DSX Options History — October 2014

In October 2014, DSX traded between $8.03 and $8.94. ATM implied volatility averaged 43.5%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 2.8% (HV 20d: 40.7%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.32.

Notable Days

  • 2014-10-20: Highest Volume — 13,474 contracts
  • 2014-10-15: Largest IV spike — 48.7% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-22: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.49$8.03$8.94$8.68$8.44
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV43.5%32.1%68.7%33.4%48.1%
Expected Move11.5%10.1%12.4%10.2%12.1%
HV 20d40.7%36.9%48.5%36.9%47.6%
HV 60d35.0%32.7%38.2%32.7%38.2%
IV Rank52.0%29.9%100.0%33.6%56.2%
IV Percentile82.2%28.6%100.0%37.7%96.0%
Term Structure-2.0%-8.0%1.6%1.6%-5.9%
VWIV40.4%36.0%43.9%39.2%43.9%
Skew 25d3.3%-10.5%15.9%-5.1%4.8%
Skew 10d10.1%-8.1%47.0%-8.1%8.5%
Call IV 25d41.2%26.2%48.2%34.2%41.7%
Put IV 25d44.4%24.8%54.6%29.1%46.4%
Bid-Ask Spread %64.7744.2786.5150.9973.83
Gamma HHI0.290.180.520.220.50
Net GEX125.8K21.0K321.5K33.3K307.6K
Net DEX-354.4K-5.1M2.4M1.3M-2.9M
Net VEX-34.9K-47.2K-27.0K-27.6K-44.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0441.002.060.53
Total Volume2,6304213,4741562,040
Total OI25,642.8718,92836,28118,92836,281

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$8.68$9.0033.4%10.2%36.9%33.6%39.2%-5.1%1.6%33.3K1.3M-27.6K2.0650.99N/AN/A5110511,8217,107
2014-10-02$8.65$9.0035.4%10.1%37.0%39.6%36.0%-10.5%-0.1%31.1K1.6M-27.0K0.1254.53N/AN/A5266111,8697,135
2014-10-03$8.50$9.0032.1%10.9%37.0%29.9%0.0%-1.4%-0.9%30.9K1.7M-27.6K0.4059.93N/AN/A773112,3367,181
2014-10-06$8.75$9.0035.5%10.3%38.9%39.9%0.0%3.5%0.9%37.7K1.4M-28.2K41.0044.27N/AN/A14112,3687,170
2014-10-07$8.61$9.0040.3%10.6%38.6%53.4%36.8%-0.2%0.7%36.6K1.4M-28.6K0.0752.68N/AN/A2351612,3687,203
2014-10-08$8.64$9.0041.3%10.5%38.3%56.5%37.4%2.4%0.5%38.6K1.5M-28.3K0.5356.85N/AN/A2,1871,15512,5477,207
2014-10-09$8.28$9.0035.0%10.8%39.7%38.4%40.0%-0.2%-2.3%31.7K1.9M-28.3K0.4755.73N/AN/A2,3031,07613,5427,746
2014-10-10$8.21$9.0044.6%11.1%39.3%65.9%40.6%3.1%-0.1%33.5K2.0M-28.5K0.4660.16N/AN/A2,2891,05313,6667,780
2014-10-13$8.03$9.0046.9%11.4%39.5%72.6%39.9%-1.4%-6.2%22.9K2.3M-27.8K0.4456.89N/AN/A2,3101,01713,7288,349
2014-10-14$8.06$9.0046.2%11.3%37.2%70.5%40.6%-2.1%-8.0%21.0K2.4M-28.0K0.4455.66N/AN/A2,3171,01213,7208,339
2014-10-15$8.24$9.0068.7%11.5%37.9%100.0%39.4%5.3%-3.9%26.1K2.4M-27.6K0.3666.45N/AN/A2,18878613,7258,294
2014-10-16$8.46$9.0048.6%12.0%39.9%57.3%0.0%15.9%-3.0%31.6K1.8M-29.4K0.0475.39N/AN/A2511013,6848,266
2014-10-17$8.29$9.0044.0%12.4%39.7%47.5%43.3%7.8%-2.6%27.7K1.7M-29.1K2.8173.41N/AN/A6217413,7708,213
2014-10-20$8.60$9.0046.4%12.3%40.2%52.5%39.6%5.7%-1.5%30.8K712.1K-31.2K0.0472.95N/AN/A12,91256212,5467,614
2014-10-21$8.94$9.0041.1%12.1%43.3%41.4%39.2%6.7%-2.4%261.4K-5.1M-47.2K0.3070.99N/AN/A1,98358623,1317,742
2014-10-22$8.65$9.0045.8%12.4%39.3%51.3%40.7%-0.6%-4.5%241.6K-4.1M-45.1K0.3261.69N/AN/A1,80557423,1427,749
2014-10-23$8.76$9.0039.6%12.1%39.2%38.2%41.1%1.9%-0.1%260.4K-4.3M-44.9K0.3382.46N/AN/A1,74857423,1907,767
2014-10-24$8.65$9.0041.4%12.1%38.8%42.0%42.9%2.3%-1.3%252.8K-3.5M-43.7K0.9758.10N/AN/A1,7151,65923,2437,772
2014-10-27$8.12$9.0048.7%12.2%44.1%57.4%43.7%6.4%-1.0%186.3K-1.0M-40.4K0.3379.19N/AN/A5,1551,68623,2928,864
2014-10-28$8.60$9.0043.6%11.4%48.5%46.7%40.8%12.0%-0.1%321.5K-3.7M-46.2K0.4686.51N/AN/A1,47767427,0518,887
2014-10-29$8.64$9.0044.3%11.6%47.5%48.1%41.2%14.8%-3.6%320.5K-4.2M-47.1K0.4570.96N/AN/A1,38162027,0659,103
2014-10-30$8.46$9.0048.7%11.9%48.0%57.4%42.1%4.1%-3.2%306.8K-3.5M-45.9K0.4970.04N/AN/A1,34266327,0949,119
2014-10-31$8.44$9.0048.1%12.1%47.6%56.2%43.9%4.8%-5.9%307.6K-2.9M-44.8K0.5373.83N/AN/A1,33670427,0879,194