10.07$8.0031.9%10.5%35.9%31.0%37.2%-0.0%2.4%27.7K1.1M-30.6K0.5771.79N/AN/A30417210,4578,746
2014-08-13$10.11$8.0035.5%10.3%35.9%34.0%0.0%3.5%3.8%37.1K848.5K-30.6K0.2071.46N/AN/A1292610,7258,836
2014-08-14$10.53$8.0031.1%9.7%38.7%20.0%36.5%6.4%0.7%3.4K-218.2K-31.4K0.0872.33N/AN/A9127610,5398,774
2014-08-15$10.69$8.0029.5%9.9%38.6%15.0%37.7%5.0%3.9%6.1K-1.1M-32.2K0.5171.29N/AN/A53327311,0758,839
2014-08-18$10.90$8.0028.1%9.9%38.7%10.6%34.4%0.2%2.5%35.9K-1.7M-31.8K0.1877.64N/AN/A248459,9457,983
2014-08-19$10.89$8.0025.8%9.7%38.2%3.3%0.0%3.0%3.0%40.3K-1.8M-31.6K0.1461.77N/AN/A4416310,0587,977
2014-08-20$10.93$8.0028.3%9.8%38.1%11.3%23.9%3.8%1.8%51.4K-2.0M-32.1K0.0358.33N/AN/A205610,3208,002
2014-08-21$11.03$8.0027.7%9.7%38.2%9.4%0.0%3.5%2.1%54.7K-2.3M-31.9K2.4559.99N/AN/A9723810,3238,008
2014-08-22$10.88$8.0027.2%9.5%38.5%7.7%0.0%2.0%3.1%50.2K-1.9M-32.0K0.3063.14N/AN/A832510,3258,192
2014-08-25$10.67$8.0026.9%9.7%37.5%6.7%35.2%-1.3%3.3%47.2K-1.3M-30.8K0.1278.18N/AN/A4355410,3858,192
2014-08-26$10.75$8.0026.4%9.5%30.9%5.1%33.1%-3.0%2.8%41.2K-1.2M-30.4K0.2174.01N/AN/A911910,2738,212
2014-08-27$10.60$8.0028.2%9.4%24.9%10.9%33.5%-4.4%0.4%37.6K-918.6K-30.2K0.1073.66N/AN/A2502610,3268,229
2014-08-28$10.60$8.0026.5%9.5%24.8%5.7%0.0%-0.3%2.8%41.6K-881.1K-30.7K2.5967.01N/AN/A277010,5078,229
2014-08-29$10.64$8.0026.2%9.3%24.0%4.5%0.0%-9.6%2.5%43.3K-1.0M-30.2K0.0985.31N/AN/A1291210,5208,213