DSX Options History — July 2016

In July 2016, DSX traded between $2.44 and $3.13. ATM implied volatility averaged 82.3%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 9.0% (HV 20d: 91.3%). Max pain ranged from $2.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-07-14: Highest Volume — 2,220 contracts
  • 2016-07-07: Largest IV spike — 107.8% change
  • 2016-07-07: Highest IV Rank — 66.5%
  • 2016-07-07: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.81$2.44$3.13$2.71$2.60
Max Pain$3.15$2.00$5.00$2.00$2.00
ATM IV82.3%60.6%126.0%89.6%68.4%
Expected Move23.4%19.6%26.7%25.7%19.6%
HV 20d91.3%86.6%95.0%90.9%90.7%
HV 60d82.9%80.5%88.2%88.2%83.0%
IV Rank35.6%20.2%66.5%40.7%25.7%
IV Percentile58.7%46.0%97.2%66.7%46.0%
Term Structure1.0%-13.2%28.7%28.7%12.9%
VWIV79.7%62.3%94.7%65.1%62.3%
Skew 25d11.0%-16.3%55.2%44.4%15.4%
Skew 10d23.9%-14.7%92.9%19.2%6.5%
Call IV 25d78.0%58.1%95.0%61.5%58.2%
Put IV 25d89.0%64.2%113.4%105.9%73.6%
Bid-Ask Spread %38.2419.25111.7829.8719.25
Gamma HHI0.600.510.710.670.62
Net GEX8.3K6.5K10.5K8.0K8.2K
Net DEX-272.3K-577.1K94.2K-207.4K94.2K
Net VEX-3.7K-4.4K-3.0K-3.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.462.151.400.50
Total Volume1,527.11,0202,2201,2291,020
Total OI9,344.358,52810,5818,52810,581

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$2.71$2.0089.6%25.7%90.9%40.7%65.1%44.4%28.7%8.0K-207.4K-3.5K1.4029.87N/AN/A5137166,1562,372
2016-07-05$2.54$3.0071.5%22.9%90.6%27.9%87.2%27.7%1.4%6.8K-264.6K-3.7K1.46111.78N/AN/A4907166,1822,372
2016-07-06$2.52$3.0060.6%24.5%88.4%20.2%87.1%17.2%11.5%6.5K-238.0K-3.6K1.5891.31N/AN/A4537166,1832,372
2016-07-07$2.44$3.00126.0%26.7%87.7%66.5%84.0%8.0%-5.1%7.1K-179.4K-3.3K1.5539.45N/AN/A4617166,1812,372
2016-07-08$2.61$3.0080.6%26.6%91.1%34.3%94.7%12.8%-7.3%7.1K-175.3K-3.3K1.5538.34N/AN/A4617166,1832,372
2016-07-11$2.54$3.0099.6%26.5%86.6%47.8%93.4%22.1%-13.2%7.5K-189.5K-3.3K1.5336.09N/AN/A4687166,1832,372
2016-07-12$2.77$3.0098.2%22.6%90.7%46.8%74.3%3.5%1.8%9.7K-296.1K-3.6K1.9128.88N/AN/A4017656,2072,372
2016-07-13$3.08$3.0084.1%24.1%95.0%36.8%84.0%-13.2%-7.7%10.5K-564.8K-4.0K2.1538.46N/AN/A6341,3616,2072,430
2016-07-14$3.13$3.0077.2%22.1%94.9%31.9%76.8%-7.2%5.5%10.5K-577.1K-4.4K1.9633.63N/AN/A7511,4696,2643,469
2016-07-15$3.09$5.0073.0%20.9%94.6%28.9%71.7%20.3%7.2%8.8K-500.9K-4.3K1.6628.12N/AN/A7611,2666,1613,575
2016-07-18$3.12$4.0079.1%22.7%93.1%33.3%79.6%20.7%-2.0%9.2K-462.4K-4.1K1.7732.72N/AN/A6841,2126,0013,545
2016-07-19$3.10$4.0080.7%23.1%93.2%34.4%79.3%-13.1%6.5%8.8K-452.7K-4.2K1.7928.36N/AN/A6771,2126,0013,545
2016-07-20$3.07$4.0079.1%22.7%93.1%33.3%79.3%-15.5%0.8%9.1K-430.4K-4.1K1.7327.55N/AN/A8041,3926,0063,545
2016-07-21$3.13$3.0075.5%21.6%92.5%30.7%76.1%55.2%-0.1%8.6K-412.8K-3.9K1.7828.56N/AN/A7811,3925,8843,651
2016-07-22$3.10$3.0077.5%22.2%89.7%32.1%76.4%38.7%0.4%8.4K-370.0K-4.0K2.1224.53N/AN/A6581,3925,8873,751
2016-07-25$2.77$3.0081.5%23.4%94.6%35.0%81.7%0.0%-9.8%7.6K-132.9K-3.5K0.4633.28N/AN/A1,0194675,8973,751
2016-07-26$2.80$3.0076.0%21.8%90.5%31.1%78.0%4.2%4.5%8.7K-144.8K-3.7K0.4727.70N/AN/A7833706,2713,851
2016-07-27$2.63$3.0082.9%23.8%87.9%36.0%85.5%-16.3%-9.6%8.1K-2.1K-3.4K0.4736.22N/AN/A7313466,3733,854
2016-07-28$2.50$3.0085.3%24.4%90.0%37.6%78.2%-3.9%-6.2%7.3K60.0K-3.1K0.5230.75N/AN/A6943586,5293,979
2016-07-29$2.60$2.0068.4%19.6%90.7%25.7%62.3%15.4%12.9%8.2K94.2K-3.0K0.5019.25N/AN/A6823386,6103,971