DSX Options History — August 2017

In August 2017, DSX traded between $3.82 and $4.23. ATM implied volatility averaged 52.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 5.7% (HV 20d: 46.9%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-08-25: Highest Volume — 1,348 contracts
  • 2017-08-03: Largest IV drop — 14.3% change
  • 2017-08-28: Highest IV Rank — 14.9%
  • 2017-08-28: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.00$3.82$4.23$3.91$3.98
Max Pain$4.70$4.00$5.00$4.00$4.00
ATM IV52.6%47.5%60.0%52.9%50.3%
Expected Move15.3%14.0%17.2%15.2%14.4%
HV 20d46.9%40.4%53.2%50.5%51.3%
HV 60d49.2%47.3%51.1%50.5%50.7%
IV Rank8.4%4.0%14.9%8.7%6.4%
IV Percentile7.6%0.8%26.2%5.6%3.6%
Term Structure3.2%-5.6%8.8%0.9%4.9%
VWIV51.5%44.9%59.8%52.8%50.4%
Skew 25d15.1%-10.2%74.9%1.7%5.9%
Skew 10d24.1%-12.8%118.3%3.3%9.5%
Call IV 25d43.3%34.0%62.0%51.1%49.0%
Put IV 25d58.4%46.1%121.3%52.8%55.0%
Bid-Ask Spread %11.698.7317.1715.7612.95
Gamma HHI0.380.270.560.270.42
Net GEX4.0K-9.5K26.1K-2.3K3.4K
Net DEX424.0K-15.0K693.9K590.6K480.2K
Net VEX-4.5K-5.5K-3.7K-5.1K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.441.481.291.48
Total Volume858.2174951,3489211,019
Total OI15,938.30414,94316,63515,69316,145

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$3.91$4.0052.9%15.2%50.5%8.7%52.8%1.7%0.9%-2.3K590.6K-5.1K1.2915.76N/AN/A4035187,5758,118
2017-08-02$4.01$4.0059.8%17.1%50.6%14.7%59.8%8.2%-5.6%-1.4K413.6K-5.5K1.2717.17N/AN/A4085207,6008,118
2017-08-03$3.86$5.0051.2%15.1%50.6%7.2%44.9%6.2%6.7%-2.4K641.4K-5.0K1.328.73N/AN/A4005307,6318,146
2017-08-04$3.95$5.0047.5%16.7%51.0%4.0%47.8%-10.2%3.2%2.5K391.2K-5.3K1.1515.56N/AN/A3003447,6818,146
2017-08-07$4.07$5.0047.8%15.6%52.0%4.2%50.2%13.4%3.5%4.4K285.7K-5.2K0.639.43N/AN/A4753017,7348,152
2017-08-08$4.08$5.0050.1%15.1%50.9%6.2%50.2%11.3%2.9%4.1K274.0K-4.8K0.6610.58N/AN/A3072047,8578,156
2017-08-09$4.05$5.0053.7%15.4%45.8%9.4%52.5%11.2%4.4%3.8K278.7K-5.0K0.7710.44N/AN/A2902237,8618,183
2017-08-10$4.00$5.0057.5%16.5%45.4%12.7%56.2%7.9%1.6%2.9K431.2K-5.0K0.729.11N/AN/A2872087,8728,222
2017-08-11$3.98$5.0058.4%16.7%41.5%13.5%53.9%34.3%2.0%4.6K500.6K-5.1K0.968.87N/AN/A4744547,8728,227
2017-08-14$4.11$5.0051.6%14.8%40.4%7.5%49.2%12.5%7.1%6.3K236.0K-4.8K0.7512.33N/AN/A6054548,0508,227
2017-08-15$3.88$5.0051.2%14.7%42.9%7.1%50.0%9.1%8.8%6.8K598.1K-4.5K0.4410.65N/AN/A6933038,2498,227
2017-08-16$4.03$5.0051.5%14.8%44.9%7.5%48.5%63.1%6.0%12.9K421.8K-4.3K0.8410.38N/AN/A4193548,2078,263
2017-08-17$3.96$5.0053.0%15.2%41.6%8.8%53.0%5.8%7.6%13.4K519.7K-4.4K0.6710.50N/AN/A5273548,2488,263
2017-08-18$3.99$5.0051.0%14.6%41.6%7.0%48.0%6.3%6.8%26.1K693.9K-4.2K0.729.08N/AN/A4533258,4758,160
2017-08-21$3.82$5.0049.9%14.3%44.2%6.0%50.0%0.9%0.9%-9.5K664.9K-3.7K0.6312.71N/AN/A5823697,2807,663
2017-08-22$3.94$5.0049.0%14.0%44.0%5.2%48.9%4.0%4.3%-5.8K547.4K-3.9K0.949.99N/AN/A4013767,5657,694
2017-08-23$3.95$5.0052.8%15.1%41.7%8.6%52.3%74.9%-1.9%-3.3K548.4K-3.8K0.8911.43N/AN/A4664137,6137,694
2017-08-24$3.90$5.0050.6%14.5%41.7%6.6%50.6%1.9%5.4%-2.9K571.8K-3.8K0.6713.84N/AN/A4653137,8447,667
2017-08-25$4.23$4.0053.1%15.2%50.5%8.8%52.5%45.8%1.3%6.9K76.9K-4.2K0.8410.18N/AN/A7326168,0017,587
2017-08-28$4.23$4.0060.0%17.2%50.5%14.9%56.8%19.7%-1.7%9.7K-15.0K-4.5K0.8812.84N/AN/A4423918,3237,742
2017-08-29$4.16$4.0054.3%15.6%51.0%9.9%53.9%10.6%5.1%7.7K123.0K-4.3K0.6711.71N/AN/A5913968,4227,742
2017-08-30$3.97$4.0052.2%15.0%53.2%8.0%52.1%2.6%0.1%4.3K478.9K-3.7K1.4214.69N/AN/A4286068,3877,692
2017-08-31$3.98$4.0050.3%14.4%51.3%6.4%50.4%5.9%4.9%3.4K480.2K-3.7K1.4812.95N/AN/A4116088,3857,760