DSX Options History — October 2016

In October 2016, DSX traded between $2.48 and $2.81. ATM implied volatility averaged 72.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 18.3% (HV 20d: 54.6%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2016-10-06: Highest Volume — 3,218 contracts
  • 2016-10-25: Largest IV spike — 48.5% change
  • 2016-10-25: Highest IV Rank — 46.4%
  • 2016-10-25: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.48$2.81$2.73$2.50
Max Pain$2.14$2.00$3.00$3.00$2.00
ATM IV72.9%50.0%101.9%96.7%79.2%
Expected Move21.0%14.3%29.2%27.7%22.7%
HV 20d54.6%37.3%69.3%69.0%37.3%
HV 60d60.5%52.0%68.2%68.0%52.0%
IV Rank28.0%12.7%46.4%45.7%29.5%
IV Percentile36.2%13.9%81.0%75.0%42.1%
Term Structure-2.6%-54.4%35.8%-15.1%-23.3%
VWIV76.9%53.5%128.1%96.7%86.3%
Skew 25d6.4%-19.6%63.0%-1.1%18.1%
Skew 10d7.5%-15.6%86.1%-6.3%14.4%
Call IV 25d65.3%40.5%98.1%98.1%50.3%
Put IV 25d71.7%53.5%139.9%97.1%68.3%
Bid-Ask Spread %38.6921.39110.9247.9021.94
Gamma HHI0.800.740.900.880.78
Net GEX15.4K10.6K26.9K18.6K11.3K
Net DEX-311.8K-744.1K-100.3K-478.9K-111.9K
Net VEX-2.9K-4.0K-2.1K-3.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.090.180.120.17
Total Volume2,507.9522,3063,2182,3592,503
Total OI10,354.6679,19111,3199,4379,221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$2.73$3.0096.7%27.7%69.0%45.7%96.7%-1.1%-15.1%18.6K-478.9K-3.4K0.1247.90N/AN/A2,1012587,2602,177
2016-10-04$2.64$3.0072.1%20.7%69.3%28.3%80.0%-8.3%-13.2%19.5K-450.4K-3.3K0.1022.70N/AN/A2,0972097,3752,177
2016-10-05$2.79$3.0078.0%22.3%66.9%32.5%79.3%-3.6%-4.2%23.1K-590.8K-3.5K0.10110.92N/AN/A2,6412697,3982,176
2016-10-06$2.81$2.0072.1%21.0%63.1%28.3%73.3%-2.7%2.5%26.9K-702.5K-3.9K0.0929.69N/AN/A2,9492697,9452,276
2016-10-07$2.77$2.0066.4%21.9%58.1%24.3%76.1%-0.3%-1.3%26.8K-744.1K-4.0K0.1332.33N/AN/A2,0382698,8912,276
2016-10-10$2.63$2.0081.6%22.8%61.3%35.1%78.7%-3.0%-5.3%24.8K-610.2K-3.6K0.1823.22N/AN/A2,0133668,9012,276
2016-10-11$2.59$2.0067.4%19.7%61.5%25.0%78.1%-17.1%-14.5%20.8K-358.6K-3.2K0.1733.11N/AN/A2,1133668,8932,376
2016-10-12$2.56$2.0082.7%23.7%61.6%35.8%83.5%63.0%-7.5%12.0K-312.1K-3.1K0.1755.87N/AN/A2,1133668,8932,376
2016-10-13$2.56$2.0075.1%21.5%61.6%30.5%79.7%-17.0%-12.8%11.9K-203.5K-2.8K0.1638.08N/AN/A2,2833668,8932,426
2016-10-14$2.54$2.0078.7%22.6%61.6%33.0%78.2%-3.5%-13.4%11.6K-210.2K-2.8K0.1663.17N/AN/A2,2833668,7702,426
2016-10-17$2.52$2.0053.7%15.4%61.5%15.3%53.5%-0.0%27.7%11.7K-234.5K-2.8K0.1421.39N/AN/A2,2833198,7702,426
2016-10-18$2.52$2.0050.0%14.3%60.7%12.7%53.8%-1.8%14.4%11.9K-194.5K-2.6K0.1526.21N/AN/A2,1133198,7702,429
2016-10-19$2.60$2.0071.9%20.6%61.2%28.2%80.0%-19.2%-10.7%13.1K-239.8K-2.7K0.1549.44N/AN/A2,1133198,7652,429
2016-10-20$2.52$2.0081.6%23.4%44.8%35.1%80.9%-19.6%-7.3%12.0K-235.2K-2.7K0.1534.52N/AN/A2,1133198,7652,429
2016-10-21$2.51$2.0057.2%16.4%44.2%17.8%56.9%0.2%14.6%11.5K-190.8K-2.6K0.1545.84N/AN/A2,1133198,7652,429
2016-10-24$2.51$2.0068.6%19.7%42.0%25.8%73.7%28.7%35.8%11.7K-154.5K-2.4K0.1526.05N/AN/A2,0733066,8212,392
2016-10-25$2.48$2.00101.9%29.2%42.0%46.4%128.1%34.1%-54.4%11.1K-180.3K-2.5K0.1649.34N/AN/A2,0733286,8212,392
2016-10-26$2.49$2.0070.9%20.3%42.1%23.2%65.3%29.8%6.4%10.8K-107.3K-2.1K0.1631.60N/AN/A2,0663286,8112,380
2016-10-27$2.50$2.0065.0%18.6%37.8%18.8%66.4%25.1%-7.5%10.6K-100.3K-2.2K0.1521.76N/AN/A2,1223286,8142,380
2016-10-28$2.56$2.0060.8%17.4%38.9%15.7%67.3%32.9%33.9%12.0K-138.1K-2.1K0.1527.40N/AN/A2,1473286,8782,380
2016-10-31$2.50$2.0079.2%22.7%37.3%29.5%86.3%18.1%-23.3%11.3K-111.9K-2.1K0.1721.94N/AN/A2,1483556,8412,380