DSX Options History — June 2016

In June 2016, DSX traded between $2.12 and $2.60. ATM implied volatility averaged 97.9%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 18.6% (HV 20d: 79.3%). Max pain ranged from $2.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-06-17: Highest Volume — 2,820 contracts
  • 2016-06-30: Largest IV spike — 79.5% change
  • 2016-06-30: Highest IV Rank — 75.9%
  • 2016-06-30: Largest Expected Move — 39.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.37$2.12$2.60$2.54$2.44
Max Pain$2.09$2.00$4.00$4.00$2.00
ATM IV97.9%63.7%139.3%63.7%139.3%
Expected Move25.9%16.1%39.9%18.3%39.9%
HV 20d79.3%71.9%85.9%73.9%83.1%
HV 60d87.6%85.3%93.6%93.6%85.5%
IV Rank46.9%23.9%75.9%26.9%75.9%
IV Percentile78.6%56.0%99.2%58.3%99.2%
Term Structure-11.0%-88.2%35.9%19.7%-88.2%
VWIV92.2%46.0%184.0%64.5%184.0%
Skew 25d16.4%-50.0%58.1%15.7%37.0%
Skew 10d33.2%-9.3%90.3%13.7%10.3%
Call IV 25d71.9%46.6%183.1%59.9%52.6%
Put IV 25d88.3%50.8%190.1%75.6%89.6%
Bid-Ask Spread %39.9815.4078.0915.4035.51
Gamma HHI0.620.520.730.550.70
Net GEX6.4K4.9K8.0K7.0K6.6K
Net DEX493.0K-126.0K1.0M888.7K-126.0K
Net VEX-3.1K-3.6K-2.6K-3.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.191.840.331.06
Total Volume1,569.6361,2562,8201,5121,390
Total OI14,047.5918,14618,16617,8608,529

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$2.54$4.0063.7%18.3%73.9%26.9%64.5%15.7%19.7%7.0K888.7K-3.6K0.3315.40N/AN/A1,13837411,1606,700
2016-06-02$2.39$2.00112.1%20.3%75.9%57.3%87.9%-32.7%-7.8%6.5K780.3K-3.6K0.3338.19N/AN/A1,12837411,1606,700
2016-06-03$2.42$2.0080.2%16.1%74.6%35.0%65.7%-19.1%27.4%6.6K953.7K-3.2K0.2125.49N/AN/A1,35027711,1666,700
2016-06-06$2.60$2.00118.0%16.2%80.1%61.4%46.0%40.0%35.9%7.5K1.0M-3.2K0.2442.70N/AN/A1,19828411,4016,703
2016-06-07$2.46$2.00118.1%21.9%81.9%60.9%95.2%-36.8%-33.8%7.9K780.8K-3.6K0.2345.03N/AN/A1,21328411,4586,703
2016-06-08$2.57$2.0076.3%21.9%81.6%31.3%77.2%-11.6%1.8%7.6K983.8K-3.2K0.2325.50N/AN/A1,21328411,4636,703
2016-06-09$2.57$2.0065.8%18.9%81.7%23.9%70.7%-17.8%5.5%7.8K910.2K-3.3K0.2332.38N/AN/A1,25328411,4636,403
2016-06-10$2.37$2.0079.6%22.8%81.2%33.6%104.9%-50.0%-23.6%8.0K842.3K-3.0K0.2336.19N/AN/A1,20927411,5136,403
2016-06-13$2.31$2.00128.8%36.9%81.0%68.5%70.9%49.6%33.4%6.7K841.0K-2.9K0.2342.30N/AN/A1,21827711,5376,403
2016-06-14$2.22$2.00121.7%34.9%81.7%63.4%116.1%31.1%-76.3%6.1K838.9K-2.7K0.2343.74N/AN/A1,21227811,5376,403
2016-06-15$2.23$2.0085.3%24.4%81.5%37.6%84.4%33.4%5.1%5.7K867.9K-2.7K0.2038.99N/AN/A1,28725311,5416,421
2016-06-16$2.19$2.0092.8%26.6%71.9%43.0%91.3%34.1%-9.8%5.9K856.1K-2.6K0.1939.62N/AN/A1,31725111,7416,370
2016-06-17$2.33$2.0097.5%28.0%75.8%46.3%97.5%46.7%-17.4%6.5K899.3K-2.7K0.8826.40N/AN/A1,5041,31611,7416,370
2016-06-20$2.32$2.0097.1%27.8%75.1%46.0%87.9%58.1%8.9%5.4K-104.4K-3.4K1.8433.94N/AN/A6361,1705,7892,357
2016-06-21$2.29$2.0093.8%26.9%74.7%43.7%85.3%51.0%9.7%5.3K-76.0K-3.2K1.8454.99N/AN/A6361,1705,8632,360
2016-06-22$2.26$2.00116.3%33.3%74.8%59.6%119.5%29.3%-58.1%5.3K-82.0K-3.1K1.7064.48N/AN/A6881,1705,8632,360
2016-06-23$2.45$2.0082.3%23.6%80.1%35.5%88.4%31.4%-14.0%6.0K-33.3K-3.1K1.0239.11N/AN/A6887055,9712,360
2016-06-24$2.26$2.00105.2%30.1%85.5%51.7%118.8%25.9%-31.1%5.6K-56.1K-3.1K1.0761.34N/AN/A6577055,9712,356
2016-06-27$2.12$2.0093.9%26.9%77.2%43.8%93.6%28.3%-0.8%4.9K-661-2.7K1.1437.62N/AN/A6307166,0412,356
2016-06-28$2.35$2.00108.9%31.2%85.9%54.4%0.0%6.9%-33.2%5.4K-25.9K-3.0K1.3378.09N/AN/A5407166,1172,372
2016-06-29$2.39$2.0077.6%22.2%85.5%32.2%86.5%9.3%3.6%6.3K-101.7K-3.3K1.3022.59N/AN/A5497166,1472,372
2016-06-30$2.44$2.00139.3%39.9%83.1%75.9%184.0%37.0%-88.2%6.6K-126.0K-3.3K1.0635.51N/AN/A6747166,1572,372