DSX Options History — March 2007

In March 2007, DSX traded between $17.24 and $19.74. ATM implied volatility averaged 29.5%. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 15.0% (HV 20d: 44.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-03-02: Highest Volume — 8,728 contracts
  • 2007-03-14: Largest IV spike — 36.0% change
  • 2007-03-02: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$17.24$19.74$18.95$17.61
Max Pain$17.84$15.00$20.00$15.00$17.50
ATM IV29.5%21.1%40.0%32.7%33.0%
Expected Move8.3%6.9%11.5%9.4%9.5%
HV 20d44.5%35.2%48.6%42.3%40.6%
HV 60d36.5%35.7%37.7%37.1%37.6%
Term Structure0.2%-8.5%9.4%-3.0%1.0%
VWIV30.7%18.1%62.8%48.5%32.7%
Skew 25d6.8%-2.8%12.8%6.0%5.2%
Skew 10d17.3%-2.1%77.0%2.8%10.2%
Call IV 25d26.6%19.9%34.7%34.7%30.6%
Put IV 25d33.4%27.6%40.7%40.7%35.8%
Bid-Ask Spread %46.4010.9681.3481.3410.96
Gamma HHI0.460.380.520.380.39
Net GEX116.3K-21.9K157.5K116.1K87.7K
Net DEX-5.0M-7.3M-674.6K-7.3M-2.4M
Net VEX-23.7K-30.0K-21.3K-24.5K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.006.720.281.10
Total Volume1,059.0911048,7284071,884
Total OI8,419.2277,14910,6359,47710,635

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$18.95$15.0032.7%9.4%42.3%0.0%48.5%6.0%-3.0%116.1K-7.3M-24.5K0.2881.34N/AN/A319886,2003,277
2007-03-02$18.63$15.0040.0%11.5%42.6%0.0%62.8%12.8%-8.5%119.4K-7.0M-24.2K0.0067.56N/AN/A8,693356,3183,265
2007-03-05$17.92$17.5037.6%9.2%45.5%0.0%32.4%9.5%1.3%74.2K-3.4M-23.0K0.8952.67N/AN/A1591424,6583,272
2007-03-06$18.43$17.5036.6%9.0%45.7%0.0%29.5%10.9%0.7%89.3K-4.3M-22.1K0.3949.05N/AN/A140544,7013,324
2007-03-07$18.45$17.5037.4%8.9%45.6%0.0%31.8%11.8%2.2%89.2K-4.4M-22.6K0.0547.58N/AN/A19194,7793,329
2007-03-08$19.18$17.5026.2%7.9%47.0%0.0%28.2%-2.8%-0.6%118.9K-5.4M-22.6K0.1051.80N/AN/A365374,9253,333
2007-03-09$18.98$17.5021.4%7.0%47.4%0.0%24.6%11.0%0.9%130.4K-5.3M-22.4K0.0954.47N/AN/A594535,0263,343
2007-03-12$19.33$17.5021.1%7.2%47.5%0.0%30.0%4.1%1.2%138.7K-5.9M-21.3K0.5175.31N/AN/A69355,1323,386
2007-03-13$19.01$17.5024.0%8.0%47.5%0.0%28.5%2.2%-0.4%122.6K-5.7M-21.7K1.2451.55N/AN/A49615,1393,396
2007-03-14$18.93$17.5032.7%7.6%45.9%0.0%27.4%5.3%0.9%124.5K-5.2M-22.7K0.0560.48N/AN/A260125,1623,408
2007-03-15$18.87$17.5027.6%7.9%46.0%0.0%28.2%4.9%1.8%120.4K-5.4M-22.3K0.0655.15N/AN/A591365,1983,399
2007-03-16$19.07$17.5027.9%8.0%46.1%0.0%28.0%3.9%0.9%128.8K-5.6M-23.1K0.2256.60N/AN/A120265,3583,383
2007-03-19$18.42$17.5029.5%8.5%47.7%0.0%27.1%7.1%-1.2%127.7K-4.4M-23.2K0.3157.30N/AN/A281865,1482,001
2007-03-20$18.92$17.5025.7%7.4%48.6%0.0%26.3%8.4%-0.8%132.5K-5.2M-24.2K0.0540.92N/AN/A212105,2792,055
2007-03-21$19.15$17.5024.9%7.1%48.0%0.0%24.9%8.2%-4.1%142.6K-5.7M-23.5K0.3939.92N/AN/A237935,3642,063
2007-03-22$19.74$17.5024.1%6.9%44.4%0.0%24.1%6.2%2.1%157.5K-6.4M-24.4K0.7133.74N/AN/A3322355,5352,139
2007-03-23$19.47$20.0026.6%7.6%44.4%0.0%26.7%4.0%0.4%146.4K-6.1M-24.5K0.4338.39N/AN/A188815,6542,328
2007-03-26$19.18$20.0027.3%7.8%44.7%0.0%27.3%9.1%-1.2%146.3K-5.6M-24.4K0.6326.02N/AN/A114725,6732,357
2007-03-27$18.75$20.0025.3%7.2%35.2%0.0%18.1%8.0%9.4%141.6K-4.9M-24.1K0.9638.05N/AN/A1141105,6972,421
2007-03-28$18.06$20.0033.6%9.6%36.8%0.0%33.5%5.7%2.4%126.0K-3.7M-24.3K6.7220.61N/AN/A3122,0985,7182,398
2007-03-29$17.24$20.0034.1%9.8%39.9%0.0%34.0%8.4%-1.8%-21.9K-674.6K-27.1K1.7611.25N/AN/A1,7013,0025,7384,309
2007-03-30$17.61$17.5033.0%9.5%40.6%0.0%32.7%5.2%1.0%87.7K-2.4M-30.0K1.1010.96N/AN/A8989866,5954,040