DSX Options History — January 2008

In January 2008, DSX traded between $21.12 and $30.85. ATM implied volatility averaged 75.4%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 9.3% (HV 20d: 66.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2008-01-09: Highest Volume — 10,990 contracts
  • 2008-01-07: Largest IV spike — 24.4% change
  • 2008-01-16: Highest IV Rank — 62.6%
  • 2008-01-16: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.52$21.12$30.85$30.74$29.51
Max Pain$26.67$25.00$30.00$30.00$25.00
ATM IV75.4%53.5%95.9%56.6%63.3%
Expected Move21.5%15.3%27.5%16.2%18.2%
HV 20d66.1%51.1%85.1%53.3%85.1%
HV 60d86.5%82.7%87.9%86.8%84.6%
IV Rank46.0%28.3%62.6%30.8%36.2%
IV Percentile88.0%71.0%96.8%74.5%71.8%
Term Structure-2.9%-16.6%9.2%5.6%1.2%
VWIV75.0%54.7%93.8%56.9%64.5%
Skew 25d5.4%0.1%12.3%5.1%4.8%
Skew 10d8.1%-6.4%21.7%20.1%9.5%
Call IV 25d74.0%56.5%92.9%57.7%67.2%
Put IV 25d79.4%60.1%99.0%62.8%72.0%
Bid-Ask Spread %19.6611.5327.5818.6916.77
Gamma HHI0.240.170.310.290.31
Net GEX496.0K191.1K1.0M847.3K1.0M
Net DEX-8.3M-47.5M12.2M-26.3M-47.5M
Net VEX-185.3K-239.8K-142.1K-214.0K-239.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.131.000.290.25
Total Volume5,431.8572,22410,9902,2659,337
Total OI65,825.1956,67474,60056,67473,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$30.74$30.0056.6%16.2%53.3%30.8%56.9%5.1%5.6%847.3K-26.3M-214.0K0.2918.69N/AN/A1,75351240,98015,694
2008-01-03$30.85$30.0053.5%15.3%51.1%28.3%54.7%3.6%9.2%878.9K-27.1M-215.1K0.2224.04N/AN/A2,26149741,50515,897
2008-01-04$29.42$30.0057.1%18.4%53.5%31.2%64.4%2.8%-1.6%724.6K-18.0M-209.1K0.4616.92N/AN/A3,1491,45542,40516,187
2008-01-07$26.96$30.0071.1%19.7%59.5%42.5%68.6%2.3%-3.0%491.4K-4.8M-177.7K0.3817.39N/AN/A5,0541,92443,60816,345
2008-01-08$27.40$30.0069.7%19.9%56.5%41.4%66.5%2.0%-0.1%597.1K-9.7M-189.2K0.3323.84N/AN/A4,4961,50244,23316,859
2008-01-09$25.89$30.0082.2%20.9%58.7%51.5%72.9%3.5%-3.9%421.6K-1.5M-177.0K0.4520.77N/AN/A7,5903,40045,87517,612
2008-01-10$24.91$30.0075.6%21.7%56.9%46.2%75.1%1.9%-5.4%386.9K271.3K-184.8K0.3816.98N/AN/A3,2621,22747,85518,816
2008-01-11$25.01$25.0074.5%21.4%56.9%45.3%75.4%1.9%-4.5%393.5K128.1K-176.5K0.1821.19N/AN/A3,21558949,02318,766
2008-01-14$24.61$25.0072.2%20.7%56.6%43.5%72.6%1.1%-1.1%360.4K1.7M-170.0K0.4412.44N/AN/A2,07790450,24018,831
2008-01-15$22.29$25.0080.9%23.2%64.4%50.5%80.3%0.1%-6.6%206.9K11.4M-144.6K0.2911.53N/AN/A5,8241,67350,60319,057
2008-01-16$21.12$25.0095.9%27.5%64.3%62.6%93.8%4.0%-16.6%191.1K12.2M-142.1K0.3618.10N/AN/A6,5672,34151,84019,114
2008-01-17$21.57$25.0091.0%26.1%65.2%58.6%90.3%6.5%-13.3%230.4K10.6M-150.4K0.2921.61N/AN/A3,30896954,58119,961
2008-01-18$23.22$25.0087.1%25.0%72.4%55.5%87.4%8.4%-5.3%272.7K3.8M-166.6K0.1322.46N/AN/A5,56472654,54220,058
2008-01-22$22.34$25.0091.5%26.2%73.0%59.0%89.5%9.8%-7.8%279.5K943.4K-155.3K0.2719.39N/AN/A4,6611,26042,67916,368
2008-01-23$22.91$25.0093.2%26.7%72.7%60.4%90.4%12.3%-7.9%343.4K-2.0M-169.1K0.3019.76N/AN/A3,9091,17044,38016,955
2008-01-24$24.51$25.0079.4%22.8%77.2%49.3%82.7%9.1%-1.2%446.1K-9.2M-192.2K0.2920.76N/AN/A4,0081,16146,34117,724
2008-01-25$24.03$25.0072.6%20.8%77.0%43.8%73.5%5.5%1.9%461.9K-8.4M-187.7K0.4421.56N/AN/A3,0911,36947,89318,492
2008-01-28$24.43$25.0072.6%20.8%72.0%43.8%77.0%11.1%0.4%466.3K-8.6M-192.2K1.0022.67N/AN/A1,1101,11448,66919,272
2008-01-29$26.66$25.0071.5%20.5%80.0%42.8%71.6%9.3%0.9%635.9K-22.3M-214.3K0.3918.39N/AN/A3,8191,48549,09619,956
2008-01-30$27.49$25.0071.6%20.5%80.8%42.9%66.9%7.7%-1.4%764.3K-29.7M-222.8K0.3227.58N/AN/A3,5961,14050,42020,569
2008-01-31$29.51$25.0063.3%18.2%85.1%36.2%64.5%4.8%1.2%1.0M-47.5M-239.8K0.2516.77N/AN/A7,4681,86951,88821,140