DSX Options History — December 2016

In December 2016, DSX traded between $2.81 and $3.42. ATM implied volatility averaged 94.5%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 3.3% (HV 20d: 91.2%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-12-07: Highest Volume — 7,467 contracts
  • 2016-12-14: Largest IV drop — 30.3% change
  • 2016-12-01: Highest IV Rank — 62.3%
  • 2016-12-01: Largest Expected Move — 35.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.06$2.81$3.42$2.99$3.03
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV94.5%71.1%124.2%124.2%77.7%
Expected Move26.5%20.4%35.6%35.6%22.3%
HV 20d91.2%74.5%116.2%114.7%75.0%
HV 60d78.7%75.9%81.8%77.9%80.3%
IV Rank36.5%17.9%62.3%62.3%22.5%
IV Percentile56.5%16.3%92.1%92.1%26.6%
Term Structure-0.0%-13.6%18.0%-8.6%1.6%
VWIV89.9%68.3%112.7%104.0%72.8%
Skew 25d7.6%-37.3%25.3%16.7%23.5%
Skew 10d17.7%-60.3%78.6%-31.9%39.9%
Call IV 25d90.0%66.7%135.3%88.3%67.4%
Put IV 25d97.7%78.8%138.9%105.0%90.8%
Bid-Ask Spread %37.4113.6695.7613.6622.86
Gamma HHI0.500.320.700.490.39
Net GEX12.6K-7.1K37.0K31.0K-2.6K
Net DEX-199.9K-1.2M437.7K-863.7K24.7K
Net VEX-5.1K-6.7K-4.1K-6.7K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.111.600.910.44
Total Volume1,815.6679407,4671,6881,402
Total OI18,846.71410,49925,51424,62313,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$2.99$3.00124.2%35.6%114.7%62.3%104.0%16.7%-8.6%31.0K-863.7K-6.7K0.9113.66N/AN/A88380517,4227,201
2016-12-02$2.94$3.00112.7%32.3%114.8%51.7%112.7%-37.3%1.0%31.4K-531.6K-6.2K0.6114.13N/AN/A1,27578017,4207,383
2016-12-05$2.85$3.00121.3%32.3%115.7%58.5%111.1%4.8%-3.7%30.8K-461.3K-5.9K1.1753.62N/AN/A8881,03917,6037,698
2016-12-06$2.97$3.00113.9%31.1%116.2%52.3%103.7%22.8%-8.2%34.6K-481.2K-6.0K1.6048.40N/AN/A55588917,6607,854
2016-12-07$2.86$3.0099.1%28.1%115.6%40.4%100.0%6.1%1.3%37.0K-139.0K-5.4K0.1139.54N/AN/A6,71675117,2927,874
2016-12-08$2.82$3.00100.5%28.9%109.8%41.5%106.0%25.3%8.0%23.5K286.0K-5.0K0.8295.76N/AN/A89073115,6627,915
2016-12-09$2.93$3.0097.3%27.7%99.3%39.0%96.2%-13.3%-5.5%24.2K188.4K-4.8K1.0694.81N/AN/A74679115,1927,814
2016-12-12$2.81$3.00117.7%29.2%97.7%55.3%100.7%25.1%-12.3%22.6K437.7K-4.4K0.7334.77N/AN/A80258715,4567,856
2016-12-13$2.85$3.00102.0%26.6%97.6%42.8%84.1%16.0%-3.1%26.1K362.3K-4.4K0.5816.24N/AN/A81147115,5337,848
2016-12-14$2.84$3.0071.1%20.4%77.4%17.9%71.1%10.5%18.0%24.6K420.5K-4.1K0.5845.28N/AN/A1,02559015,5167,851
2016-12-15$3.23$3.0082.4%23.6%93.1%26.3%68.3%11.6%16.5%-1.7K-1.2M-4.2K0.4837.36N/AN/A2,04598815,6738,279
2016-12-16$3.03$3.0089.4%25.6%76.0%32.0%87.9%-8.8%0.0%-2.6K-884.7K-4.6K0.9037.46N/AN/A1,2071,08315,3469,026
2016-12-19$3.13$3.0074.6%21.4%76.3%19.9%76.5%8.8%11.2%-7.1K141.8K-4.3K0.6825.28N/AN/A5904025,5974,902
2016-12-20$3.12$3.0083.8%24.0%76.1%27.4%84.1%-4.4%2.4%-5.1K38.9K-4.7K0.5718.07N/AN/A5983425,6744,904
2016-12-21$3.33$3.0091.4%26.2%76.3%33.6%84.3%22.8%-13.6%-4.6K-100.1K-4.8K0.2432.50N/AN/A1,4143425,6794,900
2016-12-22$3.42$3.0088.0%25.2%76.7%30.8%87.8%5.3%-6.0%1.3K-365.3K-5.3K0.7132.60N/AN/A6704736,5334,900
2016-12-23$3.31$3.0089.7%25.7%77.2%32.2%78.3%12.4%-4.8%2.0K-353.7K-5.5K0.5433.32N/AN/A6543536,9075,051
2016-12-27$3.41$3.0091.0%26.1%77.7%33.3%87.4%7.7%-4.5%2.5K-372.7K-5.3K0.4130.76N/AN/A7683147,3065,071
2016-12-28$3.19$3.0082.4%23.6%78.0%26.3%88.7%-10.7%-0.9%694-282.3K-5.2K0.3937.97N/AN/A7833067,3165,091
2016-12-29$3.10$3.0074.7%21.4%74.5%20.0%82.6%15.2%10.8%-4.1K-16.7K-5.0K0.4421.32N/AN/A9514197,3845,096
2016-12-30$3.03$3.0077.7%22.3%75.0%22.5%72.8%23.5%1.6%-2.6K24.7K-5.0K0.4422.86N/AN/A9714317,8765,220