DSX Options History — November 2015

In November 2015, DSX traded between $4.75 and $6.45. ATM implied volatility averaged 44.5%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.8% (HV 20d: 43.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-11-25: Highest Volume — 6,131 contracts
  • 2015-11-04: Largest IV drop — 12.6% change
  • 2015-11-09: Highest IV Rank — 43.7%
  • 2015-11-27: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.53$4.75$6.45$6.42$4.75
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV44.5%39.9%48.9%47.3%46.0%
Expected Move12.5%11.4%13.9%13.6%13.2%
HV 20d43.7%23.7%57.9%25.1%57.3%
HV 60d43.1%36.7%47.2%39.3%45.7%
IV Rank36.2%28.2%43.7%41.0%38.7%
IV Percentile68.0%37.7%87.7%81.7%77.0%
Term Structure-0.2%-6.4%14.5%-6.4%-1.2%
VWIV45.0%31.2%61.5%47.5%46.4%
Skew 25d2.5%-7.3%32.0%-1.7%1.1%
Skew 10d10.2%-7.8%108.2%-1.0%3.0%
Call IV 25d43.7%29.1%50.7%46.7%45.0%
Put IV 25d46.2%37.9%82.8%45.0%46.1%
Bid-Ask Spread %18.5014.2626.8218.9618.89
Gamma HHI0.380.330.480.330.36
Net GEX-29.3K-45.9K-9.6K-9.6K-35.9K
Net DEX2.9M711.3K4.3M799.0K4.3M
Net VEX-9.1K-13.6K-5.5K-13.6K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0010.620.323.17
Total Volume2,730.5536,1312,428146
Total OI22,928.4520,34726,23920,45526,169

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$6.42$7.0047.3%13.6%25.1%41.0%47.5%-1.7%-6.4%-9.6K799.0K-13.6K0.3218.96N/AN/A1,83459412,0968,359
2015-11-03$6.33$7.0047.0%13.5%24.0%40.4%45.4%-0.5%-0.8%-12.0K949.3K-13.3K0.2114.39N/AN/A1,83438412,1168,359
2015-11-04$6.45$7.0041.1%11.8%23.7%30.3%41.6%-3.1%6.3%-11.6K711.3K-12.9K0.2420.78N/AN/A1,83743412,1168,231
2015-11-05$6.26$7.0045.6%11.5%25.2%38.1%42.4%-6.0%0.4%-21.8K1.2M-12.0K0.2418.42N/AN/A1,86044412,1078,330
2015-11-06$6.20$7.0047.1%11.5%24.5%40.6%46.3%-7.3%0.8%-21.7K1.3M-12.1K0.4717.27N/AN/A1507112,1268,321
2015-11-09$6.14$7.0048.9%12.6%24.5%43.7%43.4%-4.7%-2.8%-21.1K1.4M-11.6K0.0018.98N/AN/A3012,2768,323
2015-11-10$6.11$7.0048.9%12.8%24.5%43.6%47.4%-6.2%-2.4%-21.0K1.4M-11.6K0.3319.86N/AN/A2,10069412,3398,332
2015-11-11$6.12$7.0046.5%13.3%24.3%39.5%45.6%-3.9%-2.9%-18.0K1.4M-11.8K0.3321.97N/AN/A2,10069412,5398,534
2015-11-12$5.31$7.0045.5%13.0%53.0%37.8%40.6%32.0%-5.8%-40.9K3.7M-7.9K1.5026.82N/AN/A1,8852,82012,69310,664
2015-11-13$5.47$7.0039.9%11.4%55.2%28.2%61.5%22.8%14.5%-40.7K3.6M-9.0K1.4124.01N/AN/A1,7892,51712,95211,034
2015-11-16$5.31$7.0043.0%12.3%55.5%33.6%31.2%14.0%0.0%-45.9K3.9M-7.8K10.6218.63N/AN/A2627612,89211,033
2015-11-17$5.22$7.0042.1%12.1%55.2%32.1%33.0%-6.6%-0.5%-45.3K4.0M-7.6K1.5316.13N/AN/A1,7852,73112,96211,318
2015-11-18$4.94$7.0043.8%12.6%56.6%35.0%50.4%11.1%0.2%-37.9K4.3M-6.2K1.0317.06N/AN/A2,4892,56212,96211,315
2015-11-19$5.00$7.0041.5%11.9%57.4%31.0%52.7%2.7%-0.8%-38.2K4.3M-6.0K1.1818.98N/AN/A2,0272,38713,56911,292
2015-11-20$5.02$7.0040.6%11.6%57.7%29.4%46.3%4.3%1.0%-35.5K4.1M-6.6K1.1916.24N/AN/A1,9772,34813,60511,096
2015-11-23$5.02$7.0040.3%11.6%57.9%29.0%40.3%5.6%2.1%-35.3K4.0M-6.2K2.2114.26N/AN/A6815013,25910,661
2015-11-24$4.90$7.0042.5%12.2%57.9%32.8%42.5%0.2%0.3%-31.1K4.0M-6.1K1.7518.96N/AN/A203513,32710,801
2015-11-25$4.77$7.0044.7%12.8%57.4%36.4%46.6%-2.4%-1.1%-26.8K4.1M-5.5K2.6114.98N/AN/A1,7004,43113,40710,815
2015-11-27$4.77$7.0048.4%13.9%57.2%42.9%48.8%-1.2%-4.3%-36.3K4.3M-7.1K2.1914.42N/AN/A1,6933,71613,49712,742
2015-11-30$4.75$7.0046.0%13.2%57.3%38.7%46.4%1.1%-1.2%-35.9K4.3M-6.5K3.1718.89N/AN/A3511113,44612,723