DSX Options History — May 2007

In May 2007, DSX traded between $19.95 and $23.00. ATM implied volatility averaged 30.1%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.0% (HV 20d: 27.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2007-05-11: Highest Volume — 37,417 contracts
  • 2007-05-03: Largest IV drop — 15.5% change
  • 2007-05-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.69$19.95$23.00$19.99$22.79
Max Pain$17.39$15.00$20.00$20.00$20.00
ATM IV30.1%26.9%35.9%32.6%27.0%
Expected Move8.5%7.7%10.3%9.3%7.7%
HV 20d27.1%17.9%39.5%17.9%39.5%
HV 60d35.3%32.4%36.4%35.7%33.0%
Term Structure-1.2%-7.4%1.5%-4.4%1.5%
VWIV31.0%24.2%55.2%33.2%24.2%
Skew 25d5.3%-0.7%16.0%10.0%16.0%
Skew 10d11.1%-3.9%29.0%22.0%29.0%
Call IV 25d27.9%21.4%31.9%23.2%21.4%
Put IV 25d33.2%27.9%37.4%33.2%37.4%
Bid-Ask Spread %23.3712.2233.9431.2717.52
Gamma HHI0.560.450.700.590.67
Net GEX298.1K177.3K417.5K294.7K412.0K
Net DEX-10.8M-18.9M-6.3M-8.4M-12.4M
Net VEX-34.7K-39.8K-31.3K-32.2K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.021.480.200.11
Total Volume2,712.54515437,4177471,378
Total OI14,500.77312,29717,20813,80713,730

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$19.99$20.0032.6%9.3%17.9%0.0%33.2%10.0%-4.4%294.7K-8.4M-32.2K0.2031.27N/AN/A6201279,3314,476
2007-05-02$19.95$20.0035.9%10.3%18.0%0.0%30.9%5.9%-7.4%272.3K-8.2M-32.5K0.1716.08N/AN/A429729,4054,583
2007-05-03$20.49$20.0030.3%8.7%19.1%0.0%25.5%1.9%-3.4%313.7K-9.9M-31.3K0.3913.87N/AN/A2,0277979,7194,644
2007-05-04$20.74$15.0032.4%8.1%18.8%0.0%28.5%4.2%-0.8%338.5K-10.4M-33.4K0.0728.95N/AN/A4383210,7705,078
2007-05-07$21.48$15.0031.3%8.6%21.3%0.0%30.3%-0.7%-3.6%321.4K-13.2M-33.0K0.2433.94N/AN/A1,88545310,7345,110
2007-05-08$21.92$15.0032.0%8.1%21.0%0.0%30.5%0.5%-1.5%361.5K-14.7M-32.2K0.1616.11N/AN/A90514711,0555,348
2007-05-09$22.42$15.0033.1%8.2%20.3%0.0%32.3%0.0%-1.9%390.3K-16.4M-31.9K0.0819.14N/AN/A8476411,2295,429
2007-05-10$22.50$15.0030.2%8.7%20.1%0.0%34.0%1.3%-0.9%382.4K-16.5M-34.0K0.4020.41N/AN/A1,36854911,1305,437
2007-05-11$23.00$15.0029.7%8.5%20.3%0.0%55.2%2.2%-1.7%417.5K-18.9M-31.9K0.0219.61N/AN/A36,78463311,4585,750
2007-05-14$22.45$15.0027.3%7.8%23.7%0.0%27.2%4.6%0.7%255.3K-10.7M-32.4K0.1427.11N/AN/A2,1292987,9906,084
2007-05-15$22.50$17.5028.8%8.2%23.7%0.0%29.8%5.0%-0.1%205.4K-10.7M-33.1K0.2726.49N/AN/A5111398,0186,244
2007-05-16$22.53$17.5029.2%8.4%23.7%0.0%29.9%3.8%0.4%209.2K-10.9M-33.4K0.2628.86N/AN/A8032078,0836,322
2007-05-17$22.20$17.5028.5%8.2%24.9%0.0%27.9%2.7%0.5%227.4K-9.6M-34.6K0.2328.87N/AN/A153358,5676,366
2007-05-18$21.13$17.5032.4%9.3%31.0%0.0%31.1%2.7%0.2%177.3K-6.5M-35.2K0.1417.60N/AN/A1,0361428,5916,389
2007-05-21$21.81$17.5028.7%8.2%32.6%0.0%30.9%9.7%-1.7%250.1K-8.7M-35.9K0.2923.36N/AN/A293867,7814,516
2007-05-22$21.97$17.5027.1%7.8%32.6%0.0%29.1%9.4%0.7%273.2K-9.3M-36.0K0.2014.88N/AN/A7281447,9304,549
2007-05-23$21.54$17.5027.9%8.0%33.5%0.0%29.2%4.6%-0.4%261.9K-8.5M-37.4K0.0629.15N/AN/A977568,2194,667
2007-05-24$20.62$17.5030.5%8.7%37.2%0.0%30.3%5.4%-0.9%219.0K-6.3M-37.8K0.4531.33N/AN/A5862648,6354,707
2007-05-25$21.07$17.5030.7%8.8%37.9%0.0%34.2%3.5%-1.6%264.9K-7.9M-39.8K1.4833.93N/AN/A62928,9774,917
2007-05-29$21.71$20.0029.6%8.5%38.9%0.0%30.2%4.3%-1.6%315.1K-8.8M-39.2K0.0823.41N/AN/A481408,5134,949
2007-05-30$22.28$20.0026.9%7.7%39.2%0.0%27.1%14.3%1.2%395.4K-10.6M-38.8K0.0812.22N/AN/A793668,6284,959
2007-05-31$22.79$20.0027.0%7.7%39.5%0.0%24.2%16.0%1.5%412.0K-12.4M-38.1K0.1117.52N/AN/A1,2431358,7494,981