DSX Options History — March 2018

In March 2018, DSX traded between $3.48 and $3.89. ATM implied volatility averaged 47.5%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 3.8% (HV 20d: 43.7%). 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 17 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-03-09: Highest Volume — 9,404 contracts
  • 2018-03-29: Largest IV spike — 70.2% change
  • 2018-03-05: Highest IV Rank — 38.2%
  • 2018-03-05: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.69$3.48$3.89$3.72$3.65
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV47.5%28.8%59.3%56.7%49.6%
Expected Move13.7%8.3%16.5%16.3%14.2%
HV 20d43.7%38.0%52.4%52.4%39.6%
HV 60d43.4%42.2%45.2%42.3%45.2%
IV Rank20.3%0.0%38.2%33.8%31.0%
IV Percentile28.4%0.0%64.3%55.6%27.4%
Term Structure5.3%-8.6%28.0%0.5%-3.9%
VWIV48.8%34.7%57.7%57.2%51.2%
Skew 25d4.6%-15.3%31.4%-5.3%-1.0%
Skew 10d10.5%-6.8%43.9%-6.8%1.2%
Call IV 25d44.3%27.1%57.4%57.4%51.6%
Put IV 25d48.9%37.9%71.6%52.1%50.5%
Bid-Ask Spread %22.8810.7377.0910.7320.87
Gamma HHI0.710.500.890.840.50
Net GEX39.7K13.1K93.9K70.7K17.1K
Net DEX-140.6K-847.8K371.0K-394.6K-153.5K
Net VEX-4.1K-4.8K-3.4K-4.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.031.040.420.98
Total Volume3,154.9055979,4041,037597
Total OI13,375.197,45217,06617,0669,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$3.72$4.0056.7%16.3%52.4%33.8%57.2%-5.3%0.5%70.7K-394.6K-4.6K0.4210.73N/AN/A73230513,7083,358
2018-03-02$3.76$4.0052.3%15.0%52.0%26.3%52.0%-1.0%1.3%78.7K-448.0K-4.5K0.5818.02N/AN/A54831713,5643,357
2018-03-05$3.82$4.0059.3%16.5%47.7%38.2%57.7%31.4%-0.7%86.6K-748.1K-4.7K0.6130.02N/AN/A53432713,5803,402
2018-03-06$3.89$4.0059.0%15.4%44.4%37.7%53.8%23.7%4.6%93.9K-847.8K-4.8K1.0013.75N/AN/A50750913,6013,422
2018-03-07$3.73$4.0049.6%15.9%47.4%21.8%55.5%25.2%1.5%82.8K-327.8K-4.0K0.5427.11N/AN/A93950913,7113,247
2018-03-08$3.74$4.0036.7%14.9%47.0%0.1%51.9%17.8%5.8%78.1K118.5K-3.4K0.0319.67N/AN/A9,05231113,5323,247
2018-03-09$3.72$4.0051.5%15.1%46.3%25.2%52.5%-4.2%1.4%50.0K-72.4K-4.6K0.0322.63N/AN/A9,09331113,5983,247
2018-03-12$3.77$4.0054.1%13.3%42.1%29.4%46.4%2.4%7.2%58.3K-10.6K-4.3K0.1219.72N/AN/A6,19571513,6233,247
2018-03-13$3.71$4.0054.9%14.7%42.6%30.8%51.3%-5.0%5.0%15.5K294.1K-3.9K0.0721.54N/AN/A6,23346113,6503,247
2018-03-14$3.76$4.0048.2%13.8%42.8%19.5%48.1%-1.3%4.5%56.9K-81.0K-4.3K0.0721.64N/AN/A6,25444613,7253,317
2018-03-15$3.68$4.0052.1%15.0%41.3%26.2%51.6%-6.0%0.5%13.4K371.0K-3.6K0.0430.65N/AN/A6,32325613,6603,306
2018-03-16$3.84$4.0044.6%12.8%42.4%13.6%44.6%5.2%5.0%15.1K306.1K-3.9K0.0919.57N/AN/A6,37658213,6183,316
2018-03-19$3.71$4.0047.4%13.6%42.2%18.3%47.4%-1.2%0.9%13.1K-141.4K-3.6K0.5527.59N/AN/A9175065,9501,502
2018-03-20$3.66$4.0043.0%12.3%42.4%10.7%42.6%-0.4%3.5%14.9K-199.2K-4.3K0.6513.46N/AN/A7845066,5981,691
2018-03-21$3.74$4.0040.1%11.5%43.0%6.0%40.1%3.0%9.7%16.2K-216.5K-4.4K0.9127.98N/AN/A5575066,6941,691
2018-03-22$3.64$4.0056.4%16.2%44.0%33.3%56.8%-7.3%-8.6%15.6K-151.4K-4.0K0.8777.09N/AN/A5714976,9611,691
2018-03-23$3.48$4.0050.6%14.5%44.3%23.6%51.5%-15.3%-1.0%13.8K-99.6K-3.7K1.0413.13N/AN/A3753896,9961,702
2018-03-26$3.54$4.0033.3%9.5%38.2%0.0%40.5%15.8%28.0%14.4K-49.0K-3.8K0.9614.29N/AN/A4063907,1461,824
2018-03-27$3.52$4.0028.8%8.3%38.2%0.0%37.2%9.3%20.7%14.6K-61.0K-3.8K1.0315.07N/AN/A3763867,2051,829
2018-03-28$3.51$4.0029.2%8.4%38.0%0.5%34.7%10.4%25.2%14.4K-40.9K-3.7K0.8216.05N/AN/A3592967,2251,830
2018-03-29$3.65$4.0049.6%14.2%39.6%31.0%51.2%-1.0%-3.9%17.1K-153.5K-4.1K0.9820.87N/AN/A3012967,2211,840