DSX Options History — May 2016

In May 2016, DSX traded between $2.28 and $3.46. ATM implied volatility averaged 89.1%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded above realized volatility by 9.5% (HV 20d: 79.6%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2016-05-02: Highest Volume — 3,074 contracts
  • 2016-05-20: Largest IV spike — 59.9% change
  • 2016-05-24: Highest IV Rank — 58.9%
  • 2016-05-24: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.73$2.28$3.46$3.46$2.63
Max Pain$3.86$3.00$4.00$3.00$4.00
ATM IV89.1%57.4%111.7%95.4%77.4%
Expected Move25.3%16.5%32.0%27.4%22.2%
HV 20d79.6%60.1%98.4%93.3%77.6%
HV 60d107.5%102.6%114.2%112.9%102.6%
IV Rank43.8%22.7%58.9%48.1%36.1%
IV Percentile77.1%55.2%94.0%84.1%62.7%
Term Structure-1.3%-45.9%40.3%4.6%-4.4%
VWIV80.4%54.9%103.7%103.7%77.8%
Skew 25d1.4%-37.2%43.6%3.0%-3.9%
Skew 10d14.4%-19.9%50.3%18.4%-0.0%
Call IV 25d80.6%54.8%110.4%100.7%90.7%
Put IV 25d82.0%57.3%111.9%103.7%86.8%
Bid-Ask Spread %24.567.37100.7534.8422.57
Gamma HHI0.400.280.680.280.68
Net GEX4.1K2.6K7.2K3.8K7.2K
Net DEX519.9K-462.4K1.1M-462.4K691.3K
Net VEX-5.5K-7.9K-3.0K-7.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.130.430.130.28
Total Volume2,486.9521,5353,0743,0741,691
Total OI19,472.90517,45320,90118,85917,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$3.46$3.0095.4%27.4%93.3%48.1%103.7%3.0%4.6%3.8K-462.4K-7.7K0.1334.84N/AN/A2,70936511,0197,840
2016-05-03$3.19$3.0087.8%25.2%97.9%43.0%90.1%-15.0%7.8%4.6K-231.3K-7.9K0.2137.51N/AN/A2,06844011,8347,840
2016-05-04$3.18$3.0092.5%26.5%95.1%46.1%90.0%15.7%-1.0%4.1K-139.4K-7.8K0.2333.13N/AN/A2,06347611,8567,936
2016-05-05$3.00$4.0087.8%27.2%98.4%43.0%91.3%11.8%10.4%2.6K48.8K-7.3K0.23100.75N/AN/A2,07647711,8617,982
2016-05-06$2.95$4.00102.1%26.8%76.3%52.5%99.4%-24.4%-3.8%3.1K238.1K-7.0K0.2226.44N/AN/A2,21547711,8777,988
2016-05-09$2.95$4.00102.2%28.8%75.9%52.6%71.0%22.9%-12.6%3.1K286.9K-6.8K0.1720.42N/AN/A2,14337111,9607,988
2016-05-10$3.09$4.00104.9%26.6%74.6%54.4%60.3%27.5%-3.5%3.9K103.8K-7.0K0.1914.18N/AN/A2,06439512,1247,978
2016-05-11$3.06$4.0094.3%27.0%71.5%47.3%95.6%-13.4%-6.7%4.4K61.3K-7.0K0.2221.28N/AN/A2,06445112,1538,022
2016-05-12$2.81$4.0088.3%25.3%77.7%43.3%102.5%-22.7%-4.0%2.9K461.6K-6.1K0.1826.86N/AN/A2,20639912,1538,122
2016-05-13$2.72$4.0082.5%23.6%78.1%39.4%71.9%-9.9%2.1%4.2K717.1K-5.5K0.4112.78N/AN/A2,16889912,2458,153
2016-05-16$2.68$4.0092.2%26.4%77.6%45.9%74.8%-10.8%-16.7%3.9K767.5K-5.3K0.3318.51N/AN/A2,19972912,2558,171
2016-05-17$2.71$4.0090.6%26.0%74.3%44.8%73.9%-8.0%-3.1%3.4K941.0K-5.2K0.3411.24N/AN/A2,17572912,2638,271
2016-05-18$2.42$4.0093.4%26.8%82.2%46.7%88.9%-37.2%-45.9%3.6K1.0M-4.5K0.3023.80N/AN/A2,34271412,3338,271
2016-05-19$2.42$4.0061.8%17.7%81.2%25.6%86.9%-21.4%24.6%4.3K1.1M-4.1K0.209.49N/AN/A2,34246012,5688,273
2016-05-20$2.35$4.0098.8%28.3%80.9%50.3%78.8%3.9%-43.1%3.4K926.2K-4.5K0.2016.80N/AN/A2,34247812,5688,333
2016-05-23$2.29$4.0099.1%28.4%78.2%50.5%83.1%40.0%-1.2%4.2K915.0K-3.6K0.2024.28N/AN/A2,16542410,6767,194
2016-05-24$2.28$4.00111.7%32.0%75.1%58.9%79.6%43.6%-25.7%4.2K911.7K-3.6K0.4323.16N/AN/A1,14048510,7167,194
2016-05-25$2.30$4.0057.4%16.5%70.2%22.7%54.9%-4.0%40.3%5.4K985.7K-3.0K0.337.37N/AN/A1,15238310,7536,700
2016-05-26$2.28$4.0060.0%17.2%60.1%24.4%56.6%0.7%22.0%5.3K979.9K-3.0K0.2412.27N/AN/A1,61138310,7916,698
2016-05-27$2.55$4.0090.9%26.1%76.1%45.0%57.1%31.6%31.8%5.3K600.3K-4.4K0.2818.00N/AN/A1,37338311,2866,698
2016-05-31$2.63$4.0077.4%22.2%77.6%36.1%77.8%-3.9%-4.4%7.2K691.3K-4.1K0.2822.57N/AN/A1,31737411,2906,698