DSX Options History — December 2015

In December 2015, DSX traded between $3.56 and $4.50. ATM implied volatility averaged 58.3%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.5% (HV 20d: 54.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2015-12-02: Highest Volume — 4,447 contracts
  • 2015-12-24: Largest IV spike — 68.6% change
  • 2015-12-24: Highest IV Rank — 100.0%
  • 2015-12-24: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.01$3.56$4.50$4.49$4.35
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV58.3%42.8%84.8%43.3%51.8%
Expected Move16.3%12.3%24.3%12.4%14.9%
HV 20d54.7%38.7%68.9%57.8%68.8%
HV 60d49.6%46.6%55.3%46.6%54.9%
IV Rank58.9%33.3%100.0%34.0%46.3%
IV Percentile91.6%61.5%100.0%64.3%89.7%
Term Structure2.9%-22.8%19.9%2.7%5.7%
VWIV56.5%45.3%76.8%45.3%48.7%
Skew 25d9.5%-22.2%84.3%-22.2%34.5%
Skew 10d17.8%-19.3%110.7%4.2%65.9%
Call IV 25d51.9%31.6%65.1%60.9%33.9%
Put IV 25d61.5%38.7%126.8%38.7%68.3%
Bid-Ask Spread %25.0212.27108.3521.2656.46
Gamma HHI0.580.330.840.340.56
Net GEX-24.5K-51.0K-11.5K-29.2K-51.0K
Net DEX4.0M2.8M4.5M4.3M3.6M
Net VEX-7.3K-10.4K-5.6K-6.0K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.391.740.690.59
Total Volume2,815.3648554,4478552,138
Total OI28,221.68225,01230,62226,09928,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$4.49$7.0043.3%12.4%57.8%34.0%45.3%-22.2%2.7%-29.2K4.3M-6.0K0.6921.26N/AN/A50734813,47112,628
2015-12-02$4.28$7.0042.8%12.3%58.7%33.3%59.7%-5.9%13.4%-21.1K4.3M-5.9K1.7414.16N/AN/A1,6242,82314,01012,833
2015-12-03$4.15$7.0049.4%13.7%57.0%44.6%53.5%-7.2%5.0%-24.7K4.5M-5.8K1.1619.35N/AN/A1,5721,82413,95113,858
2015-12-04$4.01$7.0047.9%13.2%57.1%41.9%45.4%6.9%4.4%-20.2K4.5M-5.9K0.3913.48N/AN/A2,07680514,01013,881
2015-12-07$3.81$7.0062.6%14.2%57.8%67.1%49.6%-0.4%7.5%-13.9K4.3M-5.6K0.7315.65N/AN/A77957214,39113,796
2015-12-08$3.90$7.0068.0%14.5%60.1%76.4%52.9%-11.3%3.9%-16.0K4.4M-6.6K0.5812.27N/AN/A2,1381,24715,11714,343
2015-12-09$3.91$7.0054.5%15.6%60.4%53.3%52.3%6.0%3.0%-16.4K4.3M-7.0K0.7514.78N/AN/A2,0261,52015,34414,331
2015-12-10$3.92$7.0054.9%15.7%60.5%53.9%53.0%3.3%1.8%-16.2K4.3M-7.3K0.7212.49N/AN/A2,0341,46915,38714,425
2015-12-11$3.95$7.0059.5%17.0%41.6%61.7%53.5%71.6%-0.9%-16.6K4.4M-7.3K0.5518.31N/AN/A2,0671,12715,38614,417
2015-12-14$3.81$7.0052.5%15.0%38.7%49.8%51.9%-2.9%10.0%-12.2K4.3M-6.8K0.5617.76N/AN/A1,8841,05115,54114,415
2015-12-15$3.64$7.0048.7%14.0%39.7%43.4%51.8%-8.8%6.7%-11.5K4.2M-6.1K0.8319.33N/AN/A1,7601,46915,67114,396
2015-12-16$3.71$7.0057.3%16.4%42.0%58.1%56.5%-1.4%3.4%-13.0K4.3M-6.7K0.9839.10N/AN/A1,3901,36515,67014,636
2015-12-17$3.56$7.0064.5%18.5%40.6%70.4%62.4%22.1%-4.8%-12.3K4.1M-6.5K1.4024.83N/AN/A1,3901,94015,66214,569
2015-12-18$3.59$7.0064.1%18.4%40.2%69.7%63.2%-12.2%-0.5%-13.6K4.3M-6.7K1.2213.94N/AN/A1,6161,96815,66214,960
2015-12-21$3.66$7.0067.5%19.4%41.6%75.5%66.4%-6.2%16.2%-17.5K3.3M-6.9K1.0113.17N/AN/A1,4291,44212,61412,398
2015-12-22$3.95$7.0058.6%16.8%52.8%60.3%57.2%-3.5%-2.1%-28.8K3.6M-7.0K0.8632.55N/AN/A1,3581,17312,63112,678
2015-12-23$4.31$7.0050.3%14.4%63.1%46.1%50.1%18.6%19.9%-42.9K3.3M-8.4K0.8121.43N/AN/A1,4341,16012,83413,145
2015-12-24$4.50$7.0084.8%24.3%65.0%100.0%76.8%84.3%-6.0%-39.3K2.8M-10.4K1.25108.35N/AN/A1,3121,63913,03313,513
2015-12-28$4.46$7.0079.5%22.8%65.0%91.3%72.2%13.0%-22.8%-43.8K3.3M-10.0K0.7913.78N/AN/A1,14490613,07014,364
2015-12-29$4.17$7.0061.7%17.7%68.9%62.3%61.8%13.4%-2.1%-36.9K3.5M-9.6K0.6829.43N/AN/A1,35191913,10714,362
2015-12-30$4.08$7.0058.0%16.6%66.6%56.3%58.6%17.5%-0.7%-42.4K3.8M-9.0K0.6018.52N/AN/A1,34080213,16314,965
2015-12-31$4.35$7.0051.8%14.9%68.8%46.3%48.7%34.5%5.7%-51.0K3.6M-9.3K0.5956.46N/AN/A1,34379513,27414,965