DSX Options History — September 2014

In September 2014, DSX traded between $8.94 and $10.61. ATM implied volatility averaged 29.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.8% (HV 20d: 26.4%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-09-23: Highest Volume — 2,696 contracts
  • 2014-09-08: Largest IV spike — 32.4% change
  • 2014-09-29: Highest IV Rank — 37.6%
  • 2014-09-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.97$8.94$10.61$10.61$8.94
Max Pain$8.48$8.00$10.00$8.00$9.00
ATM IV29.2%21.7%34.8%30.0%32.8%
Expected Move9.7%9.4%10.0%9.6%10.0%
HV 20d26.4%19.8%36.2%23.0%36.2%
HV 60d30.2%28.1%32.8%31.0%32.6%
IV Rank20.7%0.0%37.6%16.7%31.9%
IV Percentile16.3%0.0%46.0%13.9%34.1%
Term Structure2.4%-0.5%10.4%0.3%2.1%
VWIV33.6%31.8%35.3%34.4%33.8%
Skew 25d1.7%-6.7%8.7%-3.3%-6.7%
Skew 10d2.9%-11.8%13.7%-10.4%-11.8%
Call IV 25d29.1%23.1%40.1%34.7%40.1%
Put IV 25d30.9%27.2%34.6%31.4%33.4%
Bid-Ask Spread %71.9062.5787.8273.4280.05
Gamma HHI0.240.180.300.300.21
Net GEX36.8K-1.2K57.3K42.9K38.2K
Net DEX-74.1K-1.1M1.0M-1.1M842.8K
Net VEX-28.9K-30.2K-26.2K-30.1K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.480.640.50
Total Volume496.429402,696207362
Total OI18,764.14313,87820,20518,80318,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$10.61$8.0030.0%9.6%23.0%16.7%34.4%-3.3%0.3%42.9K-1.1M-30.1K0.6473.42N/AN/A1268110,5808,223
2014-09-03$10.44$8.0023.5%9.7%24.1%0.0%0.0%-4.3%10.2%41.8K-838.1K-29.8K0.0976.09N/AN/A4514110,7048,284
2014-09-04$10.37$8.0024.9%9.5%24.4%4.3%33.9%2.3%10.4%42.8K-468.4K-28.9K0.0776.27N/AN/A2611710,8628,303
2014-09-05$10.35$8.0021.7%9.7%24.4%0.0%32.2%-2.5%2.6%42.2K-153.4K-29.0K0.0062.67N/AN/A332011,0948,312
2014-09-08$10.46$8.0028.7%9.8%23.7%20.2%0.0%2.6%-0.4%47.4K-532.0K-30.2K0.0265.85N/AN/A62111,2148,312
2014-09-09$10.23$8.0026.0%9.6%24.5%12.5%0.0%4.4%0.8%37.5K49.0K-28.8K0.1072.68N/AN/A1972011,2758,312
2014-09-10$10.33$8.0024.0%10.0%23.6%6.6%34.9%-3.6%1.7%44.5K-92.3K-29.1K0.2562.57N/AN/A32811,4158,322
2014-09-11$10.38$8.0030.0%9.5%23.6%24.0%0.0%1.0%3.8%48.8K-435.1K-29.2K0.0067.85N/AN/A115011,4198,194
2014-09-12$10.10$8.0029.2%9.7%20.7%21.7%0.0%3.2%2.1%33.8K107.8K-28.9K0.1963.94N/AN/A1322511,5098,194
2014-09-15$10.03$8.0031.2%9.7%19.8%27.3%33.4%0.8%1.5%43.1K618.7K-27.5K0.7869.05N/AN/A15612111,6028,196
2014-09-16$10.31$8.0031.7%9.5%21.2%28.8%32.8%-0.0%-0.5%37.4K-558.8K-28.0K0.1262.84N/AN/A3023711,6728,230
2014-09-17$10.47$8.0032.2%9.5%22.1%30.2%32.5%2.5%0.8%42.7K-1.0M-28.2K0.4269.54N/AN/A1817611,7678,235
2014-09-18$10.20$10.0029.4%9.4%23.6%22.3%35.3%-2.1%1.2%57.3K-467.9K-27.7K0.4068.60N/AN/A2319311,8318,171
2014-09-19$10.25$9.0027.9%9.6%23.3%17.8%0.0%-1.1%2.5%36.0K-740.5K-28.3K0.0183.93N/AN/A1,2061211,9648,241
2014-09-22$9.75$9.0029.5%9.4%28.4%22.5%31.8%8.7%2.3%14.7K183.4K-26.2K0.8074.20N/AN/A7185717,9455,933
2014-09-23$9.74$9.0029.9%9.6%28.0%23.7%33.7%7.8%2.1%-1.2K355.6K-28.6K0.0667.33N/AN/A2,5521448,5356,494
2014-09-24$9.16$9.0031.6%9.8%34.1%28.5%34.8%4.3%1.5%27.6K438.0K-30.0K2.4887.82N/AN/A20550810,7256,632
2014-09-25$8.99$9.0033.3%9.8%34.2%33.3%0.0%7.8%0.9%19.5K1.0M-28.6K0.0580.67N/AN/A7673710,8376,961
2014-09-26$9.14$9.0030.1%9.9%35.2%24.3%33.6%7.9%4.0%35.9K723.4K-29.8K0.6865.08N/AN/A382611,4936,977
2014-09-29$9.21$9.0034.8%10.0%35.4%37.6%33.8%6.2%0.7%39.6K510.4K-30.0K0.1879.50N/AN/A1542711,5086,977
2014-09-30$8.94$9.0032.8%10.0%36.2%31.9%0.0%-6.7%2.1%38.2K842.8K-28.9K0.5080.05N/AN/A24112111,6076,986