DSX Options History — February 2016

In February 2016, DSX traded between $2.00 and $2.64. ATM implied volatility averaged 99.1%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 23.5% (HV 20d: 122.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2016-02-05: Highest Volume — 3,779 contracts
  • 2016-02-23: Largest IV spike — 27.5% change
  • 2016-02-29: Highest IV Rank — 65.3%
  • 2016-02-29: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.36$2.00$2.64$2.40$2.51
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV99.1%79.3%121.4%79.3%121.4%
Expected Move27.6%21.5%34.8%22.7%34.8%
HV 20d122.6%94.7%165.8%162.3%109.3%
HV 60d112.8%107.1%119.4%107.4%119.4%
IV Rank50.5%37.3%65.3%37.3%65.3%
IV Percentile95.6%88.1%98.8%93.3%98.8%
Term Structure-18.0%-76.9%11.6%-24.8%-30.7%
VWIV96.0%71.1%129.5%115.0%129.5%
Skew 25d13.5%-42.0%64.4%-42.0%64.4%
Skew 10d36.6%-48.0%74.0%-48.0%74.0%
Call IV 25d90.1%58.1%123.7%122.3%113.1%
Put IV 25d103.6%65.0%177.5%80.3%177.5%
Bid-Ask Spread %27.3714.5044.8140.7937.51
Gamma HHI0.360.210.590.480.37
Net GEX-2.0K-10.5K4.0K-5.0K4.0K
Net DEX1.9M1.3M2.4M2.4M1.8M
Net VEX-2.5K-3.3K-1.8K-2.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.581.042.471.402.02
Total Volume3,140.62,5793,7792,5832,615
Total OI18,755.0517,03919,72119,60117,598

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$2.40$5.0079.3%22.7%162.3%37.3%115.0%-42.0%-24.8%-5.0K2.4M-2.3K1.4040.79N/AN/A1,0751,5088,35011,251
2016-02-02$2.34$5.0092.2%26.4%161.9%45.9%78.4%-12.8%-46.6%-5.3K2.2M-2.4K1.4132.07N/AN/A1,0711,5088,35011,251
2016-02-03$2.49$5.00101.0%29.0%164.1%51.8%71.1%31.9%-52.9%-8.8K2.3M-2.6K2.4727.39N/AN/A1,0712,6418,35111,251
2016-02-04$2.60$5.00111.3%23.7%165.8%58.6%104.5%20.6%-20.2%-9.4K2.1M-3.3K2.2744.81N/AN/A1,1522,6118,35110,638
2016-02-05$2.64$5.0090.3%23.1%164.2%44.6%85.8%20.0%-9.4%-10.5K2.2M-3.0K2.2423.08N/AN/A1,1682,6118,45510,638
2016-02-08$2.52$5.0099.2%21.5%161.3%50.6%94.5%20.5%4.8%-7.6K2.1M-3.1K2.2427.21N/AN/A1,1682,6118,44810,638
2016-02-09$2.23$5.00112.4%33.4%118.2%59.4%93.4%3.6%-27.3%-32.0M-1.8K1.3730.38N/AN/A1,2641,7358,44810,137
2016-02-10$2.11$5.00104.4%29.9%119.5%54.0%100.6%27.4%-23.1%-591.9M-2.2K1.3414.50N/AN/A1,2771,7118,77910,247
2016-02-11$2.00$5.00105.5%30.2%110.9%54.8%90.5%22.5%-12.8%-91.8M-2.2K1.4115.23N/AN/A1,2831,8038,78310,503
2016-02-12$2.24$5.0094.0%27.0%94.7%47.1%108.4%28.7%-10.3%-4.2K2.0M-2.1K1.3020.01N/AN/A1,3451,7478,79310,503
2016-02-16$2.44$5.0084.3%24.2%97.9%40.6%103.7%-13.1%8.8%-7352.1M-2.5K1.0526.33N/AN/A1,6631,7478,83310,501
2016-02-17$2.37$5.00104.5%30.0%96.7%54.1%96.6%16.1%-5.4%5372.0M-3.0K1.0528.59N/AN/A1,6631,7479,22010,501
2016-02-18$2.26$5.00103.2%29.6%97.3%53.2%109.6%-8.2%-5.8%1.2K2.0M-2.4K1.0532.19N/AN/A1,6631,7469,21710,501
2016-02-19$2.34$5.0091.0%26.1%96.8%45.1%72.3%48.7%-3.1%1.1K2.1M-2.1K1.0424.17N/AN/A1,6561,7209,21710,457
2016-02-22$2.58$5.0090.0%25.8%102.9%44.5%89.4%34.7%-33.7%9661.6M-2.8K1.6926.34N/AN/A1,1091,8768,9398,100
2016-02-23$2.27$5.00114.8%32.9%107.1%61.0%84.3%-39.5%-76.9%-3421.3M-2.9K1.5428.25N/AN/A1,0941,6828,9638,350
2016-02-24$2.24$5.0083.6%24.0%106.9%40.2%110.3%-28.3%6.5%1.4K1.6M-2.0K1.5527.11N/AN/A1,0851,6868,9838,497
2016-02-25$2.28$5.0098.0%28.1%106.2%49.8%90.6%25.3%-8.0%1.3K1.6M-2.2K1.6119.02N/AN/A1,0851,7488,9948,501
2016-02-26$2.42$5.00102.5%29.4%108.6%52.8%91.4%50.1%11.6%1.5K1.6M-2.3K1.5622.34N/AN/A1,1191,7488,9948,570
2016-02-29$2.51$5.00121.4%34.8%109.3%65.3%129.5%64.4%-30.7%4.0K1.8M-2.1K2.0237.51N/AN/A8671,7489,0288,570