DSX Options History — June 2017

In June 2017, DSX traded between $3.51 and $4.06. ATM implied volatility averaged 59.4%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 7.3% (HV 20d: 52.1%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2017-06-01: Highest Volume — 2,544 contracts
  • 2017-06-09: Largest IV spike — 28.8% change
  • 2017-06-07: Highest IV Rank — 21.6%
  • 2017-06-15: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.82$3.51$4.06$3.84$4.06
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV59.4%51.5%72.2%56.0%51.5%
Expected Move16.5%14.8%18.6%16.1%14.8%
HV 20d52.1%44.7%59.4%53.2%50.9%
HV 60d64.7%62.8%66.0%65.7%64.4%
IV Rank9.7%2.4%21.6%6.5%2.4%
IV Percentile9.6%1.2%33.7%3.6%1.2%
Term Structure4.0%-1.1%10.0%2.9%4.8%
VWIV56.5%44.1%64.9%56.8%44.1%
Skew 25d4.8%-12.1%24.0%1.9%9.1%
Skew 10d12.5%-11.5%44.5%3.6%13.3%
Call IV 25d51.4%42.8%65.0%54.2%43.1%
Put IV 25d56.3%45.5%70.6%56.2%52.2%
Bid-Ask Spread %15.047.9824.7017.3123.19
Gamma HHI0.270.210.380.280.29
Net GEX-3.9K-12.6K5.7K-3.3K2.1K
Net DEX712.9K141.0K1.3M763.5K141.0K
Net VEX-6.4K-7.2K-5.7K-6.6K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.404.194.190.83
Total Volume1,476.8188962,5442,5441,115
Total OI17,257.59111,89221,41219,80314,074

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$3.84$4.0056.0%16.1%53.2%6.5%56.8%1.9%2.9%-3.3K763.5K-6.6K4.1917.31N/AN/A4902,0548,56111,242
2017-06-02$3.74$4.0058.7%16.8%51.7%9.0%58.9%-5.3%2.0%-10.2K983.8K-6.2K2.517.98N/AN/A5461,3698,56911,277
2017-06-05$3.74$4.0066.2%17.4%51.6%16.0%62.0%5.4%3.7%-11.7K1.0M-6.0K3.0524.70N/AN/A4521,3788,49911,389
2017-06-06$3.82$4.0062.2%17.9%50.2%12.3%62.4%19.6%0.9%-4.7K912.0K-6.1K2.3013.61N/AN/A5541,2728,61511,389
2017-06-07$3.71$4.0072.2%17.7%48.9%21.6%61.6%16.4%-1.1%-12.6K1.1M-6.4K3.1712.49N/AN/A4181,3258,62612,140
2017-06-08$3.87$4.0052.7%16.2%51.2%3.4%56.8%24.0%6.0%-1.7K940.2K-6.3K1.1610.63N/AN/A1,0811,2538,65512,025
2017-06-09$4.00$4.0067.9%15.9%49.1%17.5%57.3%-10.8%5.4%1.9K588.0K-7.2K2.1012.78N/AN/A5881,2339,31512,035
2017-06-12$3.93$4.0065.9%17.3%49.0%15.7%61.9%-12.1%2.8%4.3K624.0K-6.9K2.1010.28N/AN/A5841,2249,35012,035
2017-06-13$3.97$4.0068.1%16.8%44.7%17.7%51.5%9.8%2.9%5.7K601.2K-6.8K2.6912.35N/AN/A4351,1729,35112,036
2017-06-14$3.84$4.0058.1%16.7%46.6%8.5%59.5%2.4%4.1%3.2K911.9K-6.4K3.1712.62N/AN/A4321,3709,26412,036
2017-06-15$3.51$4.0064.7%18.6%57.1%14.6%64.9%9.2%-0.9%-9.0K1.3M-5.8K1.2621.73N/AN/A5236599,27012,142
2017-06-16$3.69$4.0059.7%17.1%59.4%9.9%59.7%16.9%3.0%-10.2K1.3M-5.7K1.0713.95N/AN/A4594929,25311,884
2017-06-19$3.68$4.0056.1%16.1%58.3%6.7%56.6%18.8%7.4%-10.4K753.0K-5.7K0.4012.74N/AN/A8083254,8587,034
2017-06-20$3.67$4.0057.0%16.4%58.2%7.5%57.5%-5.9%5.3%-8.0K647.5K-6.1K0.4012.97N/AN/A8083205,3347,044
2017-06-21$3.67$4.0054.0%15.5%50.4%4.7%53.5%-7.8%9.9%-6.3K653.4K-6.1K0.9421.94N/AN/A4634335,5717,039
2017-06-22$3.73$4.0054.6%15.6%50.6%5.2%55.2%-1.7%5.7%-5.4K590.1K-6.2K1.2712.43N/AN/A4295445,6207,056
2017-06-23$3.92$4.0052.9%15.2%53.8%3.7%52.9%0.8%10.0%-4.3K474.1K-6.5K1.1513.40N/AN/A4615305,6407,195
2017-06-26$3.89$4.0059.9%17.2%53.8%10.1%59.5%1.8%-0.8%-2.7K406.1K-6.7K1.1315.01N/AN/A4565155,8007,215
2017-06-27$3.92$4.0055.2%15.8%53.8%5.7%52.7%4.5%5.0%-1.6K355.4K-6.6K0.5516.50N/AN/A1,0916005,9187,220
2017-06-28$3.91$4.0056.3%16.1%51.8%6.8%52.9%4.7%2.4%-748366.5K-6.8K1.1316.03N/AN/A5416096,6447,385
2017-06-29$3.97$4.0057.4%16.4%51.5%7.8%45.3%4.8%6.5%-92281.6K-7.1K1.2516.26N/AN/A4796006,6677,395
2017-06-30$4.06$4.0051.5%14.8%50.9%2.4%44.1%9.1%4.8%2.1K141.0K-7.2K0.8323.19N/AN/A6105056,6787,396