DSX Options History — January 2016

In January 2016, DSX traded between $2.17 and $4.47. ATM implied volatility averaged 96.4%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 41.9% (HV 20d: 138.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-01-12: Highest Volume — 7,639 contracts
  • 2016-01-25: Largest IV spike — 65.1% change
  • 2016-01-07: Highest IV Rank — 100.0%
  • 2016-01-29: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.93$2.17$4.47$4.36$2.57
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV96.4%58.5%173.3%83.1%113.7%
Expected Move23.6%14.4%32.6%18.4%32.6%
HV 20d138.3%66.7%170.0%67.8%164.9%
HV 60d90.2%54.6%106.9%54.6%106.8%
IV Rank62.6%23.4%100.0%97.3%60.2%
IV Percentile97.7%89.7%100.0%99.6%98.8%
Term Structure-1.8%-56.6%42.6%-2.8%-30.3%
VWIV76.2%44.7%128.9%54.1%84.1%
Skew 25d4.5%-51.5%63.2%25.1%29.9%
Skew 10d24.9%-24.6%90.2%90.2%26.0%
Call IV 25d76.8%50.4%117.3%62.8%77.9%
Put IV 25d81.3%39.6%127.7%87.9%107.8%
Bid-Ask Spread %51.5022.54155.8944.32155.89
Gamma HHI0.500.390.650.620.55
Net GEX-16.9K-49.9K-6.4K-19.8K-8.7K
Net DEX3.1M2.1M4.4M3.4M2.3M
Net VEX-5.1K-11.1K-2.8K-8.8K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.413.960.671.40
Total Volume3,816.1052,0167,6392,5632,583
Total OI25,387.78919,06932,70528,25219,601

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$4.36$5.0083.1%18.4%67.8%97.3%54.1%25.1%-2.8%-19.8K3.4M-8.8K0.6744.32N/AN/A1,5351,02813,27714,975
2016-01-05$4.47$5.0076.2%14.4%66.8%86.0%44.7%4.6%22.6%-49.9K3.4M-10.5K1.2840.97N/AN/A1,4301,82813,45415,575
2016-01-06$4.25$5.0083.8%19.4%66.7%98.4%71.3%-1.5%-0.6%-48.4K3.7M-11.1K0.4133.82N/AN/A1,43058613,45816,545
2016-01-07$3.86$5.0088.5%19.2%75.4%100.0%73.2%-11.9%-4.7%-42.2K4.3M-9.1K1.7322.54N/AN/A9721,68013,45816,735
2016-01-08$3.47$5.00136.0%21.5%84.2%100.0%52.5%-40.3%-39.5%-29.5K4.4M-7.2K1.3451.38N/AN/A8691,16213,47416,466
2016-01-11$2.49$5.00150.2%28.2%142.9%100.0%65.3%-51.5%42.6%-6.4K3.4M-4.5K3.2751.81N/AN/A1,3364,37113,46916,436
2016-01-12$2.49$5.00173.3%29.2%142.7%100.0%86.9%8.2%-22.8%-12.2K4.1M-3.4K2.8429.05N/AN/A1,9875,65213,84718,556
2016-01-13$2.17$5.0083.9%24.0%148.4%40.3%70.7%-7.7%9.0%-6.9K3.5M-2.8K3.9636.68N/AN/A1,4245,63714,55918,141
2016-01-14$2.63$5.0091.2%26.1%167.5%45.2%128.9%63.2%41.5%-11.2K4.0M-4.2K3.3668.26N/AN/A1,6685,60614,75317,952
2016-01-15$2.47$5.00103.6%29.7%167.7%53.5%94.4%10.4%-6.4%-8.9K3.6M-4.4K2.12118.75N/AN/A1,5713,32615,05817,356
2016-01-19$2.59$5.0087.8%25.2%169.2%43.0%89.9%25.3%-6.2%-11.2K2.4M-3.7K2.2252.18N/AN/A1,2492,7787,75711,722
2016-01-20$2.50$5.0067.4%19.3%169.1%29.4%86.9%-14.5%21.8%-8.2K2.3M-2.9K1.7536.15N/AN/A1,4992,6167,92711,142
2016-01-21$2.61$5.0058.5%16.8%170.0%23.4%53.4%22.1%30.8%-11.9K2.3M-4.0K2.1525.84N/AN/A1,2092,6028,17711,202
2016-01-22$2.69$5.0064.7%18.6%167.4%27.6%66.2%12.8%13.7%-14.4K2.2M-4.5K1.6034.71N/AN/A9941,5938,19111,238
2016-01-25$2.44$5.00106.9%30.6%164.6%55.7%95.8%-14.4%-56.6%-6.4K2.1M-3.4K1.6432.93N/AN/A9711,5938,22311,236
2016-01-26$2.48$5.0089.4%25.6%163.4%44.0%68.8%11.8%-29.6%-8.4K2.3M-3.1K1.6435.52N/AN/A9711,5938,23011,236
2016-01-27$2.57$5.0084.4%24.2%164.9%40.7%66.4%29.6%12.5%-8.6K2.4M-2.9K1.6561.11N/AN/A9711,6038,23011,236
2016-01-28$2.53$5.0090.0%25.8%164.3%44.4%95.1%-16.0%-28.7%-8.7K2.3M-3.3K1.4046.61N/AN/A1,0751,5088,23011,246
2016-01-29$2.57$5.00113.7%32.6%164.9%60.2%84.1%29.9%-30.3%-8.7K2.3M-3.0K1.40155.89N/AN/A1,0751,5088,35011,251