DSX Options History — May 2017

In May 2017, DSX traded between $3.52 and $4.06. ATM implied volatility averaged 68.9%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 6.0% (HV 20d: 62.9%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2017-05-02: Highest Volume — 5,753 contracts
  • 2017-05-12: Largest IV drop — 12.3% change
  • 2017-05-01: Highest IV Rank — 32.0%
  • 2017-05-01: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.82$3.52$4.06$4.06$3.76
Max Pain$4.59$4.00$5.00$5.00$4.00
ATM IV68.9%54.8%83.4%83.4%54.8%
Expected Move20.2%15.7%23.9%23.9%15.7%
HV 20d62.9%46.1%87.0%87.0%52.8%
HV 60d67.7%64.7%69.9%69.7%65.6%
IV Rank18.5%5.4%32.0%32.0%5.4%
IV Percentile22.8%2.8%57.1%57.1%2.8%
Term Structure-2.2%-7.9%7.9%-7.9%6.9%
VWIV70.4%54.4%83.0%83.0%54.4%
Skew 25d9.5%-20.3%36.6%-10.4%-0.8%
Skew 10d21.8%-29.0%65.1%-9.9%-1.2%
Call IV 25d64.7%45.0%88.4%88.4%55.2%
Put IV 25d74.1%53.4%88.7%78.0%54.4%
Bid-Ask Spread %14.568.2422.5313.438.24
Gamma HHI0.350.230.490.460.23
Net GEX-12.8K-21.1K-2.3K-11.1K-2.3K
Net DEX1.1M562.6K1.7M747.2K948.8K
Net VEX-6.6K-7.6K-5.4K-7.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.304.791.414.32
Total Volume2,781.3641,5285,7532,9762,828
Total OI19,557.54516,71022,30516,71019,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$4.06$5.0083.4%23.9%87.0%32.0%83.0%-10.4%-7.9%-11.1K747.2K-7.5K1.4113.43N/AN/A1,2351,7418,4378,273
2017-05-02$4.05$5.0075.3%21.6%84.6%24.4%77.8%-20.3%-0.8%-13.1K795.6K-7.3K2.1110.54N/AN/A1,8523,9018,4648,273
2017-05-03$3.98$5.0071.2%20.4%84.5%20.6%70.8%7.6%7.9%-19.5K1.1M-7.6K0.309.95N/AN/A2,6668018,76210,342
2017-05-04$3.81$5.0066.5%21.9%85.0%16.2%76.3%1.9%-1.0%-13.5K1.2M-7.1K0.4622.53N/AN/A2,2071,0229,49510,360
2017-05-05$3.84$5.0070.6%22.2%79.3%20.0%77.3%11.6%-5.9%-16.6K1.2M-7.0K0.4719.09N/AN/A2,2251,0369,13710,392
2017-05-08$3.99$5.0072.2%22.1%65.8%21.6%75.5%8.5%-5.3%-16.1K947.2K-7.1K0.6715.78N/AN/A1,7581,1799,38810,487
2017-05-09$3.82$5.0066.8%21.8%65.2%16.6%79.6%2.5%-4.8%-17.3K1.2M-6.9K0.6420.61N/AN/A1,7231,1079,76610,560
2017-05-10$3.86$5.0074.4%21.3%66.0%23.6%77.3%8.8%-3.9%-19.4K1.2M-6.7K1.3215.79N/AN/A8281,0919,77310,591
2017-05-11$3.68$5.0077.1%22.1%66.2%26.1%80.0%3.1%-1.6%-17.5K1.4M-6.1K2.6718.05N/AN/A7612,0299,80310,591
2017-05-12$3.78$5.0067.6%19.4%64.8%17.3%68.1%24.8%-2.0%-21.1K1.4M-6.2K1.4015.14N/AN/A8651,2139,80610,957
2017-05-15$3.59$5.0068.9%19.8%65.7%18.5%75.4%17.8%-2.6%-18.1K1.5M-5.8K1.5517.58N/AN/A7631,18310,03710,870
2017-05-16$3.57$5.0074.6%21.4%63.8%23.8%75.3%13.1%-6.8%-14.9K1.7M-5.4K0.8817.77N/AN/A1,3311,16710,11410,863
2017-05-17$3.52$5.0069.5%19.9%46.8%19.0%68.5%17.3%-3.0%-15.8K1.6M-5.5K1.6517.76N/AN/A1,2532,06210,69911,068
2017-05-18$3.59$4.0072.8%20.9%46.1%22.1%70.1%12.8%-5.2%-14.3K1.4M-6.1K1.7911.76N/AN/A8811,57311,08611,219
2017-05-19$3.71$4.0072.2%20.7%47.6%21.6%74.1%31.8%-6.6%-12.3K1.7M-6.5K0.6617.35N/AN/A92060810,06611,409
2017-05-22$3.73$4.0069.8%20.0%47.2%19.3%68.9%26.6%-6.3%-13.3K990.7K-6.0K0.819.54N/AN/A1,0238297,4059,357
2017-05-23$4.03$4.0066.8%19.1%55.4%16.5%62.0%36.6%-1.5%-4.7K564.0K-6.8K0.9012.57N/AN/A1,4141,2727,6919,698
2017-05-24$3.95$4.0061.9%17.8%54.2%12.0%60.0%2.6%-2.5%-7.1K615.7K-6.6K0.7511.30N/AN/A1,6831,2657,98910,430
2017-05-25$3.91$4.0060.8%17.4%54.1%11.0%57.0%3.4%3.4%-4.7K635.0K-6.9K1.899.99N/AN/A7351,3868,32610,430
2017-05-26$3.94$4.0062.3%17.9%51.3%12.4%62.2%6.8%-1.9%-4.0K562.6K-7.1K4.7912.15N/AN/A5462,6178,32510,563
2017-05-30$3.91$4.0057.4%16.5%51.1%7.8%55.8%2.2%3.4%-5.1K750.0K-6.6K4.3313.29N/AN/A4902,1218,35811,083
2017-05-31$3.76$4.0054.8%15.7%52.8%5.4%54.4%-0.8%6.9%-2.3K948.8K-6.0K4.328.24N/AN/A5322,2968,44011,083