DSX Options History — June 2007

In June 2007, DSX traded between $20.36 and $23.00. ATM implied volatility averaged 30.4%. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 10.5% (HV 20d: 40.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2007-06-15: Highest Volume — 2,302 contracts
  • 2007-06-11: Largest IV spike — 36.3% change
  • 2007-06-13: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.56$20.36$23.00$23.00$22.40
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.4%26.8%39.3%28.6%27.2%
Expected Move8.4%7.7%9.4%8.2%7.8%
HV 20d40.9%36.2%46.8%38.8%36.8%
HV 60d34.1%32.2%36.5%33.1%32.7%
Term Structure1.0%-1.9%2.7%-0.2%2.7%
VWIV29.0%25.0%31.8%28.7%25.0%
Skew 25d6.0%1.7%34.6%3.8%4.0%
Skew 10d12.2%3.4%70.1%12.6%7.1%
Call IV 25d29.1%24.1%31.2%31.2%28.9%
Put IV 25d35.2%29.2%58.8%35.0%32.9%
Bid-Ask Spread %25.6612.1040.5422.2612.10
Gamma HHI0.580.490.710.590.64
Net GEX395.1K204.3K557.0K435.3K557.0K
Net DEX-8.0M-13.2M-4.0M-13.2M-11.6M
Net VEX-47.6K-57.2K-37.7K-38.3K-57.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.060.820.410.14
Total Volume812.1432572,302877661
Total OI15,797.90513,96217,83014,42516,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$23.00$20.0028.6%8.2%38.8%0.0%28.7%3.8%-0.2%435.3K-13.2M-38.3K0.4122.26N/AN/A6202579,3975,028
2007-06-04$22.89$20.0030.7%8.2%38.9%0.0%28.7%34.6%0.2%448.0K-11.9M-37.7K0.1627.84N/AN/A520838,9864,976
2007-06-05$22.73$20.0029.2%8.1%37.4%0.0%29.7%2.8%1.1%470.7K-11.7M-37.7K0.1025.20N/AN/A373379,1035,025
2007-06-06$22.29$20.0029.9%8.4%37.6%0.0%28.9%12.9%-0.3%463.2K-10.2M-38.9K0.2017.07N/AN/A1,3442669,1565,059
2007-06-07$21.30$20.0032.0%8.5%40.1%0.0%31.8%4.1%-1.9%395.6K-7.5M-42.7K0.2927.14N/AN/A1,29937910,1965,299
2007-06-08$21.93$20.0026.8%8.4%41.6%0.0%29.0%14.0%-0.2%542.8K-9.7M-45.8K0.5540.54N/AN/A19710810,8295,501
2007-06-11$20.63$20.0036.6%9.3%45.7%0.0%31.1%5.2%-1.1%252.9K-5.0M-41.7K0.5716.12N/AN/A65437310,9355,512
2007-06-12$20.36$20.0037.7%9.0%45.3%0.0%31.8%4.7%0.4%204.3K-4.0M-41.9K0.4418.66N/AN/A59726411,2625,676
2007-06-13$20.93$20.0039.3%9.4%46.7%0.0%31.4%4.8%-0.0%305.9K-5.9M-43.3K0.0918.55N/AN/A1,19810611,2915,721
2007-06-14$20.75$20.0030.4%8.7%46.7%0.0%30.0%3.8%-0.1%292.5K-6.3M-43.7K0.3127.83N/AN/A32910112,1775,653
2007-06-15$20.99$20.0031.0%8.9%46.8%0.0%30.8%4.0%1.7%266.1K-6.4M-43.2K0.3525.02N/AN/A1,70459811,5735,708
2007-06-18$20.94$20.0030.4%8.7%43.4%0.0%28.9%4.3%2.4%318.8K-5.4M-50.4K0.8218.17N/AN/A4603779,6104,461
2007-06-19$20.79$20.0030.4%8.7%41.8%0.0%27.8%2.3%2.7%312.6K-4.6M-49.8K0.3328.68N/AN/A283949,8894,823
2007-06-20$20.96$20.0030.9%8.9%41.8%0.0%29.9%4.0%2.7%322.6K-5.0M-52.0K0.0635.25N/AN/A1,1776610,0894,905
2007-06-21$21.30$20.0026.9%7.7%41.8%0.0%29.5%3.6%2.0%384.1K-6.6M-56.1K0.5623.69N/AN/A1699510,8894,916
2007-06-22$21.69$20.0027.8%8.0%39.0%0.0%28.1%1.7%2.1%436.3K-8.4M-56.0K0.2232.57N/AN/A57212510,9844,987
2007-06-25$21.94$20.0028.2%8.1%38.5%0.0%25.2%2.4%1.9%476.2K-9.5M-55.5K0.1330.62N/AN/A3955311,1565,002
2007-06-26$21.48$20.0028.3%8.1%37.8%0.0%28.6%4.4%0.4%443.2K-7.4M-55.5K0.2136.09N/AN/A3246911,2844,983
2007-06-27$21.57$20.0028.1%8.1%36.6%0.0%28.0%3.0%1.7%460.3K-7.6M-55.5K0.2533.59N/AN/A2065111,4374,998
2007-06-28$21.96$20.0027.4%7.9%36.2%0.0%26.5%2.3%2.5%508.9K-9.5M-56.9K0.1521.88N/AN/A4096211,5425,037
2007-06-29$22.40$20.0027.2%7.8%36.8%0.0%25.0%4.0%2.7%557.0K-11.6M-57.2K0.1412.10N/AN/A5808111,6435,058