DSX Options History — October 2015

In October 2015, DSX traded between $6.18 and $7.12. ATM implied volatility averaged 43.1%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 1.3% (HV 20d: 41.8%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-10-12: Highest Volume — 3,071 contracts
  • 2015-10-26: Largest IV spike — 36.5% change
  • 2015-10-01: Highest IV Rank — 47.2%
  • 2015-10-01: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.75$6.18$7.12$6.18$6.30
Max Pain$7.18$7.00$9.00$9.00$7.00
ATM IV43.1%32.1%50.9%50.9%46.0%
Expected Move12.1%9.2%14.6%14.6%13.2%
HV 20d41.8%35.0%46.7%38.9%35.0%
HV 60d40.4%38.7%43.5%40.9%39.1%
IV Rank33.7%14.9%47.2%47.2%38.6%
IV Percentile58.4%3.2%92.9%92.9%78.2%
Term Structure0.5%-5.4%10.4%-5.4%-1.8%
VWIV41.5%33.6%50.2%50.2%45.1%
Skew 25d3.9%-6.3%15.0%7.1%0.4%
Skew 10d10.6%-3.5%75.2%8.6%1.5%
Call IV 25d40.7%29.0%46.8%44.2%46.8%
Put IV 25d44.6%34.5%51.4%51.4%47.2%
Bid-Ask Spread %23.4713.0729.2423.2318.65
Gamma HHI0.320.270.380.300.35
Net GEX-4.6K-55.1K18.4K-13.0K-12.8K
Net DEX215.2K-540.1K1.3M1.3M1.0M
Net VEX-15.6K-17.9K-13.2K-15.4K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.071.461.040.33
Total Volume2,178.8182123,0712,3392,417
Total OI19,59818,83020,64219,07020,642

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$6.18$9.0050.9%14.6%38.9%47.2%50.2%7.1%-5.4%-13.0K1.3M-15.4K1.0423.23N/AN/A1,1441,19510,5418,529
2015-10-02$6.39$9.0041.6%11.9%40.9%31.3%46.9%15.0%10.4%-9.2K1.0M-16.2K1.0724.26N/AN/A1,0291,09710,7638,552
2015-10-05$6.84$7.0045.0%12.8%46.6%37.0%42.7%5.6%-0.1%1.3K246.0K-16.6K0.0729.24N/AN/A1981410,7798,525
2015-10-06$6.97$7.0048.4%12.4%46.7%42.9%44.9%2.2%0.4%13.8K-199.0K-17.8K1.0124.09N/AN/A1,1011,11410,9158,539
2015-10-07$7.12$7.0046.5%12.4%44.8%39.6%41.5%7.9%0.3%15.3K-466.5K-17.9K1.2123.43N/AN/A9841,19410,9458,617
2015-10-08$7.03$7.0045.1%12.3%45.2%37.2%40.4%5.8%-1.4%3.8K-201.7K-17.3K0.7927.07N/AN/A1,4111,11210,6688,730
2015-10-09$7.10$7.0040.3%12.0%44.4%29.0%38.7%8.0%-2.8%7.2K-360.3K-17.7K0.7923.56N/AN/A1,4011,10310,6818,764
2015-10-12$7.04$7.0048.0%12.5%44.2%42.2%42.2%6.4%-0.8%1.4K-222.7K-16.8K1.0525.82N/AN/A1,5011,57010,6868,765
2015-10-13$7.00$7.0049.4%11.9%43.6%44.5%42.7%3.3%-0.9%-29.1K-96.7K-16.8K1.1926.68N/AN/A1,3881,64710,8869,262
2015-10-14$7.04$7.0040.6%11.6%43.6%29.5%40.8%4.7%1.7%-33.9K-146.7K-17.2K1.2724.24N/AN/A1,3341,69710,8909,268
2015-10-15$7.12$7.0042.1%12.1%43.1%32.1%42.2%-5.9%0.3%-55.1K-431.7K-15.8K1.4623.16N/AN/A1,1291,64710,8809,268
2015-10-16$7.09$7.0040.1%11.5%41.7%28.6%40.7%-6.3%2.0%18.4K-540.1K-15.9K0.9822.29N/AN/A1,1921,16311,0199,278
2015-10-19$7.00$7.0037.8%10.8%42.0%24.6%36.3%5.5%1.9%17.0K-342.4K-15.7K0.4324.64N/AN/A1,15249210,8048,026
2015-10-20$7.01$7.0039.9%11.4%40.6%28.2%37.5%6.9%1.0%15.0K-262.7K-15.2K0.4213.07N/AN/A1,16149010,8048,041
2015-10-21$6.76$7.0039.4%11.3%42.5%27.4%38.2%10.1%1.4%5.6K98.1K-14.7K0.2427.84N/AN/A1,16028210,8158,041
2015-10-22$6.62$7.0041.8%12.0%42.6%31.6%42.5%3.4%-1.1%-2.9K441.0K-13.9K0.3225.57N/AN/A1,26340110,8258,011
2015-10-23$6.52$7.0032.1%9.2%40.0%14.9%33.6%7.2%2.3%-6.1K676.8K-13.2K0.1325.26N/AN/A2,06727111,0318,147
2015-10-26$6.40$7.0043.8%12.6%39.6%35.0%37.4%1.3%3.1%-6.5K683.1K-14.4K0.1725.14N/AN/A1,62527111,6748,156
2015-10-27$6.27$7.0043.0%12.3%38.4%33.5%44.8%-3.0%-2.1%-14.5K1.0M-13.3K0.1514.96N/AN/A1,75026411,7748,156
2015-10-28$6.35$7.0045.6%13.1%38.5%38.1%43.9%0.4%-1.8%-7.9K784.8K-14.1K0.2026.78N/AN/A1,80035911,9518,166
2015-10-29$6.38$7.0040.2%11.5%36.7%28.8%40.1%-0.2%4.2%-7.9K768.3K-14.1K0.3017.42N/AN/A1,80054412,0768,266
2015-10-30$6.30$7.0046.0%13.2%35.0%38.6%45.1%0.4%-1.8%-12.8K1.0M-14.3K0.3318.65N/AN/A1,82359412,0768,566