DSX Options History — September 2007

In September 2007, DSX traded between $25.05 and $28.62. ATM implied volatility averaged 45.1%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 14.4% (HV 20d: 59.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2007-09-24: Highest Volume — 6,786 contracts
  • 2007-09-24: Largest IV spike — 16.9% change
  • 2007-09-24: Highest IV Rank — 57.6%
  • 2007-09-24: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.76$25.05$28.62$27.77$28.50
Max Pain$24.87$22.50$30.00$22.50$25.00
ATM IV45.1%39.0%50.8%41.1%45.4%
Expected Move13.0%11.2%14.6%11.8%13.0%
HV 20d59.4%46.0%73.9%73.9%49.3%
HV 60d57.4%55.0%60.2%56.8%60.1%
IV Rank47.4%36.5%57.6%40.4%47.9%
IV Percentile82.6%76.1%89.6%80.4%80.6%
Term Structure0.9%-1.8%3.6%2.2%3.6%
VWIV45.6%34.9%49.6%44.9%46.1%
Skew 25d3.5%-2.2%8.7%6.3%8.7%
Skew 10d11.8%-0.7%21.4%19.0%12.3%
Call IV 25d44.9%39.6%49.8%41.5%40.6%
Put IV 25d48.3%43.7%52.7%47.8%49.3%
Bid-Ask Spread %23.5611.4638.2520.9111.46
Gamma HHI0.460.310.620.460.61
Net GEX493.8K286.3K635.6K549.3K614.3K
Net DEX-22.1M-29.3M-16.3M-27.9M-27.0M
Net VEX-85.4K-121.9K-73.4K-79.2K-121.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.092.240.180.43
Total Volume2,396.9473606,7861,9753,162
Total OI27,682.73721,46431,32126,24530,002

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$27.77$22.5041.1%11.8%73.9%40.4%44.9%6.3%2.2%549.3K-27.9M-79.2K0.1820.91N/AN/A1,67330217,8248,421
2007-09-05$27.98$22.5039.0%11.2%71.8%36.5%44.6%5.6%3.1%577.9K-29.0M-78.3K0.0925.77N/AN/A8417618,0948,431
2007-09-06$28.12$22.5040.0%11.5%71.4%38.3%39.0%6.7%2.4%590.6K-29.3M-77.0K0.1518.13N/AN/A71811118,0778,452
2007-09-07$26.82$25.0046.6%13.4%69.9%50.1%48.0%0.6%-0.5%521.1K-23.5M-78.9K0.3327.48N/AN/A1,14438118,3238,523
2007-09-10$26.50$25.0046.1%13.4%69.4%49.2%45.7%-2.2%-1.3%492.8K-22.7M-75.9K0.5723.47N/AN/A60034218,4348,676
2007-09-11$26.67$25.0044.2%13.4%67.9%45.9%46.2%4.1%-0.0%455.9K-23.1M-74.5K0.2238.25N/AN/A2956518,3028,734
2007-09-12$25.35$25.0046.8%13.7%68.1%50.5%48.6%4.2%-0.7%474.1K-16.8M-74.4K0.5819.74N/AN/A1,65895918,2918,752
2007-09-13$25.30$25.0048.4%13.9%62.3%53.2%48.4%4.3%-0.5%426.1K-17.2M-79.2K0.2921.00N/AN/A63118118,6889,290
2007-09-14$25.05$25.0046.6%13.4%58.0%50.2%48.9%0.8%1.1%427.8K-16.3M-77.2K0.5217.03N/AN/A56329118,7479,302
2007-09-17$25.22$25.0048.6%13.9%54.2%53.6%48.6%4.4%-0.9%492.2K-17.5M-75.1K0.5821.95N/AN/A47427619,1189,319
2007-09-18$25.90$25.0046.5%13.3%54.8%49.9%46.7%3.5%-1.8%453.1K-21.7M-73.9K1.0323.88N/AN/A80182819,1329,394
2007-09-19$25.38$25.0043.5%12.5%55.5%44.5%44.1%2.5%2.2%498.6K-18.6M-74.8K0.2728.65N/AN/A87223819,4499,944
2007-09-20$25.15$25.0041.0%11.8%46.0%40.1%34.9%2.6%2.5%635.6K-17.8M-73.4K2.2436.23N/AN/A9432,11419,52210,072
2007-09-21$26.77$30.0043.5%12.5%51.0%44.6%41.5%3.2%0.9%308.5K-22.2M-78.8K0.1219.75N/AN/A4,29650419,63411,687
2007-09-24$27.44$25.0050.8%14.6%51.5%57.6%49.6%4.2%-1.7%286.3K-16.4M-87.2K0.1516.66N/AN/A5,91187514,5336,931
2007-09-25$28.57$25.0045.5%13.0%52.9%48.1%46.7%3.6%2.5%464.8K-24.4M-105.6K0.3630.17N/AN/A4,0721,48117,8177,800
2007-09-26$27.37$25.0048.6%13.9%52.0%53.8%48.3%0.9%1.5%494.2K-20.5M-115.8K0.1321.93N/AN/A4,53060919,6738,949
2007-09-27$28.62$25.0043.9%12.6%49.3%45.3%45.0%1.8%1.9%618.9K-27.7M-121.3K0.2325.22N/AN/A2,21451120,8598,776
2007-09-28$28.50$25.0045.4%13.0%49.3%47.9%46.1%8.7%3.6%614.3K-27.0M-121.9K0.4311.46N/AN/A2,20895421,2288,774