DSX Options History — November 2014

In November 2014, DSX traded between $7.48 and $8.49. ATM implied volatility averaged 42.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.3% (HV 20d: 40.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-11-25: Highest Volume — 5,172 contracts
  • 2014-11-28: Largest IV spike — 22.0% change
  • 2014-11-03: Highest IV Rank — 63.1%
  • 2014-11-06: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.92$7.48$8.49$8.49$7.48
Max Pain$8.89$8.00$9.00$9.00$8.00
ATM IV42.0%36.2%51.3%51.3%44.2%
Expected Move11.9%11.4%12.5%12.3%11.7%
HV 20d40.7%24.8%48.6%46.5%25.6%
HV 60d37.3%36.5%38.5%37.9%37.7%
IV Rank43.2%30.9%63.1%63.1%47.9%
IV Percentile81.7%54.8%99.2%99.2%89.3%
Term Structure-0.8%-5.0%3.5%-4.5%-5.0%
VWIV43.1%40.3%45.8%42.7%44.6%
Skew 25d2.6%-5.2%16.9%-1.9%4.3%
Skew 10d4.9%-12.6%25.8%-12.6%7.0%
Call IV 25d42.3%27.1%54.9%54.9%35.7%
Put IV 25d45.0%29.4%53.0%53.0%40.0%
Bid-Ask Spread %68.1718.5685.7478.2518.56
Gamma HHI0.370.260.520.510.26
Net GEX161.4K36.9K314.5K314.5K36.9K
Net DEX1.2M-3.3M3.2M-3.3M2.6M
Net VEX-33.5K-44.0K-28.1K-44.0K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.204.180.460.61
Total Volume2,366.474965,1722,037430
Total OI36,573.78929,22739,84136,36532,147

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$8.49$9.0051.3%12.3%46.5%63.1%42.7%-1.9%-4.5%314.5K-3.3M-44.0K0.4678.25N/AN/A1,39264527,1419,224
2014-11-04$8.13$9.0044.6%11.9%48.5%48.7%45.6%2.6%-1.0%277.6K-1.3M-40.7K0.4483.90N/AN/A1,42462127,2039,271
2014-11-05$8.03$9.0046.8%12.2%48.6%53.4%42.9%-1.8%-0.8%221.7K-185.6K-38.8K0.4283.79N/AN/A1,77975127,19010,226
2014-11-06$8.10$9.0044.2%12.5%46.5%47.9%43.5%-5.2%0.4%229.1K-37.6K-38.1K0.3473.99N/AN/A2,07670327,62010,287
2014-11-07$8.09$9.0041.8%12.0%46.4%42.8%43.0%3.4%-0.9%227.6K54.6K-37.2K0.3074.99N/AN/A1,96258127,54310,228
2014-11-10$8.05$9.0042.9%12.4%45.8%45.2%43.1%4.9%-0.3%213.2K406.1K-35.1K0.3177.26N/AN/A1,93259627,58210,228
2014-11-11$7.98$9.0042.6%11.6%45.9%44.6%43.5%4.1%0.4%185.3K1.2M-31.9K0.3073.14N/AN/A1,53846426,39910,108
2014-11-12$8.07$9.0042.1%12.3%45.3%43.5%43.2%2.7%3.5%196.4K1.1M-32.8K0.3558.23N/AN/A1,43750627,59110,264
2014-11-13$7.83$9.0043.1%11.9%45.2%45.5%40.7%1.4%-2.3%141.5K2.0M-31.0K0.2451.52N/AN/A2,06648927,65510,275
2014-11-14$7.95$9.0040.0%11.7%45.3%38.9%0.0%3.8%1.3%159.5K1.7M-31.8K0.3262.38N/AN/A1,15136828,07610,278
2014-11-17$7.83$9.0042.9%11.9%43.1%45.1%41.6%1.5%-1.0%142.3K1.9M-33.4K0.2268.63N/AN/A3,19069929,19210,588
2014-11-18$7.82$9.0039.5%12.0%39.9%38.0%44.1%1.8%0.1%138.2K2.2M-32.5K0.2077.05N/AN/A3,16864929,24410,597
2014-11-19$7.72$9.0039.4%12.1%38.8%37.7%45.8%10.6%1.1%107.5K3.2M-30.4K1.4085.74N/AN/A405629,23210,577
2014-11-20$7.86$9.0040.6%11.8%39.2%40.4%44.0%1.6%-1.6%186.2K2.0M-31.6K0.2882.81N/AN/A3,03786429,07310,454
2014-11-21$7.77$9.0039.9%11.8%39.2%38.8%43.5%5.0%-1.1%148.6K2.3M-30.5K0.3482.43N/AN/A2,52186329,09510,449
2014-11-24$7.88$9.0039.6%11.4%33.2%38.1%0.0%16.9%-0.7%46.3K2.3M-28.8K0.4938.86N/AN/A45222220,1409,087
2014-11-25$7.77$9.0036.4%11.7%25.0%31.3%40.6%-1.1%-1.2%40.5K2.4M-28.1K0.2245.32N/AN/A4,25292020,5309,028
2014-11-26$7.70$8.0036.2%11.4%24.8%30.9%40.3%-4.2%-2.3%52.6K2.0M-30.7K4.1878.47N/AN/A21690321,8509,230
2014-11-28$7.48$8.0044.2%11.7%25.6%47.9%44.6%4.3%-5.0%36.9K2.6M-30.0K0.6118.56N/AN/A26716322,06610,081