DSX Options History — February 2017

In February 2017, DSX traded between $3.62 and $4.27. ATM implied volatility averaged 79.2%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 30.4% (HV 20d: 48.8%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 4.58.

Notable Days

  • 2017-02-03: Highest Volume — 8,096 contracts
  • 2017-02-08: Largest IV drop — 11.4% change
  • 2017-02-03: Highest IV Rank — 43.4%
  • 2017-02-13: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.93$3.62$4.27$4.26$3.84
Max Pain$3.95$3.00$4.00$3.00$4.00
ATM IV79.2%67.2%95.7%85.3%69.9%
Expected Move22.0%19.3%25.1%24.4%20.0%
HV 20d48.8%35.8%65.9%49.9%65.9%
HV 60d74.0%64.7%85.3%84.6%66.2%
IV Rank28.0%17.0%43.4%33.7%19.4%
IV Percentile31.0%9.1%65.5%45.6%11.9%
Term Structure-0.4%-9.1%12.6%-8.8%-0.0%
VWIV81.5%66.3%106.0%102.3%73.8%
Skew 25d19.9%-1.0%39.6%7.4%29.1%
Skew 10d33.1%1.4%62.7%25.1%43.0%
Call IV 25d72.1%47.9%82.9%82.0%67.3%
Put IV 25d91.9%61.2%102.7%89.4%96.4%
Bid-Ask Spread %32.1218.0079.8935.2719.93
Gamma HHI0.470.280.790.280.72
Net GEX-9.3K-38.7K15.0K15.0K-30.4K
Net DEX-130.6K-1.0M615.5K-1.0M150.2K
Net VEX-5.5K-6.3K-4.2K-5.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.580.4314.975.250.63
Total Volume3,243.4211,4878,0963,3231,487
Total OI18,461.21113,77321,28813,77319,256

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$4.26$3.0085.3%24.4%49.9%33.7%102.3%7.4%-8.8%15.0K-1.0M-5.5K5.2535.27N/AN/A5322,7916,7417,032
2017-02-02$4.11$4.0090.6%22.5%35.8%38.6%88.7%12.4%1.2%11.4K-750.6K-5.7K9.3429.80N/AN/A2932,7386,7537,127
2017-02-03$4.27$4.0095.7%22.6%37.3%43.4%106.0%10.4%-0.5%13.6K-962.4K-5.3K14.9740.72N/AN/A5077,5896,7187,269
2017-02-06$4.07$4.0093.3%23.1%41.4%41.2%82.6%17.5%0.0%-2.9K-447.4K-6.3K6.2127.17N/AN/A4582,8446,64712,160
2017-02-07$4.04$4.0089.3%23.6%41.2%37.4%76.9%13.1%-2.3%-2.6K-419.1K-6.1K5.7646.18N/AN/A4832,7816,64312,202
2017-02-08$3.96$4.0079.1%22.7%42.1%28.0%82.0%14.8%-0.9%-9.6K-222.1K-5.9K6.8739.54N/AN/A4072,7966,64312,217
2017-02-09$3.85$4.0083.5%23.9%43.0%32.0%66.3%12.9%-9.1%-8.1K-119.5K-6.1K6.8224.94N/AN/A4162,8386,70912,249
2017-02-10$3.97$4.0081.5%23.4%42.6%30.2%84.5%21.2%-0.7%-3.6K-310.2K-6.1K7.0425.76N/AN/A5043,5496,69312,301
2017-02-13$3.98$4.0087.7%25.1%41.9%36.0%80.1%21.6%-2.5%-5.4K-203.6K-6.1K3.5423.00N/AN/A8853,1346,73112,926
2017-02-14$3.77$4.0078.0%22.4%46.5%26.9%75.4%12.7%-0.6%-9.1K109.6K-5.9K3.8322.68N/AN/A8173,1257,21913,086
2017-02-15$3.89$4.0077.1%22.1%42.9%26.2%74.4%38.5%2.5%4.2K-48.1K-5.8K3.8847.44N/AN/A7973,0897,20813,265
2017-02-16$3.79$4.0071.9%20.6%43.7%21.3%83.6%14.9%3.9%-5.1K101.3K-5.5K4.2234.81N/AN/A8013,3837,19713,311
2017-02-17$3.73$4.0072.4%20.7%42.0%21.7%93.4%39.6%-0.9%-25.0K370.9K-5.5K3.4220.06N/AN/A8552,9207,19414,094
2017-02-21$4.13$4.0068.1%19.5%56.1%17.8%68.9%38.9%12.6%-5.0K-259.0K-4.6K0.4324.65N/AN/A1,1114805,88311,829
2017-02-22$3.82$4.0071.2%20.4%62.6%20.6%71.1%-1.0%-1.9%-20.6K183.9K-5.0K1.5779.89N/AN/A7891,2386,18712,210
2017-02-23$3.75$4.0067.2%19.3%62.8%17.0%71.0%23.8%3.0%-27.8K391.5K-5.0K1.0721.24N/AN/A8709356,20812,655
2017-02-24$3.62$4.0067.9%19.5%63.6%17.6%75.2%23.3%-0.2%-38.7K615.5K-5.0K1.1629.23N/AN/A8029346,31912,744
2017-02-27$3.76$4.0074.3%21.3%65.4%23.5%91.7%26.5%-3.3%-27.7K379.0K-5.0K0.9818.00N/AN/A8318166,35912,778
2017-02-28$3.84$4.0069.9%20.0%65.9%19.4%73.8%29.1%-0.0%-30.4K150.2K-4.2K0.6319.93N/AN/A9105776,38812,868