DSX Options History — December 2017

In December 2017, DSX traded between $3.94 and $4.14. ATM implied volatility averaged 44.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 13.5% (HV 20d: 31.2%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-12-07: Highest Volume — 1,509 contracts
  • 2017-12-13: Largest IV spike — 27.7% change
  • 2017-12-14: Highest IV Rank — 20.0%
  • 2017-12-04: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.05$3.94$4.14$4.05$4.06
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV44.7%37.0%51.5%50.6%37.0%
Expected Move12.9%10.6%14.9%14.5%10.6%
HV 20d31.2%22.8%64.5%64.5%24.1%
HV 60d46.2%40.9%47.4%47.1%40.9%
IV Rank11.3%0.7%20.0%16.0%0.7%
IV Percentile7.5%0.4%20.6%15.1%0.4%
Term Structure7.0%-0.2%12.5%-0.2%8.9%
VWIV45.0%37.1%53.5%50.6%37.1%
Skew 25d17.5%-8.6%73.3%8.6%5.8%
Skew 10d27.7%-8.9%116.4%15.5%13.0%
Call IV 25d36.6%30.5%54.4%47.6%36.7%
Put IV 25d54.1%39.8%113.9%56.2%42.5%
Bid-Ask Spread %17.458.9336.6217.3526.43
Gamma HHI0.590.490.770.700.57
Net GEX15.2K11.1K19.2K14.0K16.3K
Net DEX-349.1K-854.3K-54.7K-296.2K-365.2K
Net VEX-4.2K-4.8K-3.8K-4.8K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.151.230.260.85
Total Volume1,061.056461,5091,254693
Total OI10,675.55,85313,83413,4317,757

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$4.05$4.0050.6%14.5%64.5%16.0%50.6%8.6%-0.2%14.0K-296.2K-4.8K0.2617.35N/AN/A9992558,1905,241
2017-12-04$4.08$4.0051.3%14.9%64.5%17.4%53.5%-8.6%6.7%14.1K-367.2K-4.7K0.2815.53N/AN/A9112518,2705,241
2017-12-05$3.98$4.0051.5%14.1%33.4%17.7%49.6%7.3%7.4%12.0K-192.1K-4.6K0.268.93N/AN/A9642518,3055,252
2017-12-06$3.94$4.0049.3%13.7%31.4%15.7%47.4%10.5%9.5%11.1K-59.4K-4.4K0.2711.33N/AN/A1,0522818,3555,252
2017-12-07$3.94$4.0041.4%13.8%31.0%6.0%47.9%10.7%9.6%11.7K-54.7K-4.4K0.2216.29N/AN/A1,2382718,4545,281
2017-12-08$3.95$4.0050.5%14.0%31.0%17.1%47.8%5.8%7.4%13.7K-121.4K-4.4K0.1816.46N/AN/A1,0381928,4755,271
2017-12-11$4.12$4.0047.9%12.6%35.3%13.9%43.0%11.2%10.9%16.0K-482.3K-4.2K0.1811.86N/AN/A1,0171798,4855,294
2017-12-12$4.14$4.0037.7%13.8%33.3%1.4%47.1%15.7%7.1%16.6K-747.9K-4.3K0.2111.32N/AN/A8281708,5605,267
2017-12-13$4.06$4.0048.2%13.8%28.0%17.7%47.1%11.3%7.0%16.5K-365.4K-4.1K0.2714.74N/AN/A8812408,5785,256
2017-12-14$4.06$4.0048.8%14.0%27.2%20.0%48.8%11.7%7.3%18.9K-391.9K-4.0K0.2914.20N/AN/A8072378,5895,230
2017-12-15$4.11$4.0044.2%12.7%27.4%12.5%44.6%9.8%11.7%11.9K-854.3K-3.8K0.1512.30N/AN/A1,0551548,5585,142
2017-12-18$4.10$4.0037.6%10.8%26.1%1.7%37.6%8.0%10.0%11.9K-294.2K-3.8K0.2316.65N/AN/A8522004,1501,703
2017-12-19$4.10$4.0046.0%13.2%23.8%15.4%46.1%11.1%3.7%16.7K-380.7K-4.0K0.2717.98N/AN/A7442004,6271,853
2017-12-20$4.06$4.0045.6%13.1%23.1%14.8%45.7%8.9%1.0%17.8K-379.3K-4.2K0.3616.70N/AN/A4761705,0111,853
2017-12-21$4.11$4.0039.5%11.3%23.0%4.8%39.4%8.5%1.9%19.2K-426.3K-4.2K0.4236.62N/AN/A4561935,0111,863
2017-12-22$4.05$4.0040.4%11.6%22.8%6.2%39.7%7.3%6.2%18.5K-393.7K-4.2K0.4724.41N/AN/A4462105,0161,879
2017-12-26$3.97$4.0042.6%12.2%23.9%9.8%42.7%73.3%7.0%17.9K-278.3K-4.0K1.2323.88N/AN/A4485495,1021,909
2017-12-27$4.04$4.0046.0%13.2%24.6%15.4%46.1%70.5%4.4%13.0K-231.6K-4.2K1.0423.52N/AN/A5645875,1282,367
2017-12-28$4.07$4.0037.5%10.7%24.6%1.4%37.4%62.5%12.5%16.2K-300.1K-4.4K1.0612.46N/AN/A5655975,3282,407
2017-12-29$4.06$4.0037.0%10.6%24.1%0.7%37.1%5.8%8.9%16.3K-365.2K-4.4K0.8526.43N/AN/A3753185,3302,427