DSX Options History — March 2020

In March 2020, DSX traded between $1.34 and $2.16. ATM implied volatility averaged 94.1%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 20.5% (HV 20d: 73.6%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.22.

Notable Days

  • 2020-03-13: Highest Volume — 461 contracts
  • 2020-03-18: Largest IV drop — 100.0% change
  • 2020-03-09: Highest IV Rank — 95.4%
  • 2020-03-09: Largest Expected Move — 46.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.69$1.34$2.16$2.16$1.48
Max Pain$2.27$2.00$3.00$3.00$2.00
ATM IV94.1%46.0%160.9%51.5%98.4%
Expected Move26.8%10.7%46.1%14.8%35.6%
HV 20d73.6%54.6%86.4%54.9%86.4%
HV 60d49.5%36.5%59.9%36.5%59.9%
IV Rank49.8%17.0%95.4%20.7%52.7%
IV Percentile93.9%73.4%99.6%82.9%95.5%
Term Structure-2.5%-89.9%101.8%-21.5%-70.9%
VWIV128.7%45.9%165.5%45.9%142.5%
Skew 25d22.3%-18.9%145.2%-16.8%23.9%
Skew 10d5.3%-42.8%144.9%-19.4%5.8%
Call IV 25d67.3%46.3%99.4%63.5%46.3%
Put IV 25d89.7%46.7%203.3%46.7%70.2%
Bid-Ask Spread %137.8059.77178.9759.77150.94
Gamma HHI0.430.330.620.400.36
Net GEX1.9K693.4K2.2K2.3K
Net DEX75.8K-101.9K214.3K214.3K-83.7K
Net VEX-1.0K-1.7K-174-1.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.0036.500.001.60
Total Volume102.3180461311130
Total OI7,751.0455,9818,6898,0306,296

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$2.16$3.0051.5%14.8%54.9%20.7%0.0%-16.8%-21.5%2.2K214.3K-1.0K0.0059.77N/AN/A31106,1901,840
2020-03-03$2.15$3.0046.0%13.2%54.7%17.0%45.9%-11.3%-8.7%3.3K135.7K-1.3K0.0065.20N/AN/A306,5721,829
2020-03-04$2.16$3.0046.9%13.4%54.6%17.6%0.0%-9.8%8.4%3.4K119.0K-1.3K0.0061.02N/AN/A006,5711,829
2020-03-05$1.99$3.0077.9%22.4%59.4%38.7%0.0%31.8%-7.7%2.8K158.1K-1.1K0.00101.06N/AN/A0506,5711,829
2020-03-06$2.00$3.0096.7%10.7%59.6%51.6%0.0%-18.9%20.4%2.8K124.9K-1.4K0.00168.69N/AN/A21016,5711,879
2020-03-09$1.85$3.00160.9%46.1%63.6%95.4%160.9%0.0%5.3%2.2K66.4K-1.5K0.01171.15N/AN/A6816,7611,879
2020-03-10$1.98$2.0077.8%44.7%70.4%38.7%165.5%12.3%-89.9%3.3K51.6K-1.4K0.00154.06N/AN/A11906,8281,599
2020-03-11$1.86$2.00109.9%31.5%69.5%60.6%0.0%14.6%-23.4%3.0K64.7K-1.4K0.29131.45N/AN/A121356,9311,599
2020-03-12$1.73$2.00114.9%0.0%71.6%64.0%0.0%0.0%0.0%381193.6K-3710.01166.63N/AN/A16026,9671,569
2020-03-13$1.80$2.0098.4%28.2%74.7%52.7%0.0%0.0%101.8%2.6K-74.5K-1.7K0.28159.07N/AN/A3601017,0081,569
2020-03-16$1.61$2.00112.4%32.2%80.9%62.3%0.0%80.2%27.6%2.1K33.3K-1.3K1.00162.91N/AN/A117,1211,560
2020-03-17$1.54$2.0064.8%18.6%80.8%29.8%0.0%145.2%61.7%2.3K-1.7K-1.4K36.5077.41N/AN/A2737,1211,561
2020-03-18$1.45$2.000.0%0.0%81.0%0.0%0.0%0.0%0.0%264186.8K-2860.00178.97N/AN/A027,1231,561
2020-03-19$1.50$2.000.0%0.0%83.0%0.0%0.0%0.0%0.0%441186.7K-3180.20168.41N/AN/A517,1231,562
2020-03-20$1.44$2.00104.9%30.1%83.1%57.2%0.0%0.0%-36.2%134201.3K-2040.00163.97N/AN/A027,1281,561
2020-03-23$1.34$2.00119.4%34.2%77.9%67.1%142.5%-5.6%0.0%69130.0K-1740.00119.65N/AN/A1104,9581,117
2020-03-24$1.36$2.000.0%0.0%77.6%0.0%0.0%0.0%0.0%80117.7K-1780.14159.70N/AN/A1424,9691,012
2020-03-25$1.42$2.00124.2%35.6%81.2%70.3%0.0%0.0%0.0%2.0K-101.9K-1.4K0.00149.85N/AN/A8004,9801,012
2020-03-26$1.50$2.000.0%0.0%85.5%0.0%0.0%0.0%0.0%2.1K-68.2K-1.3K0.00162.98N/AN/A13004,9801,012
2020-03-27$1.42$2.000.0%0.0%84.0%0.0%0.0%0.0%-70.9%2.0K-41.8K-1.1K0.00162.81N/AN/A18005,1091,012
2020-03-30$1.44$2.0098.4%0.0%84.9%52.7%0.0%23.9%0.0%1.8K55.8K-6570.00135.81N/AN/A7505,2421,012
2020-03-31$1.48$2.000.0%0.0%86.4%0.0%0.0%0.0%0.0%2.3K-83.7K-1.3K1.60150.94N/AN/A50805,2841,012