DSX Options History — October 2017

In October 2017, DSX traded between $3.67 and $4.15. ATM implied volatility averaged 50.7%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 6.8% (HV 20d: 43.9%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2017-10-20: Highest Volume — 3,204 contracts
  • 2017-10-18: Largest IV spike — 27.0% change
  • 2017-10-18: Highest IV Rank — 17.5%
  • 2017-10-18: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.02$3.67$4.15$3.67$4.05
Max Pain$3.86$3.00$4.00$4.00$4.00
ATM IV50.7%43.3%59.7%56.6%46.7%
Expected Move14.9%12.4%17.1%16.2%13.4%
HV 20d43.9%20.6%48.1%32.5%20.6%
HV 60d44.7%41.7%49.8%45.2%41.7%
IV Rank9.8%3.5%17.5%14.9%6.4%
IV Percentile12.4%1.2%36.9%25.8%4.0%
Term Structure2.3%-4.2%10.5%-4.2%7.7%
VWIV49.2%44.3%57.4%57.4%46.7%
Skew 25d10.9%-9.7%27.1%-9.7%2.0%
Skew 10d15.3%-10.7%41.9%-10.7%3.0%
Call IV 25d43.2%36.2%57.2%57.2%44.7%
Put IV 25d54.0%45.3%69.3%47.5%46.7%
Bid-Ask Spread %23.2911.9899.2211.9818.55
Gamma HHI0.540.440.770.570.65
Net GEX16.4K9.2K23.4K9.2K14.5K
Net DEX-399.2K-997.2K106.1K106.1K-203.8K
Net VEX-5.2K-5.6K-4.4K-4.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.180.640.500.30
Total Volume1,7811,3143,2041,5901,494
Total OI12,426.95510,54213,61311,80011,602

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$3.67$4.0056.6%16.2%32.5%14.9%57.4%-9.7%-4.2%9.2K106.1K-4.4K0.5011.98N/AN/A1,0585326,8774,923
2017-10-03$4.06$4.0057.4%16.5%47.4%15.5%57.2%9.7%-2.1%12.9K-362.3K-5.1K0.5118.20N/AN/A1,6388286,8764,987
2017-10-04$4.02$4.0051.8%14.8%47.6%10.7%51.6%7.7%3.9%15.8K-410.0K-5.3K0.5621.01N/AN/A1,4658187,3335,199
2017-10-05$4.08$3.0048.8%15.4%47.8%8.2%48.4%14.0%2.6%15.7K-497.3K-5.5K0.6413.32N/AN/A1,2718107,3625,219
2017-10-06$4.15$3.0045.3%16.0%47.5%5.2%48.8%16.7%-3.8%17.8K-690.6K-5.6K0.2914.34N/AN/A1,6604757,6685,239
2017-10-09$4.07$3.0045.2%16.2%48.1%5.2%51.0%11.0%-2.3%17.3K-600.0K-5.6K0.3314.83N/AN/A1,4534757,7995,284
2017-10-10$4.01$4.0051.7%16.0%48.1%10.7%47.7%10.3%-0.6%16.3K-469.0K-5.6K0.3412.40N/AN/A1,2784357,7915,294
2017-10-11$4.00$4.0059.2%17.0%47.7%17.1%50.0%9.8%-2.4%17.0K-421.4K-5.5K0.3012.29N/AN/A1,2153707,8245,291
2017-10-12$4.00$4.0052.4%15.0%47.0%11.3%47.3%27.1%-1.5%17.6K-446.0K-5.4K0.2999.22N/AN/A1,3263807,8645,286
2017-10-13$3.99$4.0050.7%14.5%46.5%9.8%47.4%11.4%1.0%20.4K-438.6K-5.3K0.3014.34N/AN/A1,2173607,9655,306
2017-10-16$4.04$4.0057.8%16.6%46.7%15.9%49.2%15.7%-0.5%22.3K-540.1K-5.5K0.3415.28N/AN/A1,2574298,1885,356
2017-10-17$4.00$4.0047.0%13.5%46.3%6.7%44.4%11.4%8.1%22.7K-442.9K-5.4K0.3028.11N/AN/A1,2773898,2135,400
2017-10-18$4.04$4.0059.7%17.1%45.5%17.5%50.9%16.3%-1.3%23.4K-545.4K-5.3K0.3014.44N/AN/A1,2793898,1935,390
2017-10-19$3.98$4.0052.9%15.2%45.0%11.7%51.0%11.1%2.1%21.0K-379.1K-5.1K0.5513.33N/AN/A1,2516878,1975,350
2017-10-20$4.08$4.0046.0%13.2%45.3%5.8%45.7%12.2%8.7%11.2K-997.2K-5.1K0.2025.87N/AN/A2,6715338,2075,292
2017-10-23$4.08$4.0049.9%14.3%44.3%9.1%49.9%14.7%5.3%12.8K-287.1K-5.1K0.2465.23N/AN/A1,1372786,1324,410
2017-10-24$4.08$4.0047.3%13.6%43.3%6.9%47.3%14.5%10.5%15.8K-321.9K-5.1K0.2418.17N/AN/A1,1312686,3724,450
2017-10-25$4.04$4.0043.3%12.4%42.9%3.5%44.3%5.2%8.7%16.1K-301.3K-5.2K0.1917.97N/AN/A1,1442226,7094,466
2017-10-26$3.98$4.0051.1%14.6%43.2%10.2%51.5%12.7%1.1%14.2K-201.9K-5.1K0.3919.93N/AN/A1,0664136,7024,510
2017-10-27$4.00$4.0045.0%12.9%40.8%5.0%45.1%13.1%5.1%13.8K-213.8K-5.1K0.1823.34N/AN/A1,1161986,7214,685
2017-10-30$3.97$4.0049.2%14.1%41.0%8.6%49.2%2.3%3.3%13.5K-118.3K-4.8K0.3020.34N/AN/A1,1463436,7614,700
2017-10-31$4.05$4.0046.7%13.4%20.6%6.4%46.7%2.0%7.7%14.5K-203.8K-5.2K0.3018.55N/AN/A1,1463486,7624,840