DSX Options History — November 2007

In November 2007, DSX traded between $27.94 and $42.92. ATM implied volatility averaged 87.2%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 20.9% (HV 20d: 108.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-11-05: Highest Volume — 19,404 contracts
  • 2007-11-14: Largest IV drop — 36.4% change
  • 2007-11-06: Highest IV Rank — 100.0%
  • 2007-11-13: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.80$27.94$42.92$42.69$35.41
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV87.2%62.3%142.2%87.6%64.5%
Expected Move22.8%17.9%28.1%25.1%18.5%
HV 20d108.1%85.9%125.9%85.9%108.4%
HV 60d80.0%70.0%86.2%71.5%86.2%
IV Rank66.0%35.4%100.0%87.5%37.2%
IV Percentile93.6%82.5%100.0%99.5%83.5%
Term Structure-4.9%-17.2%1.8%-5.0%1.7%
VWIV81.5%64.4%98.0%87.8%66.9%
Skew 25d3.3%-4.6%10.8%-2.0%9.7%
Skew 10d5.4%-14.5%22.0%1.0%20.2%
Call IV 25d79.7%60.7%98.0%89.1%62.7%
Put IV 25d83.0%68.3%99.4%87.2%72.4%
Bid-Ask Spread %15.5610.3021.7310.3012.03
Gamma HHI0.220.160.270.250.23
Net GEX892.4K410.1K1.7M1.5M1.4M
Net DEX-42.5M-134.9M3.3M-132.0M-72.0M
Net VEX-290.8K-366.1K-226.6K-359.1K-303.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.110.670.380.55
Total Volume10,1592,27419,40410,15912,704
Total OI80,001.66767,77691,45574,54480,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$42.69$35.0087.6%25.1%85.9%87.5%87.8%-2.0%-5.0%1.5M-132.0M-359.1K0.3810.30N/AN/A7,3362,82352,30322,241
2007-11-02$42.92$35.0084.5%24.2%85.9%83.6%84.8%1.2%-2.4%1.7M-134.9M-366.1K0.2311.31N/AN/A4,9791,16753,94723,749
2007-11-05$38.92$30.0096.2%24.2%95.0%98.5%86.0%2.7%-7.7%1.5M-92.8M-353.2K0.4212.10N/AN/A13,6265,77854,57224,525
2007-11-06$38.11$30.0097.6%23.8%94.9%100.0%84.1%3.6%-8.9%1.4M-82.1M-354.8K0.2516.29N/AN/A7,7861,91855,72827,048
2007-11-07$34.40$30.00102.6%25.2%101.0%100.0%88.2%-0.9%-8.2%1.0M-47.3M-328.3K0.3614.02N/AN/A9,5263,43856,52927,290
2007-11-08$32.82$30.00108.5%26.1%100.1%100.0%91.0%1.0%-11.9%863.2K-32.5M-317.5K0.4519.25N/AN/A10,8134,81957,84527,913
2007-11-09$31.17$30.00105.6%27.4%101.6%96.7%95.7%-0.6%-14.6%647.7K-19.5M-299.1K0.3816.33N/AN/A4,0051,53757,86829,028
2007-11-12$28.04$30.00142.2%27.7%107.4%100.0%97.0%-4.6%-13.7%410.1K3.3M-249.3K0.4320.85N/AN/A7,6733,26358,16029,268
2007-11-13$33.25$30.00138.8%28.1%125.0%97.3%98.0%2.2%-17.2%968.0K-39.4M-318.3K0.2612.72N/AN/A12,4083,20159,20529,126
2007-11-14$31.50$30.0088.2%24.3%125.9%56.4%85.4%0.2%-6.3%818.3K-22.1M-294.0K0.3819.37N/AN/A13,3895,04061,74529,710
2007-11-15$30.73$30.0084.4%24.2%119.5%53.3%84.1%2.4%-5.4%593.3K-23.0M-285.4K0.4512.32N/AN/A5,4522,43261,37228,777
2007-11-16$30.65$30.0081.1%23.3%119.5%50.6%81.4%0.7%-4.8%517.6K-24.5M-274.0K0.5716.32N/AN/A3,5602,03560,98128,718
2007-11-19$30.19$30.0078.0%22.4%119.4%48.1%79.1%3.8%-1.1%565.6K-22.4M-268.4K0.3312.09N/AN/A2,48882444,89222,884
2007-11-20$28.83$30.0074.2%21.3%114.3%45.0%74.7%6.2%0.7%450.1K-11.6M-241.5K0.4017.69N/AN/A6,5132,60145,66723,092
2007-11-21$27.94$30.0073.3%21.0%114.4%44.3%75.9%4.5%-1.3%441.9K-7.0M-236.6K0.2714.01N/AN/A5,2751,45047,79424,468
2007-11-23$28.80$30.0066.1%19.0%115.2%38.5%69.0%7.1%1.8%595.2K-14.5M-240.6K0.2721.73N/AN/A1,78648848,98723,658
2007-11-26$28.00$30.0067.1%19.2%112.2%39.3%82.9%5.9%-2.3%531.0K-9.3M-226.6K0.1118.50N/AN/A13,3341,52349,46023,820
2007-11-27$28.87$30.0065.0%18.6%109.6%37.6%68.7%9.4%1.4%634.1K-14.0M-234.5K0.6714.35N/AN/A3,1062,08749,76224,143
2007-11-28$31.70$30.0064.4%18.5%108.7%37.1%66.5%10.8%1.7%942.9K-36.5M-267.0K0.4716.80N/AN/A7,8283,68750,71224,849
2007-11-29$33.89$30.0062.3%17.9%106.6%35.4%64.4%6.2%1.4%1.3M-59.0M-287.7K0.3318.41N/AN/A7,2362,40551,67326,158
2007-11-30$35.41$30.0064.5%18.5%108.4%37.2%66.9%9.7%1.7%1.4M-72.0M-303.8K0.5512.03N/AN/A8,1794,52553,00027,368