DSX Options History — July 2015

In July 2015, DSX traded between $7.08 and $8.12. ATM implied volatility averaged 45.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 5.0% (HV 20d: 40.1%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.05.

Notable Days

  • 2015-07-06: Highest Volume — 4,371 contracts
  • 2015-07-06: Largest IV spike — 53.9% change
  • 2015-07-13: Highest IV Rank — 69.6%
  • 2015-07-27: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.53$7.08$8.12$7.22$7.54
Max Pain$7.91$7.00$8.00$7.00$8.00
ATM IV45.1%32.9%63.5%41.2%40.5%
Expected Move11.9%9.4%13.9%11.8%11.6%
HV 20d40.1%32.7%45.8%40.2%43.2%
HV 60d34.4%31.3%38.0%31.5%37.6%
IV Rank38.9%18.6%69.6%32.5%31.3%
IV Percentile74.5%22.2%99.2%67.1%58.7%
Term Structure-1.8%-7.9%11.4%-1.6%-2.3%
VWIV40.1%34.9%45.8%42.4%41.2%
Skew 25d1.3%-10.0%15.3%15.3%-2.1%
Skew 10d4.3%-11.0%16.0%16.0%2.1%
Call IV 25d38.8%26.8%50.1%26.8%41.5%
Put IV 25d40.1%32.0%46.6%42.1%39.5%
Bid-Ask Spread %37.5218.3483.1725.7936.36
Gamma HHI0.260.250.290.260.26
Net GEX9.5K-8.0K34.3K-2.0K-7.0K
Net DEX-1.0M-2.4M41.3K-165.4K-939.0K
Net VEX-23.8K-25.3K-21.7K-25.2K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.050.926.765.871.76
Total Volume3,289.6362,4084,3714,2853,164
Total OI20,785.04520,00122,56020,04822,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$7.22$7.0041.2%11.8%40.2%32.5%42.4%15.3%-1.6%-2.0K-165.4K-25.2K5.8725.79N/AN/A6243,6619,61210,436
2015-07-02$7.25$7.0032.9%9.4%38.5%18.6%35.9%6.0%11.4%1.8K-305.4K-25.3K6.5024.57N/AN/A5633,6619,61210,436
2015-07-06$7.30$8.0050.6%11.3%38.4%48.0%39.2%-2.2%-0.4%-997-196.6K-24.8K6.7618.34N/AN/A5633,8089,62010,436
2015-07-07$7.33$8.0048.3%11.6%32.7%44.3%38.7%-0.0%-0.1%-3.7K-236.6K-24.4K3.6719.41N/AN/A7032,5819,63010,587
2015-07-08$7.13$8.0045.3%12.7%34.1%39.3%38.3%0.9%-1.9%-6.9K41.3K-24.2K3.6621.92N/AN/A7062,5819,42910,580
2015-07-09$7.08$8.0051.1%12.5%34.2%48.9%41.6%-2.6%-4.1%-5.1K-156.3K-24.2K3.3021.97N/AN/A7782,5679,42110,580
2015-07-10$7.28$8.0058.7%11.5%35.3%61.5%37.8%-1.3%-0.2%-8.0K-160.4K-23.5K3.3019.24N/AN/A7782,5669,43810,581
2015-07-13$7.65$8.0063.5%12.8%38.5%69.6%42.0%5.7%-0.8%5.7K-995.9K-23.7K4.9138.92N/AN/A5242,5719,43810,576
2015-07-14$7.65$8.0051.4%10.9%38.5%49.4%37.9%8.0%-2.4%10.5K-1.1M-22.6K4.7283.17N/AN/A5472,5819,45010,576
2015-07-15$7.52$8.0038.7%11.1%39.1%28.3%38.6%2.9%-3.0%14.4K-1.1M-21.7K4.4426.97N/AN/A5822,5849,49510,586
2015-07-16$7.68$8.0040.0%11.5%37.9%30.5%39.2%8.6%-0.5%7.5K-1.2M-21.7K4.8624.56N/AN/A5322,5849,54110,587
2015-07-17$8.12$8.0037.3%10.7%42.4%25.9%38.2%3.0%-0.0%23.8K-2.3M-22.5K0.9537.69N/AN/A2,0311,9239,53610,587
2015-07-20$7.94$8.0039.8%11.4%42.9%30.0%38.9%-9.9%-1.3%28.3K-2.1M-22.8K0.9829.07N/AN/A1,5321,5079,84910,686
2015-07-21$8.04$8.0040.2%11.5%42.4%30.7%41.8%4.7%-3.6%34.3K-2.4M-23.3K0.9646.02N/AN/A1,5481,49010,20310,805
2015-07-22$7.89$8.0039.6%11.4%41.6%29.9%41.6%-10.0%-1.6%31.9K-2.3M-23.8K0.9236.54N/AN/A1,6541,51710,23610,805
2015-07-23$7.58$8.0047.1%13.5%43.5%42.3%44.2%-4.2%-7.9%22.5K-1.8M-24.0K1.1234.17N/AN/A1,3901,55210,63410,856
2015-07-24$7.51$8.0045.4%13.0%43.3%39.5%43.2%4.9%-5.2%17.1K-1.4M-25.3K1.3274.65N/AN/A1,3701,80910,76410,840
2015-07-27$7.20$8.0048.4%13.9%45.8%44.4%45.8%-3.2%-0.4%3.2K-317.3K-25.0K1.5866.43N/AN/A1,0671,69110,77411,069
2015-07-28$7.44$8.0045.5%13.0%43.1%39.5%44.5%0.8%-4.5%1.6K-708.7K-23.9K1.5439.12N/AN/A9471,46110,90311,038
2015-07-29$7.61$8.0041.5%11.9%43.6%32.9%34.9%4.4%-4.4%22.1K-1.2M-25.2K2.0578.01N/AN/A9892,02410,99211,008
2015-07-30$7.63$8.0044.8%12.8%42.9%38.4%37.4%-1.1%-5.1%17.9K-1.0M-23.7K1.9722.45N/AN/A1,0302,03110,98711,492
2015-07-31$7.54$8.0040.5%11.6%43.2%31.3%41.2%-2.1%-2.3%-7.0K-939.0K-22.8K1.7636.36N/AN/A1,1452,01911,04111,519