DSX Options History — March 2016

In March 2016, DSX traded between $2.26 and $3.49. ATM implied volatility averaged 95.5%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded below realized volatility by 35.5% (HV 20d: 131.1%). Max pain ranged from $2.00 to $5.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2016-03-04: Highest Volume — 5,141 contracts
  • 2016-03-07: Largest IV spike — 46.7% change
  • 2016-03-07: Highest IV Rank — 69.4%
  • 2016-03-02: Largest Expected Move — 35.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.64$2.26$3.49$2.60$2.69
Max Pain$2.32$2.00$5.00$5.00$2.00
ATM IV95.5%64.2%127.5%91.6%94.5%
Expected Move26.0%18.4%35.0%26.3%27.1%
HV 20d131.1%107.0%147.6%107.0%130.9%
HV 60d132.5%119.5%136.4%119.5%136.4%
IV Rank48.1%27.3%69.4%45.5%47.5%
IV Percentile89.0%77.4%98.8%92.1%88.9%
Term Structure-10.5%-74.1%19.9%-21.8%-14.1%
VWIV87.3%59.0%143.7%87.7%93.8%
Skew 25d-1.5%-56.9%43.2%40.5%-3.1%
Skew 10d12.8%-48.2%61.5%61.5%6.5%
Call IV 25d93.6%62.9%180.7%98.8%93.3%
Put IV 25d92.1%65.5%185.1%139.3%90.2%
Bid-Ask Spread %40.5112.76121.6623.2038.71
Gamma HHI0.300.220.510.220.26
Net GEX3.9K-7.0K10.2K4352.4K
Net DEX967.2K293.9K1.7M1.7M371.2K
Net VEX-3.8K-5.6K-2.3K-2.6K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.422.531.850.55
Total Volume2,648.9559935,1412,4461,244
Total OI18,953.59115,15323,56317,62315,648

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$2.60$5.0091.6%26.3%107.0%45.5%87.7%40.5%-21.8%4351.7M-2.6K1.8523.20N/AN/A8571,5899,0538,570
2016-03-02$2.40$5.00122.1%35.0%110.7%65.8%91.1%-56.9%-74.1%3801.6M-2.3K1.8727.64N/AN/A8481,5899,0998,735
2016-03-03$2.67$3.00112.4%23.4%115.0%59.3%75.1%28.1%-18.0%7621.7M-2.8K0.5243.52N/AN/A3,1151,6099,0998,735
2016-03-04$2.85$2.0086.9%23.7%116.2%42.4%102.6%-7.3%-8.5%2.8K1.2M-3.7K0.4290.21N/AN/A3,6151,52611,0058,616
2016-03-07$3.49$2.00127.5%23.6%135.9%69.4%85.2%15.4%17.3%-7.0K422.8K-5.5K0.7434.18N/AN/A2,1971,63411,6738,476
2016-03-08$3.26$2.00124.2%27.7%137.4%67.2%93.5%21.7%-13.0%1.7K472.3K-5.6K1.13121.66N/AN/A1,4881,68212,5138,657
2016-03-09$2.70$2.00101.5%29.1%147.6%52.1%105.3%-16.3%-7.5%5.8K977.1K-4.3K0.9783.02N/AN/A1,6231,57012,7788,687
2016-03-10$2.58$2.0095.5%27.4%147.1%48.1%72.4%-12.0%-10.0%7.7K1.1M-3.9K1.2739.70N/AN/A1,1731,49113,1578,689
2016-03-11$2.64$2.0084.9%24.3%145.2%41.0%79.3%-10.8%-7.0%9.3K1.2M-3.6K1.2730.10N/AN/A1,1031,40113,2228,712
2016-03-14$2.65$2.0087.5%25.1%140.4%42.8%91.2%27.1%-6.4%10.2K1.4M-3.2K1.7415.62N/AN/A1,1341,97813,2798,762
2016-03-15$2.63$2.0083.3%23.9%137.5%39.9%82.5%-9.5%-7.8%8.9K1.4M-3.4K2.5312.76N/AN/A1,2963,27813,3629,024
2016-03-16$2.61$2.0094.0%26.9%137.0%47.1%92.1%-20.1%-8.7%8.9K1.4M-4.2K1.8063.43N/AN/A1,1852,12813,5979,485
2016-03-17$2.69$2.0082.0%23.5%135.8%39.1%80.8%-1.6%1.1%6.8K1.4M-4.2K2.1022.77N/AN/A1,1312,37913,6179,444
2016-03-18$2.75$2.0080.5%23.1%135.6%38.1%80.3%3.4%-2.8%3.5K1.4M-4.6K1.9826.33N/AN/A1,1532,28513,6869,877
2016-03-21$2.66$2.0064.2%18.4%132.0%27.3%59.0%-2.9%0.2%460293.9K-4.7K1.0531.92N/AN/A5716029,1995,954
2016-03-22$2.53$2.0076.0%21.8%124.6%35.1%65.3%-20.3%-14.1%2.7K449.4K-4.2K1.0429.11N/AN/A5715959,2205,954
2016-03-23$2.29$2.00101.3%29.1%130.0%52.0%76.6%-7.5%-58.5%4.1K509.5K-3.7K0.8530.61N/AN/A7186089,2205,957
2016-03-24$2.26$2.00103.5%29.7%129.9%53.5%0.0%-48.2%8.4%1.7K584.4K-2.7K0.7936.86N/AN/A7726119,3425,958
2016-03-28$2.26$2.00101.2%29.0%127.9%51.9%0.0%7.1%-11.4%2.1K559.0K-2.8K0.7840.40N/AN/A8276419,5775,961
2016-03-29$2.27$2.0076.1%21.8%127.1%35.2%87.6%-3.5%6.0%7.5K617.5K-3.1K0.7725.12N/AN/A8276409,6866,004
2016-03-30$2.52$2.00110.5%31.7%132.3%58.1%143.7%43.2%19.9%4.5K575.9K-3.4K0.7924.40N/AN/A5544399,6866,004
2016-03-31$2.69$2.0094.5%27.1%130.9%47.5%93.8%-3.1%-14.1%2.4K371.2K-4.2K0.5538.71N/AN/A8054399,6945,954