DSX Options History — December 2020

In December 2020, DSX traded between $1.70 and $2.02. ATM implied volatility averaged 73.5%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 6.0% (HV 20d: 67.5%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2020-12-15: Highest Volume — 1,222 contracts
  • 2020-12-07: Largest IV spike — 54.5% change
  • 2020-12-07: Highest IV Rank — 63.1%
  • 2020-12-17: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.86$1.70$2.02$1.71$1.89
Max Pain$1.73$1.00$2.00$1.00$2.00
ATM IV73.5%52.7%129.2%59.6%68.7%
Expected Move19.6%12.5%25.6%17.1%19.7%
HV 20d67.5%58.9%75.3%61.8%58.9%
HV 60d49.9%46.1%51.6%46.5%51.1%
IV Rank30.6%18.4%63.1%22.5%27.8%
IV Percentile37.3%20.0%83.7%29.0%30.2%
Term Structure4.8%-75.4%35.4%35.4%2.4%
VWIV78.0%42.4%158.0%147.4%74.9%
Skew 25d24.3%-19.9%101.3%8.8%37.3%
Skew 10d24.5%-120.7%112.9%12.2%59.0%
Call IV 25d70.4%51.1%100.6%62.4%69.9%
Put IV 25d94.7%68.6%155.7%71.2%107.2%
Bid-Ask Spread %84.3518.58122.1350.1573.54
Gamma HHI0.750.570.950.790.75
Net GEX9.4K3.2K31.8K5.7K6.7K
Net DEX-421.0K-656.0K-245.9K-251.6K-453.5K
Net VEX-981-1.2K-746-773-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.040.000.22
Total Volume234.545161,22214333
Total OI4,588.3643,5075,5554,0434,512

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$1.71$1.0059.6%17.1%61.8%22.5%147.4%8.8%35.4%5.7K-251.6K-7730.0050.15N/AN/A14303,839204
2020-12-02$1.70$1.0060.8%17.4%62.0%23.1%158.0%90.0%-8.0%5.8K-245.9K-7460.0118.58N/AN/A17223,846204
2020-12-03$1.71$2.0091.1%12.5%61.9%40.8%42.4%101.3%33.7%6.0K-299.1K-8320.0099.12N/AN/A36413,998202
2020-12-04$1.87$2.0083.7%20.9%67.7%36.5%73.0%-6.4%-1.4%9.1K-431.6K-9640.0087.97N/AN/A46104,336202
2020-12-07$1.84$2.00129.2%21.7%68.4%63.1%75.6%28.3%0.3%7.5K-443.6K-9510.0093.91N/AN/A28304,593202
2020-12-08$1.81$2.0073.6%21.8%67.4%30.6%0.0%29.8%-2.6%9.5K-417.2K-1.0K0.0091.99N/AN/A18604,710202
2020-12-09$1.74$2.0073.4%21.0%69.3%30.5%0.0%-13.4%20.7%7.6K-356.4K-9810.00116.48N/AN/A6804,819202
2020-12-10$1.84$2.0071.3%20.4%71.4%29.2%71.8%24.8%14.9%11.5K-410.2K-9490.00112.73N/AN/A4504,780198
2020-12-11$1.83$2.0061.4%17.6%71.3%23.5%0.0%-19.9%9.5%11.0K-428.8K-9680.00108.44N/AN/A26604,814198
2020-12-14$1.81$2.0075.6%21.7%71.6%31.8%76.6%23.9%-0.1%3.2K-345.2K-8430.00109.72N/AN/A3704,825198
2020-12-15$1.97$2.0060.5%17.3%74.2%22.9%60.6%24.0%14.3%19.1K-552.5K-9760.18119.11N/AN/A1,0381844,843198
2020-12-16$2.02$1.0076.2%21.9%74.1%32.2%76.2%28.0%-4.6%31.8K-656.0K-1.1K0.01105.42N/AN/A20425,173382
2020-12-17$2.00$1.0089.3%25.6%73.1%39.8%83.9%3.3%12.0%30.7K-605.3K-9360.00118.63N/AN/A26005,096383
2020-12-18$1.98$1.0085.4%24.5%73.1%37.5%0.0%25.9%-75.4%4.8K-431.8K-8471.04122.13N/AN/A48505,154383
2020-12-21$1.88$1.0075.4%21.6%75.3%31.7%75.6%18.6%-2.4%4.1K-380.2K-9620.10102.98N/AN/A391413,214293
2020-12-22$1.83$2.0052.7%15.1%70.1%18.4%43.9%39.6%27.2%4.1K-384.4K-1.1K0.3666.01N/AN/A84303,465334
2020-12-23$1.88$2.0055.5%15.9%68.8%20.1%59.5%21.6%18.7%4.5K-405.9K-1.1K0.2945.38N/AN/A105303,518364
2020-12-24$1.89$2.0080.1%23.0%67.0%34.4%80.4%19.9%-4.9%4.5K-416.8K-1.1K0.0754.17N/AN/A201153,620394
2020-12-28$1.94$2.0061.7%17.7%60.5%23.7%61.7%34.9%7.1%6.0K-445.5K-1.1K0.0443.94N/AN/A19273,758409
2020-12-29$1.90$2.0065.4%18.8%59.0%25.8%70.3%7.1%5.2%6.6K-445.8K-1.1K0.0044.06N/AN/A20103,951416
2020-12-30$1.89$2.0066.5%19.1%59.0%26.5%72.5%7.0%4.0%6.7K-454.4K-1.2K0.0071.26N/AN/A1604,096416
2020-12-31$1.89$2.0068.7%19.7%58.9%27.8%74.9%37.3%2.4%6.7K-453.5K-1.2K0.2273.54N/AN/A2764,096416