DSX Options History — September 2015

In September 2015, DSX traded between $6.08 and $6.85. ATM implied volatility averaged 46.8%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 7.2% (HV 20d: 39.6%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2015-09-04: Highest Volume — 3,752 contracts
  • 2015-09-28: Largest IV spike — 26.2% change
  • 2015-09-08: Highest IV Rank — 59.3%
  • 2015-09-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.49$6.08$6.85$6.66$6.38
Max Pain$8.95$7.00$10.00$7.00$9.00
ATM IV46.8%38.0%58.0%50.7%41.6%
Expected Move13.2%10.9%15.1%14.5%11.9%
HV 20d39.6%32.8%43.8%42.4%37.6%
HV 60d39.9%39.1%40.8%39.7%40.8%
IV Rank40.4%25.0%59.3%48.2%31.3%
IV Percentile75.0%27.8%97.2%93.7%52.8%
Term Structure-0.1%-7.1%11.5%2.4%11.5%
VWIV47.7%40.1%66.7%66.7%46.3%
Skew 25d4.2%-8.4%18.9%18.9%-4.9%
Skew 10d11.8%-7.9%31.5%31.5%19.9%
Call IV 25d44.1%36.2%52.8%46.4%52.8%
Put IV 25d48.4%38.3%65.3%65.3%48.0%
Bid-Ask Spread %35.6114.84124.6927.17124.69
Gamma HHI0.330.290.450.310.30
Net GEX-14.5K-44.3K4.2K-1.6K-9.5K
Net DEX1.2M241.5K2.3M665.1K1.0M
Net VEX-18.4K-22.4K-16.2K-22.4K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.321.821.771.48
Total Volume2,438.6192813,7523,3542,005
Total OI23,170.61918,67526,50224,89819,054

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$6.66$7.0050.7%14.5%42.4%48.2%66.7%18.9%2.4%-1.6K665.1K-22.4K1.7727.17N/AN/A1,2112,14314,03010,868
2015-09-02$6.69$7.0052.5%15.1%42.5%51.3%64.0%13.7%-7.1%-951624.5K-22.3K1.7426.49N/AN/A1,3102,27314,12310,868
2015-09-03$6.61$10.0047.9%13.0%42.3%43.5%43.1%4.2%0.6%-6.0K813.5K-21.8K1.7835.60N/AN/A1,3352,37314,22310,998
2015-09-04$6.43$10.0055.7%14.3%42.9%56.6%50.5%8.6%0.1%-19.3K1.5M-20.7K1.8240.09N/AN/A1,3312,42114,16411,098
2015-09-08$6.37$10.0058.0%14.1%42.9%59.3%48.9%4.9%-1.6%-26.6K1.6M-19.9K0.3838.80N/AN/A2047714,19611,130
2015-09-09$6.16$9.0047.8%13.7%43.8%41.9%45.3%3.3%-2.0%-36.8K2.1M-18.1K1.4645.01N/AN/A1,0111,47114,40011,215
2015-09-10$6.26$9.0047.1%13.5%42.4%40.5%46.4%1.7%-0.0%-33.7K1.9M-18.6K1.5716.48N/AN/A1,0111,58914,62511,251
2015-09-11$6.16$9.0047.3%13.6%42.6%41.0%47.0%-1.8%0.3%-41.7K2.1M-17.9K1.0917.77N/AN/A1,0111,09914,67511,323
2015-09-14$6.08$9.0045.4%13.0%40.9%37.7%46.6%-8.1%1.8%-44.3K2.3M-17.1K1.0220.36N/AN/A1,0111,02914,67511,333
2015-09-15$6.26$9.0049.1%14.1%38.0%44.0%44.8%0.3%-2.7%-39.5K1.9M-16.4K0.3226.66N/AN/A96130614,77511,330
2015-09-16$6.34$9.0046.3%13.3%37.7%39.3%46.3%2.4%-0.8%-29.5K1.8M-17.4K1.1837.31N/AN/A1,3091,54615,15911,343
2015-09-17$6.49$9.0047.9%13.7%39.2%42.1%48.1%3.8%-2.8%-7.5K1.4M-16.9K1.1877.59N/AN/A1,3421,58515,10611,315
2015-09-18$6.72$9.0040.8%11.7%41.8%29.9%42.7%8.1%3.8%1891.1M-17.8K1.1460.70N/AN/A1,3371,51914,91611,270
2015-09-21$6.76$9.0038.0%10.9%41.6%25.0%40.1%11.1%1.5%3.7K241.5K-17.9K1.3419.47N/AN/A1,0281,37910,3338,342
2015-09-22$6.58$9.0044.4%12.7%32.8%36.0%44.0%2.1%-1.9%-188503.8K-18.1K1.1816.89N/AN/A1,0301,21110,5008,549
2015-09-23$6.70$9.0042.4%12.1%33.5%32.5%44.7%4.8%-1.9%-2.3K467.4K-18.0K1.3814.84N/AN/A9221,27210,5048,676
2015-09-24$6.57$9.0039.0%11.2%34.0%26.8%44.7%6.1%1.5%-7.2K719.5K-17.6K1.3625.28N/AN/A9221,25410,4668,677
2015-09-25$6.85$9.0040.5%11.6%37.0%29.2%50.7%14.1%1.8%4.2K290.0K-17.9K1.2726.08N/AN/A9401,19810,4758,524
2015-09-28$6.68$9.0051.0%14.6%36.9%47.4%41.0%-8.4%-6.6%611436.3K-17.4K1.3020.78N/AN/A9211,19810,5048,528
2015-09-29$6.46$9.0049.8%14.3%38.3%45.3%48.8%4.1%-0.4%-5.5K777.5K-16.7K1.3029.73N/AN/A9181,19810,5148,528
2015-09-30$6.38$9.0041.6%11.9%37.6%31.3%46.3%-4.9%11.5%-9.5K1.0M-16.2K1.48124.69N/AN/A8101,19510,5268,528