DSX Options History — March 2017

In March 2017, DSX traded between $3.69 and $4.79. ATM implied volatility averaged 67.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 5.7% (HV 20d: 61.8%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-03-23: Highest Volume — 2,853 contracts
  • 2017-03-08: Largest IV spike — 40.0% change
  • 2017-03-14: Highest IV Rank — 43.8%
  • 2017-03-06: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.25$3.69$4.79$3.98$4.63
Max Pain$4.65$3.00$5.00$4.00$5.00
ATM IV67.6%51.3%96.1%70.4%58.9%
Expected Move18.2%14.7%21.0%20.2%16.9%
HV 20d61.8%52.5%69.8%67.4%53.0%
HV 60d62.7%52.7%67.1%66.5%52.7%
IV Rank17.3%2.1%43.8%19.9%9.2%
IV Percentile16.6%0.8%72.6%12.3%4.8%
Term Structure4.8%-4.5%11.0%1.6%7.0%
VWIV63.2%52.2%76.1%71.7%63.3%
Skew 25d13.9%-4.2%27.8%5.5%12.1%
Skew 10d25.3%-5.6%79.9%9.0%22.1%
Call IV 25d56.8%47.6%69.7%64.9%55.0%
Put IV 25d70.7%61.8%81.8%70.3%67.1%
Bid-Ask Spread %24.4212.2442.8916.7412.24
Gamma HHI0.410.230.690.350.45
Net GEX1.2K-23.2K22.2K2.8K22.2K
Net DEX-324.8K-1.0M424.1K-75.4K-793.1K
Net VEX-5.4K-7.2K-4.2K-4.2K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.292.400.780.83
Total Volume1,772.4359122,8531,6651,545
Total OI16,853.2619,97123,17219,59313,180

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$3.98$4.0070.4%20.2%67.4%19.9%71.7%5.5%1.6%2.8K-75.4K-4.2K0.7816.74N/AN/A9387276,53613,057
2017-03-02$3.86$4.0071.3%20.4%66.9%20.7%58.4%0.6%-4.5%-23.2K109.8K-4.3K0.8220.26N/AN/A8707176,59413,284
2017-03-03$3.91$4.0071.6%20.5%66.2%21.0%71.7%-4.2%-3.1%-16.1K86.4K-4.6K0.7017.14N/AN/A1,0877656,58513,299
2017-03-06$3.79$3.0077.6%21.0%65.1%26.6%76.1%23.2%-1.4%-18.6K251.9K-4.4K0.8724.00N/AN/A9047906,64913,286
2017-03-07$3.75$5.0063.6%20.5%63.2%13.5%66.0%20.0%5.9%-18.8K312.8K-4.3K0.9322.49N/AN/A7907326,78013,415
2017-03-08$3.75$5.0089.0%19.5%63.2%37.2%69.2%26.6%6.6%-22.5K331.5K-4.5K0.7434.21N/AN/A1,3259776,81613,405
2017-03-09$3.69$5.0070.7%18.4%63.1%20.2%68.1%27.8%6.5%-21.7K424.1K-4.6K1.2131.76N/AN/A1,1331,3697,34313,677
2017-03-10$3.89$5.0074.8%18.1%65.4%23.9%68.4%8.1%10.0%1.4K84.8K-4.7K0.8742.89N/AN/A9848527,56913,813
2017-03-13$4.19$5.0090.0%18.6%69.8%38.1%66.1%14.9%8.0%2.7K-332.7K-4.8K1.1321.25N/AN/A7438367,54114,023
2017-03-14$4.19$5.0096.1%18.0%69.8%43.8%62.3%17.0%6.7%859-612.0K-4.5K0.7137.33N/AN/A7905617,76314,069
2017-03-15$4.30$4.0065.2%18.7%66.8%15.1%62.1%15.5%3.5%2.6K-617.7K-4.9K0.2933.63N/AN/A1,5414457,87314,245
2017-03-16$4.59$4.0054.2%15.5%69.5%4.8%54.8%11.6%9.0%6.7K-1.0M-5.2K1.5141.89N/AN/A5638498,31514,377
2017-03-17$4.55$4.0052.7%15.1%68.7%3.5%52.2%11.8%11.0%2.8K-791.7K-5.6K0.7018.05N/AN/A1,1047768,23714,935
2017-03-20$4.50$5.0065.9%18.9%68.5%15.7%63.3%23.8%5.1%8.0K-562.2K-5.8K1.8525.81N/AN/A3205925,6514,473
2017-03-21$4.28$5.0063.4%18.2%62.2%13.4%61.6%4.1%3.3%8.4K-309.4K-5.3K2.4017.95N/AN/A2927025,6784,293
2017-03-22$4.33$5.0064.8%18.6%54.6%14.7%61.8%2.2%2.2%7.8K-310.3K-5.6K0.7923.00N/AN/A9837765,6554,401
2017-03-23$4.51$5.0051.3%14.7%55.1%2.1%56.4%18.1%8.7%6.8K-403.7K-5.7K0.5026.04N/AN/A1,9059485,8184,601
2017-03-24$4.57$5.0053.5%15.3%52.5%4.2%54.4%15.9%8.6%11.8K-491.6K-6.6K0.7825.29N/AN/A8636726,5635,021
2017-03-27$4.49$5.0067.8%19.5%52.6%17.5%57.4%12.8%3.9%12.5K-405.7K-6.3K0.4423.17N/AN/A1,5226646,7815,067
2017-03-28$4.60$5.0056.7%16.2%52.7%7.1%60.1%15.1%7.7%14.7K-615.5K-6.5K0.7520.51N/AN/A1,0217706,9015,067
2017-03-29$4.79$5.0058.9%16.9%53.0%9.2%60.6%22.9%6.1%18.1K-935.4K-6.8K0.6213.56N/AN/A1,2007467,1575,177
2017-03-30$4.66$5.0065.6%18.8%52.7%15.4%68.0%13.8%-1.9%18.1K-789.9K-7.0K0.5112.44N/AN/A1,3777007,4565,199
2017-03-31$4.63$5.0058.9%16.9%53.0%9.2%63.3%12.1%7.0%22.2K-793.1K-7.2K0.8312.24N/AN/A8457007,9755,205