DSX Options History — September 2016

In September 2016, DSX traded between $2.25 and $3.03. ATM implied volatility averaged 83.7%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 25.2% (HV 20d: 58.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2016-09-14: Highest Volume — 3,117 contracts
  • 2016-09-07: Largest IV drop — 41.5% change
  • 2016-09-13: Highest IV Rank — 71.1%
  • 2016-09-02: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.63$2.25$3.03$2.25$2.64
Max Pain$3.19$3.00$5.00$3.00$3.00
ATM IV83.7%61.9%132.6%99.9%64.8%
Expected Move22.9%18.4%32.4%28.6%18.6%
HV 20d58.5%43.7%69.8%51.5%68.7%
HV 60d73.8%68.4%77.5%75.3%69.1%
IV Rank36.5%21.1%71.1%48.0%23.2%
IV Percentile52.4%29.4%98.4%81.0%29.4%
Term Structure-2.7%-48.4%22.5%-48.4%2.2%
VWIV80.8%61.2%109.0%109.0%61.2%
Skew 25d6.6%-16.4%79.1%1.9%-7.4%
Skew 10d17.7%-27.2%123.8%50.1%-7.5%
Call IV 25d75.2%45.1%88.8%74.5%76.0%
Put IV 25d81.7%60.7%134.3%76.4%68.6%
Bid-Ask Spread %49.3826.04148.21100.8231.37
Gamma HHI0.770.460.940.460.90
Net GEX11.7K2.3K23.9K2.3K18.9K
Net DEX-158.3K-841.1K320.8K233.7K-425.3K
Net VEX-2.5K-3.8K-1.3K-1.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.080.870.230.13
Total Volume2,013.8577173,1171,4252,222
Total OI10,328.2385,48613,74011,2449,337

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$2.25$3.0099.9%28.6%51.5%48.0%109.0%1.9%-48.4%2.3K233.7K-1.8K0.23100.82N/AN/A1,1592667,2923,952
2016-09-02$2.31$3.00113.1%32.4%43.7%57.3%91.2%30.6%-39.7%3.9K314.8K-1.6K0.2226.04N/AN/A1,1592607,1923,952
2016-09-06$2.41$5.00105.9%20.2%43.8%52.2%77.8%31.8%14.8%6.2K295.1K-1.5K0.2428.50N/AN/A1,1472787,1953,977
2016-09-07$2.60$5.0061.9%22.9%48.8%21.1%80.2%21.6%6.8%2.7K320.8K-1.3K0.2436.35N/AN/A1,1502787,2053,989
2016-09-08$2.77$3.0073.8%22.5%53.4%29.5%78.4%4.9%-2.1%23.9K-150.3K-2.3K0.2227.57N/AN/A1,8814147,9013,989
2016-09-09$2.59$3.0080.5%24.1%58.7%34.3%84.5%-11.9%-1.7%5.7K144.1K-2.1K0.0927.95N/AN/A2,7402368,7934,219
2016-09-12$2.58$3.00104.2%25.1%57.9%51.0%91.9%10.9%-2.7%7.4K147.0K-2.1K0.0934.19N/AN/A2,7382369,2914,269
2016-09-13$2.56$3.00132.6%22.9%57.3%71.1%85.9%8.8%-3.0%7.7K189.8K-2.0K0.0839.78N/AN/A2,7872369,2924,269
2016-09-14$2.57$3.0085.4%24.5%57.3%37.8%86.8%14.8%-3.0%7.8K179.4K-2.0K0.1230.03N/AN/A2,7873309,3394,269
2016-09-15$2.55$3.0077.6%22.2%56.3%32.2%78.4%-11.9%4.4%8.0K182.9K-2.0K0.1769.34N/AN/A2,5794449,3394,269
2016-09-16$2.55$3.0078.6%22.5%56.2%32.9%79.5%-12.1%2.7%7.7K208.2K-2.1K0.1429.57N/AN/A2,4083419,3284,412
2016-09-19$2.58$3.0076.9%22.0%56.0%31.7%77.5%-15.4%7.4%8.2K-247.0K-2.2K0.1428.44N/AN/A1,1671584,2451,241
2016-09-20$2.65$3.0076.0%21.8%55.4%31.1%75.8%-10.8%-19.2%11.6K-342.0K-2.5K0.5228.60N/AN/A6353335,0991,244
2016-09-21$2.71$3.0080.8%23.2%55.3%34.5%80.6%-16.4%-3.0%12.0K-406.6K-2.7K0.87112.85N/AN/A3843335,1371,494
2016-09-22$3.03$3.0073.7%21.1%66.7%29.5%74.9%-13.4%-1.6%14.9K-705.4K-3.1K0.2769.32N/AN/A1,3853765,2681,544
2016-09-23$2.94$3.0064.1%18.4%68.3%22.7%64.2%79.1%9.0%21.2K-841.1K-3.7K0.1946.21N/AN/A1,6953266,7061,846
2016-09-26$2.81$3.0083.4%23.9%67.6%36.3%81.8%3.7%-13.8%18.4K-725.0K-3.5K0.1364.03N/AN/A1,3591776,6581,864
2016-09-27$2.81$3.0079.6%22.8%67.5%33.6%79.4%2.4%4.6%17.5K-611.1K-3.6K0.1526.45N/AN/A1,1941776,7131,967
2016-09-28$2.78$3.0071.6%20.5%67.7%28.0%72.5%3.1%8.0%21.9K-634.4K-3.8K0.0831.46N/AN/A2,2121777,4662,017
2016-09-29$2.63$3.0073.3%21.0%69.8%29.2%85.2%23.8%22.5%18.2K-451.4K-3.4K0.08148.21N/AN/A1,9641637,2472,067
2016-09-30$2.64$3.0064.8%18.6%68.7%23.2%61.2%-7.4%2.2%18.9K-425.3K-3.3K0.1331.37N/AN/A1,9642587,2602,077