DSX Options History — January 2015

In January 2015, DSX traded between $6.31 and $6.81. ATM implied volatility averaged 45.9%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 6.2% (HV 20d: 39.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-01-15: Highest Volume — 3,299 contracts
  • 2015-01-14: Largest IV drop — 46.6% change
  • 2015-01-13: Highest IV Rank — 100.0%
  • 2015-01-21: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.55$6.31$6.81$6.65$6.65
Max Pain$6.50$6.00$7.00$7.00$6.00
ATM IV45.9%30.0%81.8%42.0%43.4%
Expected Move13.1%11.5%14.5%11.9%12.4%
HV 20d39.7%32.6%44.2%42.0%41.7%
HV 60d40.2%36.3%42.8%40.8%39.2%
IV Rank43.7%17.7%100.0%43.2%36.0%
IV Percentile80.4%17.9%100.0%80.2%81.3%
Term Structure-0.7%-5.7%3.8%-2.0%-2.0%
VWIV43.8%36.5%57.5%45.9%43.2%
Skew 25d5.6%-6.8%12.3%-6.8%4.9%
Skew 10d11.9%-10.0%86.6%-0.8%5.8%
Call IV 25d41.4%35.0%49.5%41.0%44.0%
Put IV 25d47.0%34.3%53.6%34.3%48.9%
Bid-Ask Spread %28.5415.7649.7820.7947.23
Gamma HHI0.310.280.380.290.33
Net GEX-1.9K-24.4K20.4K5.2K-10.2K
Net DEX2.4M1.2M3.4M2.9M1.7M
Net VEX-27.4K-29.3K-25.1K-27.9K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.015.880.222.30
Total Volume1,731.75423,2992,9332,301
Total OI30,06623,69735,47633,43326,124

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$6.65$7.0042.0%11.9%42.0%43.2%45.9%-6.8%-2.0%5.2K2.9M-27.9K0.2220.79N/AN/A2,41252121,38012,053
2015-01-05$6.52$7.0032.6%13.7%42.4%23.1%0.0%6.8%-1.3%3.8K3.0M-27.2K5.2715.76N/AN/A3015821,41012,061
2015-01-06$6.39$7.0043.5%14.3%42.8%46.4%0.0%3.0%-2.4%-3.7K3.2M-26.4K5.8822.86N/AN/A4224721,44012,175
2015-01-07$6.31$7.0030.0%14.1%35.5%17.7%0.0%0.1%-3.7%-10.5K3.4M-25.1K0.9131.74N/AN/A222021,46512,191
2015-01-08$6.69$7.0043.7%13.1%41.2%46.9%38.1%12.0%-2.5%6.1K2.9M-26.9K0.4928.12N/AN/A1,90293921,46712,226
2015-01-09$6.81$7.0042.8%12.6%41.5%44.8%36.5%12.3%1.2%20.4K2.8M-27.8K0.5320.54N/AN/A1,71791021,93612,354
2015-01-12$6.52$7.0062.5%13.3%44.1%86.8%49.9%0.5%-0.7%7.7K2.8M-27.2K0.7326.41N/AN/A1,7581,28522,04612,354
2015-01-13$6.45$7.0081.8%13.6%44.2%100.0%42.5%3.6%0.7%2.6K3.1M-26.6K0.8022.37N/AN/A1,6131,28722,13012,700
2015-01-14$6.53$7.0043.7%12.5%43.1%36.6%42.1%10.8%2.7%5.8K3.3M-26.4K0.6249.78N/AN/A1,58097722,21712,695
2015-01-15$6.43$7.0049.3%14.1%43.2%45.9%49.5%4.9%-0.2%-1.2K3.0M-25.9K1.0623.55N/AN/A1,6011,69822,15412,443
2015-01-16$6.51$6.0046.0%13.2%43.1%40.4%44.3%2.6%1.0%-2.0K3.0M-28.5K1.8626.98N/AN/A13925822,27213,204
2015-01-20$6.53$6.0049.4%14.2%43.1%46.2%44.7%6.6%-2.7%-5.8K1.5M-27.3K1.1231.65N/AN/A27030313,44010,257
2015-01-21$6.63$6.0050.5%14.5%34.1%47.9%57.5%10.8%-5.7%-3741.3M-28.2K0.0127.03N/AN/A146113,65810,486
2015-01-22$6.58$6.0043.1%12.4%34.0%35.6%44.0%5.3%1.6%1.3K1.2M-27.8K0.9827.66N/AN/A1,1771,15813,74710,496
2015-01-23$6.60$6.0041.0%11.8%32.9%32.2%38.0%5.2%-1.2%-6.9K1.5M-28.2K0.4529.56N/AN/A1,37762113,83511,005
2015-01-26$6.56$6.0040.2%11.5%32.6%30.8%39.8%6.0%2.1%-6.2K1.5M-27.9K2.8329.60N/AN/A13437913,92711,006
2015-01-27$6.77$6.0043.6%12.5%34.6%36.5%0.0%9.7%-4.0%-7661.3M-28.4K5.3734.86N/AN/A2714514,01911,356
2015-01-28$6.42$6.0044.7%12.8%38.9%38.3%44.1%8.7%3.8%-18.7K1.8M-27.4K1.3529.69N/AN/A1,1641,57114,03011,470
2015-01-29$6.39$6.0044.8%12.8%38.9%38.4%40.7%5.6%1.6%-24.4K2.2M-27.7K1.4024.66N/AN/A1,1421,60314,13411,957
2015-01-30$6.65$6.0043.4%12.4%41.7%36.0%43.2%4.9%-2.0%-10.2K1.7M-29.3K2.3047.23N/AN/A6981,60314,27011,854