DSX Options History — March 2015

In March 2015, DSX traded between $6.10 and $7.04. ATM implied volatility averaged 37.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 10.3% (HV 20d: 27.2%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2015-03-06: Highest Volume — 1,981 contracts
  • 2015-03-10: Largest IV spike — 67.7% change
  • 2015-03-02: Highest IV Rank — 33.9%
  • 2015-03-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.50$6.10$7.04$7.04$6.10
Max Pain$6.27$6.00$8.00$8.00$6.00
ATM IV37.6%24.8%42.1%42.1%37.5%
Expected Move10.9%9.1%12.1%12.1%10.8%
HV 20d27.2%23.3%36.9%35.8%27.6%
HV 60d37.3%34.7%40.8%39.4%35.6%
IV Rank26.4%5.2%33.9%33.9%26.4%
IV Percentile56.6%1.6%78.6%78.6%56.0%
Term Structure2.2%-3.1%16.9%-0.6%3.5%
VWIV38.7%32.2%41.9%40.1%38.6%
Skew 25d6.1%-3.4%15.9%11.8%12.9%
Skew 10d11.3%-6.2%23.8%18.2%22.3%
Call IV 25d33.9%22.3%42.2%31.2%31.6%
Put IV 25d40.1%35.7%44.5%43.0%44.5%
Bid-Ask Spread %30.4614.4857.2814.4857.28
Gamma HHI0.380.290.490.300.37
Net GEX-60.5K-99.8K-14.0K-14.0K-36.0K
Net DEX2.1M1.1M3.1M1.1M1.6M
Net VEX-22.9K-25.6K-20.3K-25.6K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.050.800.78
Total Volume658.591421,9811,1821,119
Total OI24,430.09116,55628,39826,65817,928

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$7.04$8.0042.1%12.1%35.8%33.9%40.1%11.8%-0.6%-14.0K1.1M-25.6K0.8014.48N/AN/A65652614,05812,600
2015-03-03$6.88$8.0038.8%11.1%36.9%28.5%37.5%2.5%-2.9%-40.0K1.3M-24.7K0.9229.13N/AN/A57452714,06212,535
2015-03-04$6.96$8.0038.4%11.0%23.3%27.8%40.4%8.9%0.3%-37.5K1.5M-24.3K1.1323.72N/AN/A59967514,09212,538
2015-03-05$6.65$6.0038.6%11.2%27.7%28.2%40.0%-3.4%-0.6%-73.0K2.2M-23.6K1.7626.80N/AN/A6601,16014,12412,658
2015-03-06$6.50$6.0037.3%11.1%28.4%25.9%39.4%4.1%0.7%-85.3K2.7M-24.0K1.8420.12N/AN/A6971,28414,16913,423
2015-03-09$6.55$6.0024.8%10.6%27.2%5.2%39.8%5.3%1.5%-77.7K2.6M-23.6K0.1121.98N/AN/A2292614,36213,555
2015-03-10$6.50$6.0041.6%11.1%26.6%33.2%0.0%1.4%1.3%-89.5K2.7M-23.4K0.4319.02N/AN/A421814,44113,561
2015-03-11$6.52$6.0038.9%11.2%26.4%28.7%0.0%5.7%1.3%-86.1K2.7M-23.0K0.2019.03N/AN/A35714,43513,561
2015-03-12$6.53$6.0037.9%10.9%26.3%26.9%41.5%4.7%0.0%-85.2K2.7M-22.9K4.0520.72N/AN/A4317414,44013,544
2015-03-13$6.48$6.0039.7%11.4%25.4%30.0%39.0%0.5%0.6%-92.0K2.8M-23.0K0.0020.22N/AN/A50014,47313,578
2015-03-16$6.37$6.0039.4%11.3%23.4%29.4%38.7%0.0%1.2%-99.8K3.1M-22.2K2.3424.71N/AN/A5913814,51713,578
2015-03-17$6.49$6.0039.3%11.3%25.1%29.3%37.2%4.5%3.6%-74.4K2.8M-22.7K0.1725.24N/AN/A601014,54413,609
2015-03-18$6.50$6.0031.6%9.1%25.1%16.6%0.0%1.7%16.9%-84.9K2.7M-22.6K0.0131.03N/AN/A206314,58213,619
2015-03-19$6.53$6.0037.0%10.6%25.3%25.6%38.9%5.4%-0.1%-49.3K2.7M-22.5K0.4635.64N/AN/A1667614,77913,619
2015-03-20$6.37$6.0035.2%10.1%25.8%22.4%32.2%5.0%5.0%-52.1K2.7M-22.4K0.0230.60N/AN/A6631414,79313,595
2015-03-23$6.51$6.0035.4%10.1%26.0%22.7%0.0%4.6%2.3%-52.5K1.5M-20.3K0.0041.85N/AN/A44716,8909,666
2015-03-24$6.44$6.0033.4%9.6%26.1%19.5%37.8%-1.1%14.6%-49.9K1.4M-22.3K0.0319.14N/AN/A19757,2999,667
2015-03-25$6.32$6.0037.5%10.8%26.5%26.3%37.5%15.6%5.0%-45.8K1.5M-22.3K0.0055.87N/AN/A68207,3619,670
2015-03-26$6.17$6.0039.5%11.3%27.3%29.6%36.5%13.7%-1.5%-35.0K1.5M-22.3K0.9342.69N/AN/A6536098,0339,680
2015-03-27$6.28$6.0040.3%11.5%28.6%30.9%40.1%15.9%-0.0%-34.6K1.4M-22.5K0.1544.52N/AN/A91148,2269,670
2015-03-30$6.21$6.0041.9%12.0%28.0%33.6%41.9%15.5%-3.1%-35.4K1.4M-22.3K0.7046.32N/AN/A7635318,2379,691
2015-03-31$6.10$6.0037.5%10.8%27.6%26.4%38.6%12.9%3.5%-36.0K1.6M-21.9K0.7857.28N/AN/A6274928,2379,691