DSX Options History — July 2007

In July 2007, DSX traded between $22.47 and $29.24. ATM implied volatility averaged 41.1%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 3.4% (HV 20d: 37.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2007-07-19: Highest Volume — 4,323 contracts
  • 2007-07-12: Largest IV spike — 21.0% change
  • 2007-07-19: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.08$22.47$29.24$22.47$28.05
Max Pain$22.14$20.00$22.50$20.00$22.50
ATM IV41.1%24.8%61.1%25.1%61.1%
Expected Move12.0%7.2%17.5%7.2%17.5%
HV 20d37.6%24.3%51.3%36.9%51.3%
HV 60d37.2%32.6%42.8%32.6%42.8%
IV Rank73.5%21.7%100.0%30.7%100.0%
IV Percentile83.2%16.5%100.0%36.5%100.0%
Term Structure-3.9%-12.4%5.4%4.7%-12.2%
VWIV43.4%25.1%61.7%25.1%61.7%
Skew 25d3.7%-1.8%12.7%2.9%0.1%
Skew 10d7.8%-8.2%26.0%9.1%3.1%
Call IV 25d40.5%24.3%60.1%30.0%60.1%
Put IV 25d44.2%32.7%60.2%32.9%60.2%
Bid-Ask Spread %26.099.5848.9716.5825.89
Gamma HHI0.470.320.670.670.48
Net GEX503.6K306.1K680.1K601.6K511.6K
Net DEX-26.3M-39.1M-11.9M-11.9M-29.9M
Net VEX-62.6K-83.1K-49.9K-57.0K-79.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.070.350.100.07
Total Volume2,222.0484174,3231,3342,036
Total OI21,438.8116,86825,40816,86825,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$22.47$20.0025.1%7.2%36.9%0.0%25.1%2.9%4.7%601.6K-11.9M-57.0K0.1016.58N/AN/A1,21212211,7905,078
2007-07-03$22.91$20.0026.2%7.5%37.5%0.0%26.0%4.3%5.4%663.7K-15.0M-59.9K0.1822.27N/AN/A3546312,7385,178
2007-07-05$23.40$20.0027.5%7.9%37.4%30.7%27.5%5.1%5.0%643.4K-17.2M-58.3K0.2648.97N/AN/A94624312,7835,168
2007-07-06$23.24$22.5024.8%8.9%33.1%21.7%30.7%3.3%-0.8%680.1K-16.9M-57.9K0.1132.21N/AN/A6457212,8955,078
2007-07-09$24.37$22.5028.0%9.2%35.5%32.6%35.0%3.3%-1.5%547.7K-22.1M-53.5K0.1625.78N/AN/A3,04448013,1535,121
2007-07-10$24.66$22.5029.4%9.2%25.4%37.3%34.1%3.2%-1.9%640.3K-24.1M-55.7K0.3531.44N/AN/A92131914,2755,379
2007-07-11$25.62$22.5029.2%9.9%26.0%36.5%37.4%9.9%-2.2%557.5K-28.4M-51.9K0.1943.20N/AN/A1,73433714,5365,441
2007-07-12$25.74$22.5035.3%10.1%25.4%57.6%39.3%12.7%-3.8%513.3K-28.8M-52.2K0.1820.79N/AN/A1,27522514,6295,555
2007-07-13$26.00$22.5036.5%10.5%24.3%61.6%41.6%2.9%-5.1%476.3K-30.3M-49.9K0.2641.32N/AN/A1,12928814,8055,687
2007-07-16$25.04$22.5038.8%11.1%29.9%69.6%43.6%12.2%-4.8%628.4K-26.0M-57.5K0.1613.45N/AN/A3,40555015,1195,818
2007-07-17$26.55$22.5040.9%11.7%34.4%76.7%40.2%2.8%-4.2%384.9K-31.7M-53.1K0.0726.88N/AN/A2,49317715,3276,126
2007-07-18$28.11$22.5042.2%12.1%37.1%81.3%45.3%5.1%-2.3%306.1K-35.7M-52.7K0.159.58N/AN/A3,12746015,6796,136
2007-07-19$29.00$22.5048.0%13.7%37.4%100.0%49.4%0.8%-5.4%357.1K-39.1M-55.4K0.1725.18N/AN/A3,70761616,8896,462
2007-07-20$28.51$22.5049.6%14.2%39.2%100.0%50.0%2.7%-5.9%401.4K-38.9M-62.8K0.1622.20N/AN/A2,31237518,1916,513
2007-07-23$29.24$22.5046.7%13.4%39.4%90.7%47.6%2.0%-4.6%440.0K-32.6M-61.8K0.3111.53N/AN/A2,27270015,3636,321
2007-07-24$27.94$22.5049.9%14.3%44.9%100.0%51.2%3.7%-6.2%448.0K-28.6M-73.0K0.2721.05N/AN/A2,55867916,2636,888
2007-07-25$27.43$22.5053.8%15.4%44.6%100.0%52.4%0.5%-8.4%466.4K-25.7M-77.2K0.1230.56N/AN/A2,67832316,6867,401
2007-07-26$26.07$22.5053.8%15.4%49.9%100.0%57.2%0.5%-5.6%413.9K-20.8M-83.1K0.2337.21N/AN/A2,05747017,1537,522
2007-07-27$26.18$22.5056.0%16.1%49.8%100.0%59.2%-1.8%-8.6%418.1K-21.7M-81.4K0.1624.46N/AN/A93515217,0397,513
2007-07-30$27.25$22.5059.7%17.1%50.9%100.0%58.0%1.8%-12.4%475.4K-26.0M-80.3K0.1317.42N/AN/A1,03513717,5357,574
2007-07-31$28.05$22.5061.1%17.5%51.3%100.0%61.7%0.1%-12.2%511.6K-29.9M-79.7K0.0725.89N/AN/A1,90013617,7627,646