DSX Options History — April 2007

In April 2007, DSX traded between $17.95 and $20.49. ATM implied volatility averaged 29.4%. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.7% (HV 20d: 32.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2007-04-26: Highest Volume — 1,114 contracts
  • 2007-04-18: Largest IV spike — 32.5% change
  • 2007-04-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.10$17.95$20.49$17.95$20.25
Max Pain$19.50$17.50$20.00$17.50$20.00
ATM IV29.4%23.3%36.4%30.6%36.4%
Expected Move8.6%6.7%10.4%8.8%10.4%
HV 20d32.1%16.4%39.0%39.0%17.2%
HV 60d36.9%35.6%37.8%37.6%35.6%
Term Structure-0.1%-6.8%9.6%4.8%-6.8%
VWIV31.7%23.4%37.2%30.4%37.2%
Skew 25d5.4%2.3%8.4%5.4%4.4%
Skew 10d15.4%6.6%22.7%17.8%11.3%
Call IV 25d29.1%25.8%32.3%30.1%29.6%
Put IV 25d34.5%30.1%37.5%35.5%34.0%
Bid-Ask Spread %19.819.3743.6114.2411.72
Gamma HHI0.550.460.680.580.54
Net GEX161.0K54.2K295.2K54.2K270.3K
Net DEX-5.8M-9.8M-2.6M-2.6M-9.1M
Net VEX-31.2K-32.8K-28.9K-31.9K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.790.440.07
Total Volume557.91501,114575974
Total OI12,386.4511,48113,57111,48113,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$17.95$17.5030.6%8.8%39.0%0.0%30.4%5.4%4.8%54.2K-2.6M-31.9K0.4414.24N/AN/A3991766,8234,658
2007-04-03$18.14$17.5028.5%8.2%37.8%0.0%28.6%5.2%5.1%60.6K-3.1M-32.0K1.7914.83N/AN/A2183907,0114,642
2007-04-04$18.04$17.5029.6%8.5%37.8%0.0%29.6%8.2%4.8%80.4K-3.0M-31.4K1.2113.94N/AN/A1001217,0354,561
2007-04-05$18.36$17.5023.3%6.7%35.5%0.0%0.0%5.8%9.6%88.7K-3.8M-31.1K0.2212.08N/AN/A372837,0974,618
2007-04-09$18.39$20.0025.5%9.2%35.4%0.0%36.5%3.0%0.4%104.3K-4.1M-29.7K0.5231.59N/AN/A165857,2844,645
2007-04-10$18.26$20.0031.1%9.6%34.7%0.0%33.5%4.9%-0.8%89.1K-3.5M-30.5K0.8236.07N/AN/A2241837,3124,691
2007-04-11$18.09$20.0027.5%9.6%34.4%0.0%30.4%5.7%0.5%77.4K-2.9M-31.0K0.5143.61N/AN/A2981517,3404,756
2007-04-12$18.48$20.0035.7%10.2%35.4%0.0%33.8%4.2%-0.4%108.0K-3.9M-31.6K0.1934.86N/AN/A388747,5064,766
2007-04-13$18.82$20.0025.3%7.2%36.0%0.0%33.6%7.5%-1.7%135.1K-5.1M-31.4K0.6817.59N/AN/A128877,7564,741
2007-04-16$18.97$20.0025.3%7.3%35.9%0.0%32.6%5.3%-1.2%151.2K-5.5M-30.2K0.3320.02N/AN/A4261427,7114,758
2007-04-17$19.00$20.0024.5%7.0%33.6%0.0%30.0%6.5%-0.0%156.1K-5.5M-32.4K0.079.37N/AN/A316237,9634,807
2007-04-18$19.27$20.0032.4%9.3%32.6%0.0%32.8%7.8%-1.2%186.7K-6.3M-32.2K0.0916.20N/AN/A328308,1394,810
2007-04-19$19.28$20.0032.4%9.3%32.3%0.0%36.8%8.4%-1.3%197.1K-6.3M-32.8K1.1415.74N/AN/A70808,1914,804
2007-04-20$19.77$20.0030.4%8.7%31.7%0.0%31.1%4.3%-1.3%295.2K-7.7M-30.9K0.1728.57N/AN/A547958,1794,736
2007-04-23$19.87$20.0030.6%8.8%31.3%0.0%30.8%5.4%-0.6%182.0K-7.5M-30.0K0.0823.48N/AN/A785627,6374,183
2007-04-24$19.88$20.0031.9%9.1%30.8%0.0%31.9%2.3%-2.8%213.2K-7.8M-30.9K0.4211.74N/AN/A4081708,1084,210
2007-04-25$20.17$20.0026.6%7.6%29.6%0.0%26.9%4.1%0.5%246.2K-9.0M-28.9K0.3510.80N/AN/A7512608,3024,224
2007-04-26$20.44$20.0028.3%8.1%25.5%0.0%23.4%4.3%-3.5%258.6K-9.6M-30.5K0.1215.38N/AN/A9951198,5034,289
2007-04-27$20.49$20.0032.6%9.4%16.4%0.0%32.8%5.7%-5.6%265.4K-9.8M-32.0K0.3814.34N/AN/A6782579,0314,331
2007-04-30$20.25$20.0036.4%10.4%17.2%0.0%37.2%4.4%-6.8%270.3K-9.1M-32.1K0.0711.72N/AN/A907679,1444,427