DSX Options History — August 2016

In August 2016, DSX traded between $2.28 and $2.69. ATM implied volatility averaged 79.2%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 8.0% (HV 20d: 71.1%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2016-08-26: Highest Volume — 1,698 contracts
  • 2016-08-30: Largest IV spike — 36.3% change
  • 2016-08-31: Highest IV Rank — 63.5%
  • 2016-08-31: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.46$2.28$2.69$2.37$2.31
Max Pain$2.87$2.00$3.00$2.00$3.00
ATM IV79.2%58.1%121.8%96.0%121.8%
Expected Move22.4%16.7%34.9%27.5%34.9%
HV 20d71.1%48.9%88.4%88.4%50.8%
HV 60d81.3%75.7%85.2%84.2%75.7%
IV Rank33.3%18.4%63.5%45.3%63.5%
IV Percentile52.7%31.7%95.6%77.0%95.6%
Term Structure-3.5%-66.6%25.5%-45.7%-66.6%
VWIV80.1%55.2%110.3%108.8%110.3%
Skew 25d-7.8%-64.2%26.3%-27.4%-1.1%
Skew 10d10.9%-41.1%43.2%31.7%24.1%
Call IV 25d85.5%48.0%180.2%89.6%77.1%
Put IV 25d77.7%45.0%160.7%62.2%76.0%
Bid-Ask Spread %27.3611.46107.6529.86107.65
Gamma HHI0.570.500.660.590.53
Net GEX5.8K2.1K10.4K6.2K4.9K
Net DEX190.7K-73.4K366.1K143.8K247.2K
Net VEX-2.2K-3.0K-1.1K-2.7K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.110.440.22
Total Volume997.17411,6981,0481,485
Total OI10,681.60910,10211,23210,59011,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$2.37$2.0096.0%27.5%88.4%45.3%108.8%-27.4%-45.7%6.2K143.8K-2.7K0.4429.86N/AN/A7263226,6143,976
2016-08-02$2.40$2.0087.5%25.1%85.9%39.2%92.2%-6.5%-17.6%5.9K169.8K-2.7K0.4415.05N/AN/A7263226,7153,974
2016-08-03$2.40$2.0068.6%19.7%85.9%25.9%73.7%2.3%17.2%5.3K180.8K-2.7K0.5117.87N/AN/A6303226,7153,974
2016-08-04$2.39$3.0071.9%22.8%85.2%28.2%77.0%0.4%3.4%5.2K216.5K-2.5K0.5125.82N/AN/A6303226,7193,974
2016-08-05$2.58$3.0082.8%20.1%86.2%35.9%74.8%20.4%6.6%8.4K119.5K-2.6K0.5035.97N/AN/A6413226,7193,974
2016-08-08$2.69$3.0089.4%22.6%86.9%40.6%77.3%26.3%-8.4%10.4K-73.4K-3.0K0.4231.25N/AN/A7753226,7323,974
2016-08-09$2.55$3.0081.5%20.1%83.1%35.0%74.9%21.3%2.5%6.7K135.5K-2.4K0.4335.95N/AN/A7523226,8873,974
2016-08-10$2.53$3.0076.6%22.0%72.2%31.5%71.1%-12.1%-4.7%7.0K114.3K-2.5K0.4732.06N/AN/A6813226,8243,974
2016-08-11$2.48$3.0096.5%27.6%71.6%45.6%79.8%8.6%-27.8%6.0K160.4K-2.4K0.4722.52N/AN/A6853226,7723,974
2016-08-12$2.55$3.0077.1%22.1%72.9%31.9%81.9%23.5%-0.7%7.3K121.2K-2.5K0.4739.32N/AN/A6803226,7773,974
2016-08-15$2.61$3.0075.1%21.5%73.6%30.4%70.4%-11.8%-2.5%8.5K92.8K-2.4K0.4124.50N/AN/A7903226,7873,974
2016-08-16$2.60$3.0076.3%21.9%73.6%31.3%71.0%-12.0%-0.2%8.6K71.5K-2.5K0.4224.71N/AN/A7683226,9073,974
2016-08-17$2.52$3.0067.0%19.2%74.0%24.7%0.0%-23.9%-10.2%6.8K162.4K-2.2K0.0019.70N/AN/A506,9063,974
2016-08-18$2.51$3.0072.7%20.8%73.3%28.7%0.0%-37.6%-13.2%6.2K164.3K-2.2K0.0016.83N/AN/A016,9063,974
2016-08-19$2.47$3.0059.5%17.1%73.3%19.4%81.7%-21.9%14.0%5.9K133.8K-2.3K0.5019.69N/AN/A7493716,9063,973
2016-08-22$2.40$3.0061.8%17.7%63.3%21.0%55.2%-44.5%22.3%5.2K211.7K-2.1K0.3920.65N/AN/A6982716,3623,748
2016-08-23$2.37$3.0064.8%18.6%62.9%23.2%67.1%-17.4%15.1%3.3K352.9K-1.5K0.4015.31N/AN/A6812716,3573,748
2016-08-24$2.38$3.0065.3%18.7%59.7%23.6%0.0%5.9%-23.1%3.6K345.3K-1.5K1.1117.96N/AN/A37416,3543,748
2016-08-25$2.40$3.0058.1%16.7%57.3%18.4%75.6%19.1%25.5%3.4K366.1K-1.3K0.4011.46N/AN/A6982806,3543,769
2016-08-26$2.28$3.0071.9%20.6%57.7%28.2%99.8%-9.1%22.4%3.9K291.3K-1.6K0.2621.99N/AN/A1,3453536,3643,769
2016-08-29$2.34$3.0084.1%24.1%48.9%36.8%0.0%-18.7%3.1%2.1K332.4K-1.1K0.1717.36N/AN/A1,3962437,2453,921
2016-08-30$2.39$3.00114.6%32.9%49.3%58.4%0.0%-64.2%8.8%2.3K325.7K-1.2K0.1925.70N/AN/A1,3962667,2803,929
2016-08-31$2.31$3.00121.8%34.9%50.8%63.5%110.3%-1.1%-66.6%4.9K247.2K-1.9K0.22107.65N/AN/A1,2192667,2803,952