DSX Options History — May 2015

In May 2015, DSX traded between $6.25 and $7.26. ATM implied volatility averaged 40.3%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 14.2% (HV 20d: 26.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-05-05: Highest Volume — 2,617 contracts
  • 2015-05-13: Largest IV drop — 49.3% change
  • 2015-05-12: Highest IV Rank — 68.9%
  • 2015-05-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.74$6.25$7.26$6.26$6.45
Max Pain$6.95$6.00$7.00$6.00$7.00
ATM IV40.3%31.9%63.1%42.4%37.8%
Expected Move10.2%9.1%12.2%12.2%10.8%
HV 20d26.2%20.3%31.9%21.0%31.0%
HV 60d25.7%24.0%27.4%24.1%27.0%
IV Rank31.0%17.0%68.9%34.5%26.7%
IV Percentile57.5%25.8%99.2%78.6%50.0%
Term Structure0.1%-4.3%4.2%-3.2%1.2%
VWIV34.2%30.9%38.6%35.5%37.4%
Skew 25d-1.6%-14.0%10.8%10.8%1.2%
Skew 10d2.5%-17.9%71.6%17.9%5.9%
Call IV 25d34.2%25.3%40.2%34.6%38.7%
Put IV 25d32.6%22.3%45.4%45.4%39.9%
Bid-Ask Spread %17.988.8627.0022.0127.00
Gamma HHI0.350.290.430.430.43
Net GEX-20.7K-58.6K19.5K-56.4K-44.4K
Net DEX171.2K-1.4M1.8M1.8M1.0M
Net VEX-22.8K-24.8K-21.1K-21.1K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.004.811.491.34
Total Volume1,702.95312,6171,4911,762
Total OI22,519.1520,63123,39820,63623,392

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$6.26$6.0042.4%12.2%21.0%34.5%35.5%10.8%-3.2%-56.4K1.8M-21.1K1.4922.01N/AN/A6008919,69810,938
2015-05-04$6.25$7.0046.8%10.7%20.3%41.7%0.0%-1.9%1.0%-58.6K1.7M-21.2K0.0021.98N/AN/A9509,70410,927
2015-05-05$6.40$7.0045.6%11.6%21.9%39.7%37.3%3.9%-4.3%-49.2K1.3M-22.3K0.5216.41N/AN/A1,7268919,76910,939
2015-05-06$6.57$7.0034.8%9.9%23.4%21.9%35.5%6.1%1.8%-40.8K687.3K-24.6K0.5115.57N/AN/A1,68086410,74410,939
2015-05-07$6.71$7.0046.5%9.8%23.6%41.2%33.7%7.6%2.4%-38.6K530.5K-22.3K0.5118.42N/AN/A1,68086510,76510,936
2015-05-08$6.88$7.0050.8%10.2%24.4%48.4%35.8%2.5%0.3%-18.4K-31.3K-22.7K0.1917.04N/AN/A1,59231010,81010,922
2015-05-11$6.86$7.0062.0%10.6%24.7%67.0%35.4%-7.7%-0.5%2.3K-633.4K-23.9K0.4725.39N/AN/A1024811,67510,851
2015-05-12$6.91$7.0063.1%10.3%24.1%68.9%31.4%0.3%0.1%-1.9K-479.9K-23.9K0.9012.16N/AN/A1,01391011,72310,895
2015-05-13$6.99$7.0032.0%9.2%23.2%17.2%31.9%-9.8%4.2%1.4K-828.2K-23.2K1.1417.72N/AN/A9661,09911,96411,038
2015-05-14$7.00$7.0034.2%9.8%23.2%20.9%33.5%-12.1%0.2%11.3K-693.8K-24.8K1.2813.19N/AN/A8261,05712,11811,228
2015-05-15$7.26$7.0033.4%9.6%23.5%19.4%34.4%-3.7%0.7%19.5K-1.4M-24.1K0.8820.84N/AN/A1,1501,00712,16811,230
2015-05-18$6.95$7.0033.3%9.5%28.8%19.3%33.3%1.0%0.0%-2.3K-491.6K-23.1K4.8119.92N/AN/A6732211,62810,956
2015-05-19$6.88$7.0031.9%9.1%29.2%17.0%31.9%-1.8%0.7%-11.4K-92.7K-22.9K0.0012.89N/AN/A31011,62811,253
2015-05-20$6.85$7.0033.8%9.7%29.3%20.2%30.9%-5.6%1.0%-13.2K-108.3K-23.3K1.5216.46N/AN/A8451,28411,64911,265
2015-05-21$6.92$7.0033.3%9.5%29.3%19.3%31.1%-3.0%-0.4%-7.7K-108.9K-22.8K1.3114.86N/AN/A9881,29211,83711,350
2015-05-22$6.89$7.0033.8%9.7%29.3%20.2%31.5%-3.0%-1.6%-5.1K-363.0K-23.7K1.408.86N/AN/A9161,28612,00511,350
2015-05-26$6.75$7.0033.6%9.6%29.9%19.8%34.3%-8.9%0.1%-22.7K52.4K-22.6K1.4313.65N/AN/A9211,31411,99411,350
2015-05-27$6.58$7.0036.2%10.4%31.6%24.1%35.9%-14.0%-0.5%-33.3K591.4K-21.8K1.1821.61N/AN/A8751,03311,99411,378
2015-05-28$6.50$7.0041.4%11.9%31.9%32.8%38.6%5.7%-1.8%-45.1K976.7K-21.4K1.3423.68N/AN/A7471,00411,99711,376
2015-05-29$6.45$7.0037.8%10.8%31.0%26.7%37.4%1.2%1.2%-44.4K1.0M-21.2K1.3427.00N/AN/A7531,00912,01511,377