DSX Options History — November 2016

In November 2016, DSX traded between $2.41 and $4.12. ATM implied volatility averaged 115.4%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded above realized volatility by 40.6% (HV 20d: 74.8%). 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 3 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-11-15: Highest Volume — 14,868 contracts
  • 2016-11-04: Largest IV spike — 23.1% change
  • 2016-11-18: Highest IV Rank — 87.4%
  • 2016-11-18: Largest Expected Move — 44.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.13$2.41$4.12$2.44$2.96
Max Pain$2.90$2.00$3.00$2.00$3.00
ATM IV115.4%71.0%156.6%71.0%120.8%
Expected Move32.6%18.2%44.9%20.4%34.6%
HV 20d74.8%25.1%114.7%36.5%114.7%
HV 60d65.6%50.0%79.3%51.4%79.3%
IV Rank56.4%23.3%87.4%23.3%59.7%
IV Percentile76.1%27.8%99.6%27.8%90.1%
Term Structure-13.9%-52.7%26.4%-2.3%-10.7%
VWIV113.7%64.6%156.0%64.6%123.1%
Skew 25d-2.0%-35.0%50.8%4.5%-35.0%
Skew 10d-17.7%-86.0%64.0%4.9%-74.3%
Call IV 25d112.2%66.2%152.6%66.2%138.2%
Put IV 25d110.2%61.2%148.0%70.7%103.2%
Bid-Ask Spread %31.7214.9962.1136.0622.90
Gamma HHI0.540.310.810.740.48
Net GEX22.3K9.0K33.3K9.6K30.9K
Net DEX-1.4M-3.6M-48.9K-98.0K-910.2K
Net VEX-5.3K-9.4K-1.9K-2.1K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.177.260.183.24
Total Volume4,148.0951,09414,8682,3333,367
Total OI16,987.0489,23628,2879,23623,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$2.44$2.0071.0%20.4%36.5%23.3%64.6%4.5%-2.3%9.6K-98.0K-2.1K0.1836.06N/AN/A1,9783556,8422,394
2016-11-02$2.44$2.0080.9%23.2%29.1%30.7%66.2%-0.1%-6.4%9.6K-62.0K-2.0K0.1819.90N/AN/A1,9783556,8472,394
2016-11-03$2.41$3.0078.4%20.6%28.7%28.9%85.1%1.4%26.4%9.0K-48.9K-1.9K0.1742.93N/AN/A1,9783466,8472,394
2016-11-04$2.42$3.0096.5%24.3%28.9%42.4%83.3%2.8%0.7%9.7K-49.7K-1.9K0.1840.44N/AN/A2,2754076,8572,410
2016-11-07$2.47$3.0084.5%22.5%25.1%33.5%83.9%11.9%24.3%10.7K-107.4K-2.0K0.2138.17N/AN/A2,2754837,1242,426
2016-11-08$2.63$3.0076.2%18.2%33.8%27.2%65.3%-7.3%-1.5%15.3K-173.7K-2.1K0.2331.05N/AN/A2,0224617,1242,474
2016-11-09$2.91$3.0077.2%22.1%48.8%28.0%92.3%-17.4%-8.5%22.7K-570.0K-2.5K0.6932.56N/AN/A6714617,1682,476
2016-11-10$3.32$3.0087.2%25.0%65.9%35.5%98.3%9.4%-3.9%21.4K-1.2M-3.0K0.1724.59N/AN/A4,9448537,4322,476
2016-11-11$3.49$3.0098.4%28.2%66.7%43.9%96.2%18.1%-15.8%33.3K-1.9M-4.6K0.1762.11N/AN/A4,89981410,6792,991
2016-11-14$3.55$3.00104.4%29.9%66.1%48.3%114.4%50.8%-24.3%29.5K-2.4M-4.8K0.3634.95N/AN/A4,5021,61411,6333,001
2016-11-15$4.12$3.00125.2%35.9%80.5%63.8%125.8%8.2%-21.7%27.3K-3.6M-4.9K0.6639.26N/AN/A8,9675,90111,9363,789
2016-11-16$3.99$3.00146.2%41.9%82.9%79.6%145.5%-4.6%-31.1%24.4K-3.1M-8.5K0.4633.61N/AN/A7,6323,49815,2886,437
2016-11-17$3.38$3.00155.1%44.5%105.1%86.3%156.0%-10.1%-44.6%18.0K-1.5M-8.1K0.5142.25N/AN/A4,9692,52316,7547,988
2016-11-18$3.48$3.00156.6%44.9%105.0%87.4%145.0%4.2%-52.7%25.1K-2.1M-9.4K0.8130.12N/AN/A1,3661,11119,5928,695
2016-11-21$3.42$3.00144.9%41.5%105.5%78.6%141.1%-12.8%-20.6%25.1K-2.0M-8.9K0.4224.50N/AN/A1,04944016,2666,964
2016-11-22$3.20$3.00148.2%42.5%109.1%81.1%149.0%-18.3%-31.6%24.7K-1.4M-8.2K7.2631.62N/AN/A6264,54216,2487,028
2016-11-23$3.24$3.00145.4%41.7%109.0%78.6%139.6%-26.5%-13.7%26.7K-1.6M-7.8K1.0222.65N/AN/A9871,00316,3196,168
2016-11-25$3.32$3.00144.4%41.4%109.1%77.8%138.1%-6.1%-23.4%31.0K-1.8M-7.6K0.9522.68N/AN/A1,0591,00316,8576,135
2016-11-28$3.38$3.00148.6%42.6%109.0%81.0%144.7%6.4%-21.3%32.9K-2.1M-7.6K3.2214.99N/AN/A5461,75616,9376,135
2016-11-29$3.17$3.00133.8%38.3%111.8%69.7%129.6%-22.0%-8.1%31.7K-1.5M-7.2K1.0518.73N/AN/A53356117,0746,524
2016-11-30$2.96$3.00120.8%34.6%114.7%59.7%123.1%-35.0%-10.7%30.9K-910.2K-6.3K3.2422.90N/AN/A7952,57217,0586,547