DSX Options History — February 2008

In February 2008, DSX traded between $25.99 and $31.10. ATM implied volatility averaged 63.0%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 7.1% (HV 20d: 70.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2008-02-26: Highest Volume — 97,804 contracts
  • 2008-02-04: Largest IV spike — 24.1% change
  • 2008-02-07: Highest IV Rank — 49.8%
  • 2008-02-06: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.33$25.99$31.10$28.56$28.50
Max Pain$27.00$25.00$30.00$25.00$30.00
ATM IV63.0%46.4%81.2%60.5%47.9%
Expected Move16.9%13.3%20.3%17.4%13.7%
HV 20d70.1%50.9%85.7%85.7%50.9%
HV 60d72.1%63.9%83.0%82.6%63.9%
IV Rank34.8%20.9%49.8%34.0%22.1%
IV Percentile70.5%46.4%92.5%69.4%49.6%
Term Structure-1.2%-8.5%4.1%1.7%2.7%
VWIV61.1%46.8%79.2%63.8%50.9%
Skew 25d6.4%3.5%9.4%4.9%5.5%
Skew 10d10.6%4.9%17.3%9.8%7.3%
Call IV 25d57.6%47.9%67.0%63.6%49.5%
Put IV 25d64.1%52.3%74.2%68.5%55.0%
Bid-Ask Spread %14.069.2420.8820.4817.48
Gamma HHI0.410.340.910.350.39
Net GEX1.6M675.6K10.9M1.0M885.8K
Net DEX-38.3M-70.4M-16.6M-40.2M-16.6M
Net VEX-240.9K-266.8K-213.2K-240.9K-233.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.011.140.320.51
Total Volume9,974.91,86797,8043,7564,962
Total OI78,339.2570,30189,00875,06277,297

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$28.56$25.0060.5%17.4%85.7%34.0%63.8%4.9%1.7%1.0M-40.2M-240.9K0.3220.48N/AN/A2,85390353,24821,814
2008-02-04$27.30$25.0075.1%20.2%85.6%45.8%66.6%5.9%-8.5%862.3K-29.5M-227.4K0.2915.37N/AN/A3,8401,12854,06121,968
2008-02-05$25.99$25.0078.6%20.0%81.6%48.3%67.2%4.1%-6.9%675.6K-16.8M-213.2K0.5511.30N/AN/A1,8771,03255,11122,451
2008-02-06$26.14$25.0080.1%20.3%81.4%49.0%69.4%6.7%-8.5%710.0K-18.5M-218.5K0.5611.81N/AN/A1,43079655,62022,742
2008-02-07$27.02$25.0081.1%19.8%79.7%49.8%67.3%8.1%-6.5%830.3K-25.4M-225.3K0.5312.87N/AN/A2,1291,13055,84623,037
2008-02-08$28.05$25.0072.5%19.2%79.1%42.4%68.0%8.2%-3.6%1.0M-35.6M-240.7K0.7614.00N/AN/A2,3431,78956,39223,439
2008-02-11$30.00$25.0081.2%19.7%82.0%49.6%68.3%9.4%-5.8%1.3M-54.5M-247.7K0.3716.20N/AN/A5,6372,10857,00224,151
2008-02-12$29.97$25.0079.5%19.6%81.6%48.3%68.1%6.2%-6.0%1.4M-54.9M-254.8K0.2014.09N/AN/A5,4851,11658,51224,893
2008-02-13$30.93$25.0079.5%18.9%70.9%48.2%65.4%7.7%-4.4%1.6M-64.9M-262.9K0.2010.87N/AN/A4,56191559,39825,491
2008-02-14$31.10$25.0067.3%19.3%66.1%38.2%66.4%9.1%-4.6%1.6M-70.4M-266.8K0.6414.98N/AN/A6,0653,88660,12625,743
2008-02-15$29.93$25.0057.0%16.3%69.2%29.6%60.4%5.1%3.3%10.9M-49.3M-252.4K0.4510.24N/AN/A10,6114,78861,74627,262
2008-02-19$30.65$25.0053.0%15.2%65.9%26.4%53.9%7.5%3.1%911.9K-41.3M-240.5K0.3511.89N/AN/A5,5231,95049,50820,793
2008-02-20$30.71$30.0052.8%15.1%63.1%26.2%53.2%8.5%1.8%1.0M-39.7M-250.0K0.4214.91N/AN/A2,9441,24851,82421,527
2008-02-21$29.94$30.0050.2%14.4%64.7%24.1%52.1%3.5%4.0%979.7K-33.1M-241.5K0.689.95N/AN/A2,5811,75252,84621,935
2008-02-22$30.58$30.0050.3%14.4%61.5%24.2%51.3%6.2%3.2%1.1M-39.1M-245.8K0.2620.88N/AN/A1,48538253,58721,751
2008-02-25$31.02$30.0050.3%14.4%60.4%24.2%54.0%6.4%2.0%1.2M-42.5M-239.7K0.7414.58N/AN/A2,9592,17853,88122,018
2008-02-26$31.09$30.0049.2%14.1%60.5%23.2%79.2%6.7%1.5%1.2M-43.0M-245.7K0.0113.31N/AN/A96,6521,15255,20322,983
2008-02-27$29.94$30.0046.4%13.3%56.0%20.9%50.0%4.2%4.1%1.1M-28.4M-235.8K1.1416.73N/AN/A1,6931,92252,51622,927
2008-02-28$29.20$30.0047.2%13.5%56.2%21.6%46.8%4.7%2.5%986.1K-22.6M-235.1K0.709.24N/AN/A2,1771,51652,84323,293
2008-02-29$28.50$30.0047.9%13.7%50.9%22.1%50.9%5.5%2.7%885.8K-16.6M-233.7K0.5117.48N/AN/A3,2921,67053,71523,582