DSX Options History — April 2016

In April 2016, DSX traded between $2.25 and $3.45. ATM implied volatility averaged 100.6%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 4.5% (HV 20d: 105.1%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-04-13: Highest Volume — 5,108 contracts
  • 2016-04-07: Largest IV spike — 55.8% change
  • 2016-04-07: Highest IV Rank — 72.6%
  • 2016-04-01: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.93$2.25$3.45$2.53$3.45
Max Pain$2.71$2.00$3.00$2.00$3.00
ATM IV100.6%84.9%132.3%106.1%87.6%
Expected Move26.6%21.6%30.4%30.4%25.1%
HV 20d105.1%82.2%127.3%127.3%99.4%
HV 60d118.4%111.5%137.1%136.6%113.1%
IV Rank51.5%41.1%72.6%55.2%42.8%
IV Percentile87.7%76.2%98.8%94.4%76.2%
Term Structure-2.0%-31.8%12.3%-31.8%12.3%
VWIV91.6%74.8%103.3%103.3%86.7%
Skew 25d3.3%-33.4%60.4%-13.7%0.8%
Skew 10d13.5%-56.6%96.6%-1.5%7.8%
Call IV 25d89.8%53.1%121.8%106.4%95.0%
Put IV 25d93.1%68.5%132.6%92.7%95.8%
Bid-Ask Spread %39.0424.2763.1736.7041.77
Gamma HHI0.340.260.470.260.28
Net GEX3.4K-2638.9K3.2K4.0K
Net DEX118.3K-535.0K586.2K394.0K-464.7K
Net VEX-5.8K-7.9K-2.9K-4.0K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.213.370.550.39
Total Volume2,214.199955,1081,2441,363
Total OI17,482.42915,63620,97015,63618,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$2.53$2.00106.1%30.4%127.3%55.2%103.3%-13.7%-31.8%3.2K394.0K-4.0K0.5536.70N/AN/A8054399,6825,954
2016-04-04$2.34$2.00125.6%28.1%127.3%68.2%98.6%0.5%-18.7%5.9K511.9K-3.4K0.3951.01N/AN/A9963919,6825,954
2016-04-05$2.25$2.0091.3%25.5%99.7%45.3%88.2%-2.2%-1.2%8.9K586.2K-2.9K0.3937.32N/AN/A9963919,9565,956
2016-04-06$2.44$2.0084.9%27.8%104.5%41.1%83.5%54.8%8.0%4.2K504.4K-3.4K0.3230.82N/AN/A1,2333949,9565,958
2016-04-07$2.48$2.00132.3%24.0%82.2%72.6%80.6%11.5%2.3%3.5K433.2K-3.6K0.2144.83N/AN/A1,89539410,1525,963
2016-04-08$2.96$2.00120.5%24.9%102.7%64.8%87.5%46.1%-7.9%6.5K-74.4K-5.2K0.3246.35N/AN/A1,32542311,0905,963
2016-04-11$3.02$3.00108.9%23.8%102.7%57.0%80.3%18.7%-2.4%8.2K-286.6K-5.5K0.4824.27N/AN/A88742311,4115,992
2016-04-12$2.85$3.00111.8%21.6%105.2%58.9%74.8%7.1%6.1%8.6K-56.2K-4.9K0.6037.40N/AN/A68841311,4665,992
2016-04-13$3.03$3.0095.1%27.3%107.1%47.8%96.9%-25.4%-1.4%7.9K-309.7K-5.6K1.3663.17N/AN/A2,1652,94311,4005,983
2016-04-14$3.02$3.0096.5%27.7%107.0%48.7%96.5%-18.0%-9.2%3.8K-164.0K-7.0K2.0730.64N/AN/A1,4232,94312,4798,481
2016-04-15$3.06$3.0097.3%27.9%106.7%49.3%97.4%-11.1%-4.1%-263-535.0K-7.1K1.7133.10N/AN/A1,7212,94312,4898,481
2016-04-18$3.12$3.0096.5%27.7%106.6%48.7%97.5%-12.1%-1.8%-203253.1K-7.1K3.3737.52N/AN/A8162,7479,3357,461
2016-04-19$3.30$3.0092.2%26.4%107.0%45.9%91.9%21.0%1.4%-79113.4K-7.4K2.2436.52N/AN/A9352,0969,5227,470
2016-04-20$3.16$3.0093.7%26.9%106.5%46.9%92.4%-5.7%-4.2%563137.1K-7.3K2.4537.75N/AN/A8262,0229,6597,534
2016-04-21$3.01$3.0092.9%26.6%100.8%46.4%101.5%-18.9%-2.8%274379.1K-6.5K2.9340.79N/AN/A6952,0389,6637,517
2016-04-22$3.05$3.0090.0%25.8%100.3%44.4%95.2%-22.0%1.7%1.3K342.1K-6.7K0.5033.10N/AN/A6633329,9627,533
2016-04-25$2.84$3.0092.0%26.4%104.8%45.8%95.3%-33.4%7.2%1.0K414.6K-6.3K0.8033.85N/AN/A6515219,9807,606
2016-04-26$2.98$3.00102.5%29.4%105.6%52.8%90.1%-20.8%6.7%648489.9K-6.3K0.3931.19N/AN/A1,11643910,0607,791
2016-04-27$3.17$3.0096.0%27.5%101.7%48.4%92.9%60.4%-10.2%1.9K229.7K-6.8K0.5136.59N/AN/A71035910,5237,816
2016-04-28$3.44$3.0099.2%28.4%103.0%50.6%93.1%30.6%8.3%1.9K-414.4K-7.7K0.2455.21N/AN/A1,56037810,5387,826
2016-04-29$3.45$3.0087.6%25.1%99.4%42.8%86.7%0.8%12.3%4.0K-464.7K-7.9K0.3941.77N/AN/A98238111,0587,837