DSX Options History — January 2017

In January 2017, DSX traded between $3.30 and $4.14. ATM implied volatility averaged 81.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 7.3% (HV 20d: 74.3%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.98.

Notable Days

  • 2017-01-31: Highest Volume — 5,981 contracts
  • 2017-01-04: Largest IV spike — 73.6% change
  • 2017-01-13: Highest IV Rank — 45.3%
  • 2017-01-13: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.86$3.30$4.14$3.30$4.13
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV81.6%49.0%97.7%49.0%84.4%
Expected Move23.7%14.0%28.0%14.0%24.2%
HV 20d74.3%55.9%87.8%80.4%55.9%
HV 60d84.6%82.1%85.1%82.1%84.5%
IV Rank29.1%0.0%45.3%0.0%32.9%
IV Percentile37.1%0.0%68.7%0.0%44.0%
Term Structure0.3%-16.0%68.6%68.6%4.7%
VWIV91.8%78.0%103.9%79.5%90.5%
Skew 25d12.1%-16.9%35.4%7.1%-16.9%
Skew 10d30.9%-22.1%66.9%7.1%-22.1%
Call IV 25d81.5%63.4%102.4%79.0%94.5%
Put IV 25d93.6%74.4%105.7%86.1%77.6%
Bid-Ask Spread %33.5417.9397.4668.7632.08
Gamma HHI0.330.270.550.270.28
Net GEX16.1K3.8K55.6K5.5K17.0K
Net DEX-965.2K-1.9M-527.4K-527.4K-958.8K
Net VEX-5.3K-6.3K-3.9K-3.9K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.3012.940.7012.94
Total Volume1,599.956385,9811,0455,981
Total OI14,071.0511,21516,26213,16111,963

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$3.30$3.0049.0%14.0%80.4%0.0%79.5%7.1%68.6%5.5K-527.4K-3.9K0.7068.76N/AN/A6144317,8765,285
2017-01-04$3.70$3.0085.1%24.4%87.8%29.0%103.9%27.8%-5.2%12.0K-904.8K-5.4K5.8923.11N/AN/A5953,5067,9685,285
2017-01-05$3.67$3.0071.2%23.8%87.4%17.9%96.3%11.4%4.2%8.9K-864.5K-6.3K3.1931.13N/AN/A8472,7028,1787,365
2017-01-06$3.61$3.0077.1%23.8%86.2%22.6%100.0%11.0%-5.4%3.8K-694.6K-6.1K3.2332.55N/AN/A8272,6728,2177,335
2017-01-09$3.69$3.0083.2%23.1%85.7%27.5%87.1%24.8%6.0%7.7K-803.9K-5.9K0.5628.25N/AN/A5913328,2097,318
2017-01-10$3.72$3.0075.9%22.7%85.2%21.6%92.9%27.3%1.1%13.8K-915.9K-5.5K1.0223.16N/AN/A3163228,2627,418
2017-01-11$3.66$3.0086.1%24.7%83.6%29.9%98.3%35.4%-1.5%10.7K-842.4K-5.7K0.7620.97N/AN/A4253228,2687,420
2017-01-12$3.79$3.0086.6%24.8%83.9%34.9%93.7%16.3%-2.0%18.5K-1.2M-5.8K0.4540.34N/AN/A7613438,3137,420
2017-01-13$3.72$3.0097.7%28.0%84.5%45.3%99.1%3.3%-16.0%16.6K-971.7K-5.7K0.5097.46N/AN/A6743378,5187,439
2017-01-17$3.68$3.0088.3%25.3%73.0%36.5%86.9%18.1%-4.4%18.3K-833.8K-5.2K0.6927.09N/AN/A5163588,5667,435
2017-01-18$3.90$3.0085.3%24.4%70.2%33.7%92.0%9.6%-7.1%33.8K-1.2M-5.2K0.5038.28N/AN/A6163118,6107,468
2017-01-19$3.94$3.0083.7%24.0%69.8%32.2%92.1%17.2%-5.5%55.6K-1.2M-5.1K0.9729.60N/AN/A4334218,6667,453
2017-01-20$4.07$3.0084.3%24.2%70.0%32.8%94.3%15.8%-7.7%10.1K-1.9M-5.1K0.3034.11N/AN/A1,1093338,7547,508
2017-01-23$4.14$3.0081.9%23.5%67.3%30.6%86.3%17.8%-0.5%11.8K-888.7K-4.9K0.6917.93N/AN/A4693226,1925,023
2017-01-24$4.13$3.0086.6%24.8%67.1%34.9%94.2%14.9%-2.8%12.9K-898.5K-5.1K0.8127.41N/AN/A3713026,2865,074
2017-01-25$4.10$3.0082.4%23.6%65.6%31.1%96.2%13.1%-5.4%15.5K-931.1K-5.3K0.7823.16N/AN/A3843006,4335,084
2017-01-26$4.13$3.0080.5%23.1%65.2%29.2%90.9%11.4%-3.3%16.2K-950.5K-5.0K1.5625.10N/AN/A3986206,4525,074
2017-01-27$4.08$3.0080.0%22.9%59.4%28.8%78.0%-13.6%-6.4%17.1K-935.8K-4.9K2.8426.59N/AN/A3168996,5735,021
2017-01-30$4.11$3.0082.9%23.8%57.5%31.5%84.0%-10.4%-6.3%16.7K-912.7K-4.9K1.1623.73N/AN/A4274966,5825,110
2017-01-31$4.13$3.0084.4%24.2%55.9%32.9%90.5%-16.9%4.7%17.0K-958.8K-5.1K12.9432.08N/AN/A4295,5526,7175,246