DSX Options History — February 2015

In February 2015, DSX traded between $6.63 and $7.23. ATM implied volatility averaged 41.1%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 2.7% (HV 20d: 43.8%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.50.

Notable Days

  • 2015-02-03: Highest Volume — 2,668 contracts
  • 2015-02-09: Largest IV spike — 14.5% change
  • 2015-02-20: Highest IV Rank — 35.8%
  • 2015-02-10: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.05$6.63$7.23$6.63$6.96
Max Pain$7.68$6.00$8.00$6.00$8.00
ATM IV41.1%36.0%43.2%42.0%41.0%
Expected Move12.1%11.5%12.7%12.1%11.8%
HV 20d43.8%38.1%49.6%41.6%38.1%
HV 60d41.8%38.4%42.4%38.4%39.4%
IV Rank32.3%23.8%35.8%33.9%32.2%
IV Percentile74.0%50.0%84.9%76.6%71.0%
Term Structure-1.4%-3.3%1.9%1.9%-2.1%
VWIV42.4%34.9%47.8%41.3%39.4%
Skew 25d6.2%-8.9%27.6%11.0%8.6%
Skew 10d14.8%-12.9%50.3%17.8%14.1%
Call IV 25d40.6%28.1%49.0%41.1%31.3%
Put IV 25d46.8%37.2%58.0%52.1%39.9%
Bid-Ask Spread %19.3211.2029.3826.5417.19
Gamma HHI0.340.290.400.340.29
Net GEX22.0K-23.7K64.3K-9.7K-23.7K
Net DEX526.3K-172.9K1.6M1.6M1.2M
Net VEX-29.0K-32.0K-26.0K-29.2K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.162.760.240.77
Total Volume1,514.474562,668561,183
Total OI26,55726,14727,28126,16626,633

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$6.63$6.0042.0%12.1%41.6%33.9%0.0%11.0%1.9%-9.7K1.6M-29.2K0.2426.54N/AN/A451114,32111,845
2015-02-03$7.18$6.0041.3%11.9%49.6%32.7%41.3%27.6%1.7%34.1K53.2K-32.0K1.4829.38N/AN/A1,0771,59114,29611,851
2015-02-04$7.07$6.0042.3%12.1%49.3%34.3%41.9%10.0%0.2%36.5K271.5K-31.3K1.8223.66N/AN/A8151,48414,53711,845
2015-02-05$7.10$8.0038.7%11.8%48.8%28.3%43.7%1.5%-1.5%38.4K84.5K-31.2K1.9218.38N/AN/A7731,48414,57411,838
2015-02-06$6.90$8.0036.0%12.1%46.1%23.8%42.0%1.1%-1.2%24.3K742.6K-29.8K1.9320.92N/AN/A7781,50214,64111,838
2015-02-09$6.99$8.0041.2%12.6%45.9%32.5%45.4%3.9%-2.6%30.1K524.5K-30.4K2.4021.48N/AN/A6301,51214,66011,856
2015-02-10$7.04$8.0037.4%12.7%42.8%26.2%42.0%7.7%-1.7%34.3K502.1K-30.2K1.9614.39N/AN/A5151,00714,67711,872
2015-02-11$6.95$8.0042.3%12.1%42.9%34.2%42.8%8.9%-1.9%29.9K714.9K-29.5K1.7614.03N/AN/A5931,04314,66411,877
2015-02-12$7.06$8.0042.5%12.2%43.0%34.6%45.9%5.5%-2.9%39.7K426.1K-29.5K1.8821.24N/AN/A5811,09414,59611,922
2015-02-13$7.23$8.0041.1%11.8%42.9%32.3%43.6%7.2%-0.8%55.2K-172.9K-29.5K1.7518.28N/AN/A5891,03014,63912,020
2015-02-17$7.19$8.0041.3%11.9%43.0%32.7%42.8%8.6%-0.5%60.1K-54.1K-29.0K1.8119.30N/AN/A5691,03014,68012,045
2015-02-18$7.20$8.0041.9%12.0%43.0%33.7%46.9%8.6%-3.2%64.3K-40.0K-28.4K2.7624.30N/AN/A5661,56114,73812,035
2015-02-19$7.18$8.0041.3%11.8%42.9%32.7%37.2%0.1%-0.5%56.9K24.8K-28.8K0.1613.27N/AN/A2474014,70312,578
2015-02-20$7.23$8.0043.2%12.4%42.7%35.8%43.1%-1.0%-3.3%8.1K-50.2K-28.3K1.4711.20N/AN/A558114,61412,567
2015-02-23$7.01$8.0042.6%12.2%44.5%34.9%38.8%-8.9%-3.1%-9.4K789.7K-27.1K1.7713.04N/AN/A6281,11213,72512,531
2015-02-24$6.99$8.0041.9%12.0%44.5%33.6%44.5%3.7%-2.5%-14.5K1.0M-26.8K1.0822.92N/AN/A63168313,77912,532
2015-02-25$7.00$8.0042.8%12.3%43.2%35.1%47.8%8.9%-2.8%-13.5K1.1M-27.0K0.7522.33N/AN/A64648613,87912,587
2015-02-26$6.98$8.0040.0%11.5%38.1%30.4%34.9%4.9%-0.3%-22.6K1.2M-26.4K0.7415.14N/AN/A63347013,99912,589
2015-02-27$6.96$8.0041.0%11.8%38.1%32.2%39.4%8.6%-2.1%-23.7K1.2M-26.0K0.7717.19N/AN/A66751614,04012,593