DSX Options History — June 2015

In June 2015, DSX traded between $6.38 and $7.76. ATM implied volatility averaged 35.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.2% (HV 20d: 34.4%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-06-30: Highest Volume — 4,318 contracts
  • 2015-06-29: Largest IV spike — 47.1% change
  • 2015-06-29: Highest IV Rank — 48.7%
  • 2015-06-29: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.07$6.38$7.76$6.42$7.05
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV35.6%23.4%51.0%38.7%37.0%
Expected Move10.3%6.7%14.6%11.1%10.6%
HV 20d34.4%30.2%40.1%31.0%39.6%
HV 60d28.3%25.4%31.3%25.4%31.2%
IV Rank23.1%2.8%48.7%28.3%25.5%
IV Percentile40.2%0.4%97.6%52.8%44.0%
Term Structure1.2%-7.3%11.6%2.5%3.7%
VWIV36.0%31.2%52.9%40.2%37.4%
Skew 25d1.4%-11.5%10.8%-7.0%8.2%
Skew 10d3.3%-15.7%14.0%1.3%12.5%
Call IV 25d34.0%22.6%48.5%48.5%29.8%
Put IV 25d35.4%27.2%48.4%41.5%38.0%
Bid-Ask Spread %31.1019.3088.9925.5427.88
Gamma HHI0.340.260.510.450.26
Net GEX5.5K-62.6K46.0K-49.7K-7.3K
Net DEX-644.4K-2.7M1.4M1.2M141.8K
Net VEX-20.4K-24.8K-18.8K-21.0K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.146.041.475.57
Total Volume1,791.364254,3181,8554,318
Total OI21,754.77316,26024,51723,36820,038

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$6.42$7.0038.7%11.1%31.0%28.3%40.2%-7.0%2.5%-49.7K1.2M-21.0K1.4725.54N/AN/A7511,10412,03211,336
2015-06-02$6.57$7.0023.4%6.7%32.0%2.8%31.6%3.5%11.6%-28.6K872.1K-19.6K0.1419.30N/AN/A22312,02011,424
2015-06-03$6.55$7.0032.6%9.3%31.0%18.1%35.1%-8.0%-5.9%-34.7K721.6K-20.5K1.1031.28N/AN/A73380712,02211,436
2015-06-04$6.38$7.0030.6%10.5%31.0%14.9%32.2%1.6%1.5%-62.6K1.4M-18.9K1.1226.50N/AN/A71079312,03311,436
2015-06-05$6.45$7.0030.0%11.1%30.2%13.8%31.6%2.4%-5.1%-50.5K1.4M-18.8K1.4125.71N/AN/A7771,09512,06311,531
2015-06-08$6.85$7.0033.9%10.1%36.3%20.4%36.9%2.8%1.9%-2.5K-124.1K-21.0K0.5720.40N/AN/A1,27271912,14211,829
2015-06-09$6.76$7.0041.0%10.0%36.6%32.1%36.1%-11.5%-0.2%-15.1K114.7K-20.2K0.7522.06N/AN/A96071912,15711,832
2015-06-10$6.81$7.0035.9%10.3%36.6%23.6%34.8%-1.1%0.3%3.0K187.2K-19.2K1.0926.22N/AN/A76383212,16111,832
2015-06-11$6.87$7.0032.6%9.3%36.5%18.1%31.2%1.7%3.1%2.3K60.5K-19.9K1.0731.01N/AN/A73378112,21811,908
2015-06-12$7.03$7.0034.2%9.8%37.5%20.8%32.6%4.5%2.1%3.6K-514.2K-20.3K1.1988.99N/AN/A65978112,22211,970
2015-06-15$7.09$7.0037.4%10.7%35.1%26.0%34.6%9.1%1.2%5.6K-838.9K-20.1K0.3654.02N/AN/A1,91269012,25911,970
2015-06-16$7.15$7.0035.9%10.3%31.5%23.7%35.7%10.8%2.8%12.1K-1.2M-20.7K1.4126.58N/AN/A49269212,54211,967
2015-06-17$7.40$7.0035.1%10.1%33.2%22.3%35.9%-2.8%1.7%34.6K-2.5M-21.6K0.7331.79N/AN/A96870212,55011,967
2015-06-18$7.50$7.0038.0%10.9%33.2%27.1%39.1%-0.9%-1.4%42.1K-2.7M-21.9K0.3630.78N/AN/A1,91069012,37212,004
2015-06-19$7.65$7.0035.5%10.2%33.6%22.9%34.2%4.3%-1.5%42.1K-2.7M-20.0K0.8024.83N/AN/A86469012,19912,006
2015-06-22$7.51$7.0037.6%10.8%34.5%26.5%36.9%3.7%2.7%41.3K-1.8M-20.3K1.2531.72N/AN/A5056319,4596,801
2015-06-23$7.76$7.0033.5%9.6%34.6%19.6%37.2%8.9%3.1%44.5K-1.9M-20.8K1.4431.01N/AN/A4446409,4646,843
2015-06-24$7.61$7.0036.9%10.6%33.9%25.3%32.8%-6.5%-1.3%46.0K-2.0M-20.2K2.2123.12N/AN/A3888569,5086,850
2015-06-25$7.50$7.0037.3%10.7%34.1%26.0%35.8%-0.8%-0.0%37.7K-1.6M-20.1K1.8120.85N/AN/A4698499,5087,168
2015-06-26$7.47$7.0034.7%9.9%33.9%21.6%37.4%1.2%10.0%36.0K-1.6M-20.2K2.0424.94N/AN/A4609399,5437,170
2015-06-29$7.08$7.0051.0%14.6%40.1%48.7%52.9%6.0%-7.3%21.0K-768.3K-19.7K6.0439.63N/AN/A6093,6789,5437,270
2015-06-30$7.05$7.0037.0%10.6%39.6%25.5%37.4%8.2%3.7%-7.3K141.8K-24.8K5.5727.88N/AN/A6573,6619,61210,426