DSX Options History — August 2015

In August 2015, DSX traded between $6.52 and $7.58. ATM implied volatility averaged 45.4%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.5% (HV 20d: 39.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-08-06: Highest Volume — 5,504 contracts
  • 2015-08-06: Largest IV spike — 24.1% change
  • 2015-08-24: Highest IV Rank — 52.5%
  • 2015-08-24: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.14$6.52$7.58$7.58$6.83
Max Pain$7.14$7.00$8.00$8.00$7.00
ATM IV45.4%37.9%53.3%43.0%49.6%
Expected Move12.8%10.9%15.3%12.3%14.2%
HV 20d39.9%34.0%43.5%43.2%41.9%
HV 60d38.6%36.7%41.4%37.4%41.2%
IV Rank39.4%26.9%52.5%35.4%46.5%
IV Percentile77.2%36.9%97.2%75.0%92.1%
Term Structure-1.6%-8.0%5.7%-3.4%1.3%
VWIV45.0%32.2%73.0%39.0%73.0%
Skew 25d1.9%-9.1%26.9%1.6%26.9%
Skew 10d4.9%-10.5%41.5%2.9%41.5%
Call IV 25d43.0%34.7%56.3%41.0%42.6%
Put IV 25d44.9%34.4%69.5%42.6%69.5%
Bid-Ask Spread %37.3215.41102.8331.3630.40
Gamma HHI0.360.270.490.290.32
Net GEX32.0K-17.8K80.1K12.8K13.0K
Net DEX-554.8K-2.0M1.1M-1.1M319.1K
Net VEX-24.5K-28.1K-20.3K-20.3K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.002.190.041.66
Total Volume2,822.23885,5042923,433
Total OI25,347.28622,73127,01122,73124,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$7.58$8.0043.0%12.3%43.2%35.4%39.0%1.6%-3.4%12.8K-1.1M-20.3K0.0431.36N/AN/A2821011,22111,510
2015-08-04$7.48$8.0042.7%12.2%43.5%35.0%40.9%2.7%3.0%21.1K-1.3M-23.3K1.9126.06N/AN/A1,0852,06711,30811,519
2015-08-05$7.50$8.0042.6%12.2%42.2%34.8%43.0%-3.9%5.7%16.8K-944.3K-23.9K2.1926.12N/AN/A7801,71111,37511,542
2015-08-06$7.54$7.0052.8%11.6%42.1%51.8%39.9%5.3%-1.5%16.2K-1.1M-23.8K0.4615.41N/AN/A3,7811,72311,47011,683
2015-08-07$7.54$7.0043.9%12.3%41.0%37.0%42.2%5.9%-3.9%64.6K-2.0M-28.1K0.9528.68N/AN/A1,7851,69814,32711,663
2015-08-10$7.44$7.0051.3%12.5%37.2%49.3%42.8%1.1%-7.2%61.4K-1.7M-27.1K0.9128.33N/AN/A1,9311,75014,28311,669
2015-08-11$7.33$7.0043.9%13.2%37.5%36.9%43.8%1.5%-7.2%55.6K-1.3M-26.9K0.3117.91N/AN/A1013114,40811,664
2015-08-12$7.01$7.0042.1%12.1%40.1%33.9%42.5%-7.3%-1.2%36.9K-167.3K-25.9K1.4522.13N/AN/A1,2371,79014,43311,675
2015-08-13$7.00$7.0039.9%11.4%39.1%30.4%42.1%-9.1%1.1%39.1K-27.1K-25.8K1.4119.61N/AN/A1,2681,79014,71811,665
2015-08-14$7.18$7.0040.8%11.7%34.0%31.9%40.9%-6.4%1.8%51.1K-552.8K-25.7K1.4423.53N/AN/A1,2371,77714,81311,665
2015-08-17$7.53$7.0037.9%10.9%38.4%26.9%38.2%7.8%-0.7%80.1K-1.8M-25.1K1.1621.44N/AN/A1,5991,85814,80511,684
2015-08-18$7.29$7.0041.8%12.0%39.3%33.4%32.2%4.2%-1.0%71.7K-1.3M-26.6K1.2223.01N/AN/A1,5221,85815,07611,785
2015-08-19$7.26$7.0041.5%11.9%39.0%32.9%0.0%-2.2%-0.6%62.3K-907.0K-24.9K0.0024.55N/AN/A8015,07611,776
2015-08-20$7.25$7.0049.4%14.2%36.6%46.1%49.3%0.2%-6.3%66.0K-1.1M-25.8K1.2531.69N/AN/A1,4921,86315,08411,785
2015-08-21$7.12$7.0047.4%13.6%37.0%42.8%39.3%-4.0%-3.7%40.0K-741.5K-25.6K1.3246.78N/AN/A1,3971,84815,21311,798
2015-08-24$6.60$7.0053.3%15.3%43.2%52.5%55.6%-4.7%-3.2%971528.0K-24.3K1.53102.83N/AN/A1,1781,79713,88811,054
2015-08-25$6.59$7.0048.4%13.9%40.9%44.3%47.5%-3.9%3.9%-959631.3K-22.9K1.6148.49N/AN/A1,0911,75213,89711,049
2015-08-26$6.52$7.0050.2%14.4%39.5%47.4%45.4%0.8%-8.0%-16.1K1.1M-22.5K1.4696.06N/AN/A1,1151,63013,84211,140
2015-08-27$6.55$7.0045.1%12.9%39.6%38.9%43.9%4.8%-0.5%-17.8K1.1M-21.6K1.5194.35N/AN/A1,0851,64113,84211,143
2015-08-28$6.74$7.0045.6%13.1%41.6%39.7%59.5%18.4%-2.0%-3.0K696.9K-22.5K1.9124.92N/AN/A1,1232,14313,84411,154
2015-08-31$6.83$7.0049.6%14.2%41.9%46.5%73.0%26.9%1.3%13.0K319.1K-22.7K1.6630.40N/AN/A1,2902,14313,87910,868