DSX Options History — July 2017

In July 2017, DSX traded between $3.81 and $4.28. ATM implied volatility averaged 55.8%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 5.6% (HV 20d: 50.2%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2017-07-24: Highest Volume — 1,617 contracts
  • 2017-07-26: Largest IV drop — 21.2% change
  • 2017-07-17: Highest IV Rank — 14.5%
  • 2017-07-17: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.99$3.81$4.28$4.13$3.88
Max Pain$3.80$3.00$4.00$4.00$4.00
ATM IV55.8%43.0%64.6%52.3%51.7%
Expected Move16.3%12.3%18.5%15.0%14.8%
HV 20d50.2%44.3%54.6%51.1%50.9%
HV 60d53.9%50.5%62.6%62.6%50.5%
IV Rank7.1%0.0%14.5%3.1%7.6%
IV Percentile9.1%0.0%21.4%1.6%2.4%
Term Structure2.0%-4.3%11.4%8.6%1.6%
VWIV55.1%42.8%62.4%53.9%51.7%
Skew 25d12.3%-7.7%91.3%12.2%1.4%
Skew 10d19.2%-8.7%121.1%19.2%2.9%
Call IV 25d49.4%41.7%64.0%42.3%49.9%
Put IV 25d61.8%46.7%134.7%54.5%51.3%
Bid-Ask Spread %16.8310.7833.7430.1014.62
Gamma HHI0.300.270.340.320.27
Net GEX2.3K-8.4K13.7K4.2K-2.5K
Net DEX296.5K-314.2K656.8K49.1K599.2K
Net VEX-6.3K-7.2K-5.2K-7.2K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.542.040.831.42
Total Volume1,185.68831,6171,120883
Total OI15,001.714,35215,74314,35215,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$4.13$4.0052.3%15.0%51.1%3.1%53.9%12.2%8.6%4.2K49.1K-7.2K0.8330.10N/AN/A6115096,9617,391
2017-07-05$4.02$4.0051.7%14.8%51.9%2.5%54.6%8.1%10.3%4.2K150.5K-7.0K0.7919.76N/AN/A5854616,9947,391
2017-07-06$3.87$4.0059.3%17.8%52.7%9.6%53.5%3.1%-1.6%1.1K346.4K-6.8K0.8915.57N/AN/A5174617,0047,393
2017-07-07$3.82$4.0052.8%16.5%50.8%3.5%55.7%3.6%-0.2%670488.0K-6.3K0.8112.01N/AN/A5564487,0177,393
2017-07-10$3.84$4.0059.9%17.9%49.2%10.1%57.1%1.0%0.4%2.2K408.2K-6.5K0.7831.59N/AN/A5714487,1727,419
2017-07-11$3.96$4.0052.0%18.2%50.2%2.8%57.3%8.2%-4.0%5.4K248.8K-6.5K0.5411.57N/AN/A8944847,2277,419
2017-07-12$4.21$4.0060.5%17.3%54.6%10.7%58.0%0.7%0.4%8.1K-108.1K-7.0K0.9015.66N/AN/A6375767,2857,423
2017-07-13$4.28$3.0061.0%17.5%53.1%11.2%58.1%-0.6%0.8%-534-314.2K-6.7K1.3024.75N/AN/A5256847,3407,395
2017-07-14$4.06$3.0059.9%17.2%45.3%10.1%48.8%-7.7%0.9%10.5K134.9K-6.7K1.2012.88N/AN/A5206227,4707,441
2017-07-17$4.23$3.0064.6%18.5%44.3%14.5%62.4%-1.5%-4.3%-896-250.9K-6.5K1.9711.85N/AN/A3967797,4977,483
2017-07-18$4.06$3.0055.4%15.9%47.3%6.0%57.6%-7.3%4.8%12.4K205.0K-6.3K2.0410.78N/AN/A3857857,5307,663
2017-07-19$4.12$4.0057.8%16.6%47.4%8.2%57.1%11.8%-2.3%11.1K90.9K-6.5K1.4514.28N/AN/A4706837,5327,773
2017-07-20$3.92$4.0061.6%17.6%51.3%11.7%61.4%12.2%-2.2%13.7K448.0K-5.9K1.8213.83N/AN/A4969017,4617,783
2017-07-21$3.94$4.0059.7%17.1%51.1%10.0%59.7%13.3%0.7%-8.0K602.1K-6.0K1.7112.19N/AN/A5819917,5148,028
2017-07-24$3.88$4.0056.4%16.2%48.3%6.9%56.4%7.1%1.7%-8.4K586.1K-5.7K0.9113.11N/AN/A8457726,8187,815
2017-07-25$4.01$4.0057.9%16.6%49.6%8.3%57.9%71.0%-1.6%-3.3K406.2K-6.0K1.1412.19N/AN/A7478527,1747,997
2017-07-26$3.86$4.0045.6%13.1%51.5%0.0%45.7%20.0%10.8%-345583.7K-5.5K1.6833.74N/AN/A4066817,6688,058
2017-07-27$3.81$4.0052.1%14.9%51.7%5.9%52.2%-1.7%3.1%-1.6K598.4K-5.5K0.9415.19N/AN/A5284987,6658,078
2017-07-28$3.85$4.0043.0%12.3%51.5%0.0%42.8%91.3%11.4%-1.7K656.8K-5.4K1.2210.94N/AN/A4165087,5888,098
2017-07-31$3.88$4.0051.7%14.8%50.9%7.6%51.7%1.4%1.6%-2.5K599.2K-5.2K1.4214.62N/AN/A3655187,5588,118