DSX Options History — November 2017

In November 2017, DSX traded between $3.85 and $4.58. ATM implied volatility averaged 52.7%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 3.8% (HV 20d: 56.5%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-11-06: Highest Volume — 3,483 contracts
  • 2017-11-08: Largest IV spike — 64.5% change
  • 2017-11-13: Highest IV Rank — 25.3%
  • 2017-11-13: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.08$3.85$4.58$3.98$4.02
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV52.7%36.6%67.0%41.1%42.0%
Expected Move15.8%11.8%19.2%11.8%12.0%
HV 20d56.5%19.4%65.0%21.3%64.5%
HV 60d48.5%41.8%52.2%41.9%47.1%
IV Rank13.5%0.0%25.3%1.7%6.2%
IV Percentile23.5%0.0%55.2%0.4%1.6%
Term Structure1.3%-7.1%10.9%10.9%8.4%
VWIV55.3%41.1%71.3%41.1%41.1%
Skew 25d2.7%-12.0%15.0%-2.5%-0.1%
Skew 10d7.3%-17.6%71.4%-4.2%-2.2%
Call IV 25d51.4%39.8%70.1%43.6%43.9%
Put IV 25d54.1%41.1%66.2%41.1%43.8%
Bid-Ask Spread %18.869.0359.5659.5615.82
Gamma HHI0.710.460.890.600.86
Net GEX15.4K8.4K28.9K13.6K10.3K
Net DEX-296.3K-1.1M4.8K-169.0K-76.7K
Net VEX-5.1K-6.3K-4.5K-5.0K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.190.700.310.27
Total Volume1,591.3811,0723,4831,4691,184
Total OI13,136.14311,59214,36511,59213,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$3.98$4.0041.1%11.8%21.3%1.7%41.1%-2.5%10.9%13.6K-169.0K-5.0K0.3159.56N/AN/A1,1253446,7624,830
2017-11-02$3.96$4.0050.2%15.1%20.5%9.4%52.3%-7.1%5.8%12.0K-87.8K-4.9K0.2911.75N/AN/A1,1743446,7924,921
2017-11-03$3.94$4.0046.0%15.9%19.4%5.8%56.2%8.5%1.0%11.9K-21.8K-4.8K0.2313.17N/AN/A1,3263036,7944,921
2017-11-06$4.58$4.0036.6%15.1%57.1%0.0%61.0%13.4%2.7%21.7K-1.1M-5.9K0.1917.19N/AN/A2,9225617,2064,958
2017-11-07$4.41$4.0038.7%17.3%58.7%1.7%60.0%6.1%0.9%28.9K-916.2K-6.2K0.5118.76N/AN/A1,2946618,1305,017
2017-11-08$4.45$4.0063.6%18.2%58.7%22.5%61.2%15.0%-2.6%24.2K-890.9K-6.3K0.5412.69N/AN/A1,2336618,5675,317
2017-11-09$4.39$4.0062.2%17.8%59.0%21.4%57.1%10.1%-2.2%18.4K-764.6K-6.2K0.5020.43N/AN/A1,0805388,7995,317
2017-11-10$4.38$4.0064.0%18.4%59.0%22.9%63.0%7.8%-5.9%19.0K-743.4K-6.2K0.6318.31N/AN/A9966288,9895,317
2017-11-13$4.23$4.0067.0%19.2%60.6%25.3%64.7%3.9%-7.1%18.8K-560.9K-5.8K0.709.03N/AN/A9166429,1085,248
2017-11-14$4.01$4.0061.7%17.7%63.6%21.0%62.3%-10.7%-1.9%20.4K-181.9K-5.3K0.6610.70N/AN/A1,2668399,1035,262
2017-11-15$3.94$4.0057.7%16.5%63.8%17.6%55.6%7.4%4.3%21.3K-164.7K-4.8K0.4011.24N/AN/A1,1394568,9204,839
2017-11-16$3.93$4.0061.5%17.6%63.6%20.8%59.4%12.2%-3.4%23.7K-116.4K-4.8K0.3312.15N/AN/A1,0273368,9874,877
2017-11-17$4.03$4.0059.2%17.0%63.6%18.8%71.3%-12.0%0.0%11.2K-297.3K-4.7K0.1911.73N/AN/A1,3092539,0034,982
2017-11-20$3.92$4.0060.2%17.3%64.3%19.7%60.5%-10.6%-1.7%10.5K-21.0K-4.7K0.4112.77N/AN/A1,2034927,1004,909
2017-11-21$3.85$4.0048.1%13.8%64.6%10.3%48.3%2.1%9.0%8.4K188-4.5K0.2548.96N/AN/A8562167,4854,971
2017-11-22$3.90$4.0049.5%14.2%64.8%11.5%49.4%1.9%0.0%9.6K4.8K-4.5K0.5017.19N/AN/A8744357,5804,963
2017-11-24$3.98$4.0049.0%14.0%65.0%11.1%48.8%5.2%1.2%10.0K-109.4K-4.9K0.5022.79N/AN/A8694357,8245,176
2017-11-27$3.96$4.0049.3%14.1%65.0%11.3%49.2%2.3%2.3%9.5K-23.8K-4.6K0.2119.56N/AN/A9922127,9445,176
2017-11-28$3.94$4.0050.8%14.6%65.0%12.7%51.4%4.7%1.4%10.0K-27.0K-4.6K0.3017.88N/AN/A8952698,0075,201
2017-11-29$3.96$4.0047.8%13.7%64.6%11.6%47.7%-0.4%4.7%10.2K579-4.5K0.3214.31N/AN/A8452698,0725,204
2017-11-30$4.02$4.0042.0%12.0%64.5%6.2%41.1%-0.1%8.4%10.3K-76.7K-4.5K0.2715.82N/AN/A9292558,0775,204