DSX Options History — January 2020

In January 2020, DSX traded between $2.65 and $3.06. ATM implied volatility averaged 33.5%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.2% (HV 20d: 21.3%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2020-01-29: Highest Volume — 441 contracts
  • 2020-01-22: Largest IV spike — 66.2% change
  • 2020-01-29: Highest IV Rank — 20.8%
  • 2020-01-29: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.92$2.65$3.06$3.06$2.65
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV33.5%21.1%51.7%31.1%49.4%
Expected Move10.2%6.7%14.8%8.9%14.1%
HV 20d21.3%15.8%24.1%24.1%22.2%
HV 60d35.7%29.4%38.6%38.6%29.8%
IV Rank8.0%0.0%20.8%5.1%19.3%
IV Percentile30.0%0.0%82.1%19.8%77.0%
Term Structure5.0%-8.1%20.3%10.9%-8.1%
VWIV37.0%18.3%65.9%34.3%65.9%
Skew 25d29.8%-27.4%95.0%-11.9%19.3%
Skew 10d42.9%-28.7%117.5%-19.9%17.5%
Call IV 25d39.5%31.6%49.9%46.2%49.5%
Put IV 25d69.3%18.3%131.1%34.3%68.8%
Bid-Ask Spread %71.8036.21109.0761.7657.60
Gamma HHI0.370.290.510.370.48
Net GEX213-5.1K4.9K4.9K-1.5K
Net DEX59.8K-58.3K233.1K-22.2K233.1K
Net VEX-1.8K-2.2K-1.3K-2.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0015.001.450.20
Total Volume88.19344113561
Total OI6,169.9525,7076,7885,7076,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$3.06$3.0031.1%8.9%24.1%5.1%34.3%-11.9%10.9%4.9K-22.2K-2.1K1.4561.76N/AN/A55804,4161,291
2020-01-03$3.06$3.0031.2%9.0%24.1%5.2%27.1%-22.8%0.7%3.9K-26.5K-2.2K0.0063.23N/AN/A0854,4061,361
2020-01-06$3.04$3.0029.5%10.5%23.8%4.0%0.0%13.0%9.5%2.4K-13.5K-2.2K0.0042.01N/AN/A0604,4061,436
2020-01-07$3.05$3.0030.8%10.5%22.5%4.9%0.0%12.5%1.4%1.5K24.4K-2.0K5.0080.82N/AN/A154,4061,496
2020-01-08$3.01$3.0033.1%8.5%22.6%6.5%0.0%26.1%10.5%99253.9K-1.9K2.27109.07N/AN/A15344,4051,501
2020-01-09$3.00$3.0021.1%9.6%22.5%0.0%0.0%15.7%9.1%-83456.6K-1.9K0.5348.39N/AN/A1584,4201,533
2020-01-10$2.98$3.0022.6%9.7%22.0%1.0%0.0%69.5%-4.5%-58857.6K-2.0K0.2372.61N/AN/A188434,4351,537
2020-01-13$2.96$3.0029.4%10.1%22.0%5.6%0.0%19.8%9.0%-1.5K109.7K-1.7K2.3836.21N/AN/A26624,5381,564
2020-01-14$3.05$3.0032.9%10.9%23.9%8.0%0.0%51.1%5.7%-1.6K18.8K-1.9K0.0042.72N/AN/A27404,5631,626
2020-01-15$3.04$3.0029.3%8.4%23.9%5.5%0.0%16.4%14.5%-532-58.3K-2.1K0.3367.78N/AN/A624,8271,626
2020-01-16$3.04$3.0029.7%8.5%17.8%5.8%0.0%21.1%14.4%-922-46.6K-2.0K1.2095.87N/AN/A10124,8281,628
2020-01-17$3.00$3.0033.6%9.6%18.1%8.5%0.0%28.9%2.8%-5.1K5.1K-1.7K0.00104.06N/AN/A804,8181,637
2020-01-21$2.96$3.0025.2%7.2%15.8%2.8%0.0%-6.5%20.3%2.4K10.2K-1.6K1.2084.34N/AN/A564,6551,370
2020-01-22$2.86$3.0041.9%12.0%19.4%14.1%41.5%81.1%-0.5%1.5K46.6K-1.5K0.0775.23N/AN/A2824,6551,379
2020-01-23$2.79$3.0023.4%6.7%20.6%1.5%18.3%-27.4%15.2%1.2K88.4K-1.4K15.0061.56N/AN/A101504,6711,381
2020-01-24$2.79$3.0032.6%9.4%20.6%7.8%36.3%68.8%15.2%20116.5K-1.4K0.8868.67N/AN/A58514,6811,531
2020-01-27$2.75$3.0042.1%12.1%20.7%14.3%0.0%95.0%-4.2%271114.8K-1.5K0.0066.94N/AN/A304,7191,582
2020-01-28$2.75$3.0043.0%12.3%20.1%14.9%35.7%72.9%-4.7%34125.7K-1.4K0.0397.93N/AN/A3814,7471,582
2020-01-29$2.71$3.0051.7%14.8%20.2%20.8%65.9%57.3%-5.8%-130145.1K-1.3K0.00104.88N/AN/A04414,7591,583
2020-01-30$2.73$3.0040.2%11.5%20.5%13.0%0.0%26.1%-5.9%-1.9K215.7K-1.5K0.0066.11N/AN/A904,7592,023
2020-01-31$2.65$3.0049.4%14.1%22.2%19.3%0.0%19.3%-8.1%-1.5K233.1K-1.5K0.2057.60N/AN/A51104,7652,023