DSX Options History — September 2020

In September 2020, DSX traded between $1.38 and $1.52. ATM implied volatility averaged 114.6%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 34.5%. IV traded above realized volatility by 74.5% (HV 20d: 40.1%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2020-09-21: Highest Volume — 199 contracts
  • 2020-09-15: Largest IV drop — 53.5% change
  • 2020-09-11: Highest IV Rank — 91.5%
  • 2020-09-11: Largest Expected Move — 50.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.42$1.38$1.52$1.44$1.42
Max Pain$1.36$1.00$2.00$2.00$1.00
ATM IV114.6%77.7%175.1%98.7%106.5%
Expected Move34.5%23.5%50.2%28.3%30.5%
HV 20d40.1%25.9%52.7%52.7%44.4%
HV 60d43.2%41.0%48.9%48.9%42.4%
IV Rank55.5%33.6%91.5%46.1%50.7%
IV Percentile79.9%57.1%99.2%77.6%78.8%
Term Structure-23.2%-106.4%107.7%-48.5%-33.7%
Skew 25d7.8%-76.8%104.0%-7.0%-76.8%
Skew 10d9.1%-88.0%96.9%-7.0%-88.0%
Call IV 25d99.7%59.3%174.9%102.2%172.8%
Put IV 25d107.5%56.2%165.2%95.2%96.0%
Bid-Ask Spread %101.6540.23151.7853.8556.40
Gamma HHI0.620.530.670.610.65
Net GEX1.3K1.0K1.5K1.2K1.5K
Net DEX-63.9K-99.6K-39.7K-49.0K-85.7K
Net VEX-431-491-372-448-458
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.670.000.00
Total Volume24.333019921
Total OI3,546.6671,6594,6504,6161,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$1.44$2.0098.7%28.3%52.7%46.1%0.0%-7.0%0.0%1.2K-49.0K-4480.0053.85N/AN/A204,266350
2020-09-02$1.42$2.00106.5%30.5%49.8%50.7%0.0%-21.0%0.0%1.1K-47.4K-4410.0059.45N/AN/A004,264350
2020-09-03$1.40$0.00114.4%30.3%50.0%55.4%0.0%-35.0%-48.5%1.2K-40.6K-4130.0096.35N/AN/A104,264350
2020-09-04$1.43$0.0090.0%0.0%42.4%40.9%0.0%0.0%-106.4%1.2K-42.7K-4150.00130.53N/AN/A504,264349
2020-09-08$1.41$0.00115.1%29.1%40.8%55.8%0.0%0.0%-46.2%1.2K-45.3K-4251.67100.72N/AN/A12204,269349
2020-09-09$1.38$0.00146.6%42.0%34.2%74.5%0.0%-28.0%-84.2%1.1K-48.0K-4350.00113.62N/AN/A204,281369
2020-09-10$1.40$0.00132.6%0.0%34.8%66.2%0.0%-19.6%-7.1%1.2K-46.7K-4030.00130.05N/AN/A804,281347
2020-09-11$1.38$0.00175.1%50.2%34.6%91.5%0.0%-23.1%-68.2%1.2K-42.4K-4010.00151.78N/AN/A004,274347
2020-09-14$1.39$0.00167.0%47.9%32.0%86.7%0.0%3.7%-22.4%1.2K-39.7K-3960.00125.29N/AN/A204,274347
2020-09-15$1.40$0.0077.7%0.0%31.3%33.6%0.0%-25.0%-18.7%1.2K-51.5K-3720.00148.72N/AN/A5004,275238
2020-09-16$1.43$0.00118.6%34.0%25.9%57.9%0.0%92.8%-60.1%1.3K-54.0K-3780.05147.46N/AN/A3824,255238
2020-09-17$1.50$0.00171.2%49.1%30.9%89.1%0.0%88.8%107.7%1.0K-99.6K-4910.00137.86N/AN/A3204,243238
2020-09-18$1.52$2.00104.0%29.8%30.9%49.2%0.0%39.8%35.0%1.2K-77.5K-4310.00108.31N/AN/A4004,261238
2020-09-21$1.40$2.0082.0%0.0%43.4%36.1%0.0%58.9%13.4%1.2K-76.8K-4090.00113.62N/AN/A19901,536123
2020-09-22$1.38$1.00106.1%30.4%41.5%50.5%0.0%14.7%-34.2%1.4K-72.6K-4300.0065.41N/AN/A301,733123
2020-09-23$1.43$1.0088.1%0.0%43.5%39.8%0.0%43.0%11.7%1.5K-79.4K-4520.00101.60N/AN/A701,735123
2020-09-24$1.38$1.00110.9%0.0%44.7%53.3%0.0%-9.7%0.0%1.2K-89.2K-4680.67102.86N/AN/A321,742123
2020-09-25$1.40$1.0081.9%23.5%45.1%36.1%0.0%104.0%0.0%1.3K-82.4K-4600.00104.29N/AN/A6001,742125
2020-09-28$1.40$1.00120.4%34.5%44.3%59.0%0.0%-46.5%-16.7%1.5K-85.1K-4660.0040.23N/AN/A101,802125
2020-09-29$1.42$1.0093.1%26.7%44.6%42.7%0.0%-5.5%-15.8%1.5K-87.4K-4560.0546.18N/AN/A2011,803125
2020-09-30$1.42$1.00106.5%30.5%44.4%50.7%0.0%-76.8%-33.7%1.5K-85.7K-4580.0056.40N/AN/A101,813126