DSX Options History — January 2018

In January 2018, DSX traded between $3.78 and $4.49. ATM implied volatility averaged 49.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 8.9% (HV 20d: 40.2%). 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 19 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2018-01-09: Highest Volume — 1,842 contracts
  • 2018-01-09: Largest IV spike — 40.2% change
  • 2018-01-09: Highest IV Rank — 56.2%
  • 2018-01-05: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.13$3.78$4.49$4.21$3.78
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV49.1%40.2%70.9%51.2%49.6%
Expected Move14.1%11.5%15.8%14.7%14.2%
HV 20d40.2%27.2%47.7%27.2%44.6%
HV 60d45.4%41.4%47.6%41.5%47.4%
IV Rank20.8%6.1%56.2%24.0%22.0%
IV Percentile21.1%3.2%77.4%25.8%22.6%
Term Structure5.5%-4.7%11.3%-0.9%11.3%
VWIV48.1%40.2%53.8%50.9%49.4%
Skew 25d8.5%-0.9%59.3%10.1%-0.8%
Skew 10d13.1%-2.4%103.5%13.5%-2.4%
Call IV 25d43.5%30.6%53.4%41.1%50.8%
Put IV 25d52.0%43.2%97.2%51.2%50.1%
Bid-Ask Spread %19.3913.0932.9121.5023.92
Gamma HHI0.650.490.940.630.89
Net GEX22.5K12.6K33.2K17.2K12.6K
Net DEX-617.3K-1.5M131.6K-480.3K131.6K
Net VEX-4.8K-5.7K-4.3K-4.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.141.070.520.65
Total Volume972.2384721,842574665
Total OI9,942.1437,78211,4207,78210,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$4.21$4.0051.2%14.7%27.2%24.0%50.9%10.1%-0.9%17.2K-480.3K-4.4K0.5221.50N/AN/A3771975,3542,428
2018-01-03$4.25$4.0045.0%12.9%27.3%13.8%46.4%7.7%9.6%18.2K-551.9K-4.4K0.2215.57N/AN/A8051785,3542,449
2018-01-04$4.42$4.0040.4%14.9%28.4%6.3%47.8%9.6%9.1%19.1K-1.0M-4.3K0.1624.40N/AN/A9911635,8372,440
2018-01-05$4.26$4.0046.3%15.8%31.7%15.9%53.8%1.3%0.9%21.7K-834.7K-4.8K0.2917.09N/AN/A9942876,4032,465
2018-01-08$4.29$4.0050.6%14.5%31.7%22.9%46.6%18.7%6.0%22.4K-884.2K-4.9K0.5318.98N/AN/A5412876,5462,644
2018-01-09$4.49$4.0070.9%15.5%34.9%56.2%50.5%8.4%6.2%24.9K-1.2M-5.3K0.1416.43N/AN/A1,6212216,6562,644
2018-01-10$4.27$4.0052.1%14.9%37.6%25.4%51.8%-0.9%5.3%29.5K-1.1M-5.6K0.2217.17N/AN/A9572107,7712,679
2018-01-11$4.32$4.0052.5%15.1%37.8%26.0%41.0%19.3%5.7%31.3K-1.3M-5.6K0.2517.38N/AN/A4921228,1852,735
2018-01-12$4.44$4.0050.6%14.5%37.9%22.9%50.6%0.2%4.4%33.2K-1.5M-5.7K0.1632.91N/AN/A7451228,2202,745
2018-01-16$4.33$4.0054.0%15.5%39.3%28.5%53.1%1.6%6.1%29.0K-1.3M-5.2K0.1819.02N/AN/A6451168,1062,745
2018-01-17$4.07$4.0048.6%13.9%45.4%20.2%47.5%59.3%8.1%30.5K-743.0K-4.9K1.0618.94N/AN/A5155448,2522,745
2018-01-18$4.00$4.0047.1%13.5%45.8%17.7%47.0%7.2%5.1%26.7K-503.6K-4.8K1.0717.27N/AN/A5015358,2123,168
2018-01-19$4.00$4.0045.2%13.0%45.8%14.5%45.4%2.6%6.8%17.9K-355.6K-4.3K0.2015.69N/AN/A1,2422548,2533,167
2018-01-22$4.12$4.0051.7%14.8%46.9%25.4%52.7%9.7%-4.7%19.8K-352.9K-4.7K0.3317.06N/AN/A9673236,4562,565
2018-01-23$4.02$4.0048.4%13.9%47.5%19.8%48.4%8.2%3.8%22.3K-365.1K-4.9K0.3213.09N/AN/A9333027,0332,771
2018-01-24$3.95$4.0046.9%13.4%47.7%17.3%46.9%5.1%5.8%20.9K-251.9K-4.7K0.3718.10N/AN/A6542447,0382,776
2018-01-25$3.90$4.0044.0%12.6%47.3%12.5%44.0%2.6%6.8%19.8K-157.6K-4.7K0.2814.02N/AN/A5361517,2142,942
2018-01-26$3.90$4.0048.8%14.0%46.9%20.5%48.7%3.3%3.0%18.8K-147.4K-4.7K0.2515.44N/AN/A6191537,2343,025
2018-01-29$3.86$4.0040.2%11.5%46.8%6.1%40.2%4.1%8.2%18.4K-48.2K-4.4K0.3331.52N/AN/A3551177,3323,081
2018-01-30$3.82$4.0047.5%13.6%46.9%18.4%47.2%1.7%7.8%17.4K-5.2K-4.4K1.0421.60N/AN/A3613757,3613,051
2018-01-31$3.78$4.0049.6%14.2%44.6%22.0%49.4%-0.8%11.3%12.6K131.6K-4.3K0.6523.92N/AN/A4022637,3613,342