DSX Options History — December 2007

In December 2007, DSX traded between $28.18 and $34.65. ATM implied volatility averaged 64.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 14.5% (HV 20d: 78.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2007-12-27: Highest Volume — 8,620 contracts
  • 2007-12-24: Largest IV drop — 17.2% change
  • 2007-12-05: Highest IV Rank — 44.6%
  • 2007-12-05: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.29$28.18$34.65$33.46$31.46
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV64.3%51.7%73.7%67.0%55.8%
Expected Move18.5%14.8%21.1%19.2%16.0%
HV 20d78.8%56.2%109.5%109.5%56.2%
HV 60d87.1%85.8%88.0%86.5%86.7%
IV Rank37.0%26.9%44.6%39.2%30.1%
IV Percentile82.7%70.3%91.0%87.9%73.6%
Term Structure2.2%-5.4%10.6%1.9%5.0%
VWIV64.7%51.1%72.2%69.6%54.8%
Skew 25d4.3%1.3%7.7%5.6%6.5%
Skew 10d10.0%-1.8%27.0%14.9%27.0%
Call IV 25d63.8%51.3%71.8%67.8%53.1%
Put IV 25d68.1%53.0%76.3%73.3%59.6%
Bid-Ask Spread %18.8811.0431.1017.6820.37
Gamma HHI0.280.220.450.230.29
Net GEX1.1M456.1K1.5M1.3M959.8K
Net DEX-33.9M-63.3M-9.3M-56.3M-32.1M
Net VEX-239.1K-293.6K-192.7K-293.6K-224.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.140.690.680.40
Total Volume4,293.351,9358,6204,6102,990
Total OI79,16347,03391,70383,44355,806

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$33.46$30.0067.0%19.2%109.5%39.2%69.6%5.6%1.9%1.3M-56.3M-293.6K0.6817.68N/AN/A2,7361,87454,23029,213
2007-12-04$31.97$30.0072.0%20.6%105.6%43.3%72.2%4.5%-2.5%1.1M-40.7M-280.3K0.6515.89N/AN/A2,1381,38554,71429,870
2007-12-05$32.13$30.0073.7%21.1%105.6%44.6%71.3%6.5%-5.4%1.1M-42.2M-279.6K0.2816.65N/AN/A2,97482654,79930,157
2007-12-06$33.05$30.0064.2%18.4%100.3%37.0%68.2%7.4%3.1%1.3M-49.7M-277.7K0.2711.04N/AN/A3,09685155,22530,225
2007-12-07$34.65$30.0062.8%19.2%100.2%35.8%65.7%7.7%-0.5%1.4M-63.3M-290.9K0.2014.64N/AN/A5,8391,19455,85730,195
2007-12-10$34.01$30.0063.8%19.3%98.5%36.6%67.6%4.0%-2.0%1.5M-62.5M-276.8K0.6519.46N/AN/A2,9351,91457,50230,467
2007-12-11$32.02$30.0069.1%19.4%93.0%40.9%68.3%1.8%1.5%1.3M-41.8M-260.8K0.2031.10N/AN/A3,63271557,61230,940
2007-12-12$32.10$30.0068.1%19.6%70.0%40.1%66.9%3.5%-0.1%1.3M-41.8M-251.5K0.2525.76N/AN/A3,34882457,76230,876
2007-12-13$31.15$30.0068.6%19.7%68.1%40.5%66.6%5.2%0.7%1.3M-33.3M-243.0K0.1424.87N/AN/A2,48834558,60631,333
2007-12-14$30.96$30.0067.9%19.5%67.5%39.9%67.9%1.3%0.1%1.2M-31.5M-236.4K0.2514.95N/AN/A1,96548258,57331,143
2007-12-17$29.29$30.0069.4%19.9%70.4%41.2%69.1%2.4%-0.5%950.2K-17.6M-212.5K0.2217.98N/AN/A4,5941,02059,35431,251
2007-12-18$29.45$30.0067.5%19.4%70.3%39.7%67.7%3.8%1.9%1.1M-19.4M-213.2K0.3919.28N/AN/A3,3401,29460,19031,465
2007-12-19$28.84$30.0068.8%19.7%68.7%40.6%69.3%2.6%-0.6%1.0M-15.7M-205.1K0.4114.89N/AN/A1,37655960,55231,151
2007-12-20$28.18$30.0068.2%19.6%68.3%40.2%69.1%2.3%1.3%629.3K-9.3M-192.7K0.4517.28N/AN/A2,3881,07260,57130,889
2007-12-21$29.01$30.0065.5%18.8%68.2%38.0%66.1%1.6%2.7%1.2M-13.8M-199.9K0.6916.44N/AN/A2,1491,47660,02330,760
2007-12-24$29.63$30.0054.2%15.5%67.7%28.9%55.0%6.3%9.9%456.1K-15.5M-193.3K0.1616.36N/AN/A3,80760833,52113,512
2007-12-26$29.92$30.0051.7%14.8%67.0%26.9%52.7%6.1%10.6%600.2K-19.1M-199.2K0.3023.56N/AN/A2,35270935,82813,760
2007-12-27$32.02$30.0055.8%16.0%62.8%30.1%55.0%4.6%7.7%816.7K-33.2M-220.9K0.3424.00N/AN/A6,4412,17936,99213,966
2007-12-28$32.45$30.0052.2%15.0%58.0%27.2%51.1%1.6%9.9%1.0M-39.2M-229.3K0.2515.47N/AN/A4,7731,17939,57214,798
2007-12-31$31.46$30.0055.8%16.0%56.2%30.1%54.8%6.5%5.0%959.8K-32.1M-224.7K0.4020.37N/AN/A2,12986140,62315,183