DSX Options History — September 2017

In September 2017, DSX traded between $3.64 and $4.08. ATM implied volatility averaged 51.7%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 6.9% (HV 20d: 44.8%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-09-07: Highest Volume — 2,604 contracts
  • 2017-09-12: Largest IV spike — 53.1% change
  • 2017-09-12: Highest IV Rank — 22.0%
  • 2017-09-01: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.94$3.64$4.08$4.06$3.64
Max Pain$3.55$3.00$4.00$4.00$4.00
ATM IV51.7%39.1%68.0%55.2%39.1%
Expected Move14.7%11.2%15.8%15.8%11.2%
HV 20d44.8%31.4%52.6%51.2%33.4%
HV 60d46.7%44.8%50.4%50.1%45.2%
IV Rank7.8%0.0%22.0%10.7%0.0%
IV Percentile10.7%0.0%44.4%16.3%0.0%
Term Structure3.5%-2.3%12.4%-2.3%4.4%
VWIV48.8%40.7%54.6%54.6%47.3%
Skew 25d7.4%-11.5%63.5%5.2%-9.7%
Skew 10d11.6%-17.3%100.1%7.6%-7.2%
Call IV 25d43.3%35.7%59.9%50.1%48.3%
Put IV 25d50.7%38.6%101.7%55.2%38.6%
Bid-Ask Spread %14.508.4719.8813.958.47
Gamma HHI0.580.380.800.510.69
Net GEX6.9K1.9K11.0K6.0K7.7K
Net DEX24.7K-633.6K597.6K317.7K130.5K
Net VEX-4.5K-4.9K-3.6K-3.9K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.341.111.060.45
Total Volume1,817.91,2482,6041,2481,601
Total OI14,261.49,36519,08016,14411,684

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$4.06$4.0055.2%15.8%51.2%10.7%54.6%5.2%-2.3%6.0K317.7K-3.9K1.0613.95N/AN/A6056438,3817,763
2017-09-05$3.90$4.0055.1%15.5%52.0%10.6%47.9%-11.5%8.7%2.6K597.6K-3.6K0.4514.94N/AN/A1,2965798,5417,853
2017-09-06$3.92$3.0057.9%15.6%52.1%13.1%49.4%8.0%3.8%4.5K422.6K-3.7K0.7814.31N/AN/A1,3011,0119,0767,994
2017-09-07$3.90$3.0054.1%15.8%52.0%9.8%54.6%8.1%3.9%3.1K425.4K-4.3K0.6813.03N/AN/A1,5481,0569,5078,131
2017-09-08$3.99$3.0050.5%14.6%52.6%6.6%50.8%7.8%6.0%3.8K176.5K-4.7K1.1111.36N/AN/A7328109,7568,231
2017-09-11$4.01$3.0044.4%15.8%52.6%1.2%45.7%-5.0%1.8%1.9K135.1K-4.8K0.8311.41N/AN/A9738109,8888,432
2017-09-12$3.95$3.0068.0%14.7%51.5%22.0%46.7%11.3%8.0%4.8K217.0K-4.7K0.6813.56N/AN/A1,27386410,1048,417
2017-09-13$3.89$3.0051.9%14.9%47.4%7.8%47.6%8.9%2.4%8.7K338.0K-4.5K0.9612.21N/AN/A90587210,5698,407
2017-09-14$3.98$3.0052.5%15.1%46.1%8.4%40.7%11.5%4.0%9.6K69.3K-4.6K0.6813.23N/AN/A92662910,5558,457
2017-09-15$4.06$3.0052.4%15.0%46.2%8.2%49.4%11.9%1.5%7.5K-633.6K-4.5K0.5719.88N/AN/A1,39979110,6218,459
2017-09-18$4.06$3.0051.8%14.8%46.2%7.7%51.2%12.4%3.6%9.6K-296.2K-4.4K0.7117.37N/AN/A1,2598895,3604,005
2017-09-19$3.98$4.0042.8%12.3%43.8%0.0%42.0%63.5%12.4%5.7K-160.0K-4.5K0.3511.90N/AN/A1,2574435,5504,328
2017-09-20$4.08$4.0051.0%14.6%43.4%7.2%47.7%10.7%3.2%9.4K-305.2K-4.8K0.3413.17N/AN/A1,3374615,7144,397
2017-09-21$3.98$4.0052.9%15.2%44.4%8.9%50.1%5.8%-1.6%8.8K-247.2K-4.8K0.3813.29N/AN/A1,2044615,9384,367
2017-09-22$4.06$4.0047.2%13.5%44.6%3.9%46.1%9.3%4.5%11.0K-351.9K-4.9K0.4515.15N/AN/A1,0264616,1454,355
2017-09-25$3.96$4.0053.9%15.5%34.3%9.8%53.5%4.5%-1.0%10.6K-254.3K-4.7K0.5818.75N/AN/A1,1246506,1614,355
2017-09-26$3.87$4.0051.1%14.7%35.0%7.3%50.8%0.5%0.9%7.6K-85.8K-4.7K0.5219.70N/AN/A1,1465976,2684,693
2017-09-27$3.80$4.0050.9%14.6%35.1%7.1%50.5%-1.7%3.8%7.6K-29.4K-4.6K0.4915.27N/AN/A1,1215496,4264,883
2017-09-28$3.77$4.0050.0%14.3%31.4%6.4%50.0%-3.2%2.3%8.1K27.6K-4.5K0.4219.08N/AN/A1,2355146,5724,885
2017-09-29$3.64$4.0039.1%11.2%33.4%0.0%47.3%-9.7%4.4%7.7K130.5K-4.1K0.458.47N/AN/A1,1064956,7844,900