DSX Options History — March 2008

In March 2008, DSX traded between $23.42 and $29.58. ATM implied volatility averaged 61.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 1.3% (HV 20d: 62.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-03-20: Highest Volume — 9,001 contracts
  • 2008-03-10: Largest IV spike — 32.7% change
  • 2008-03-10: Highest IV Rank — 39.3%
  • 2008-03-17: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.21$23.42$29.58$28.00$26.32
Max Pain$27.75$25.00$30.00$30.00$25.00
ATM IV61.2%47.3%69.3%50.6%64.3%
Expected Move17.4%13.6%19.9%14.5%18.4%
HV 20d62.6%47.2%76.9%49.9%76.9%
HV 60d67.9%63.3%72.2%63.4%71.2%
IV Rank32.4%21.7%39.3%24.4%34.5%
IV Percentile65.3%48.4%78.6%55.2%66.3%
Term Structure-0.7%-5.8%3.4%-0.1%1.0%
VWIV60.9%49.3%81.4%53.7%57.1%
Skew 25d8.7%2.2%16.8%3.9%16.7%
Skew 10d16.0%1.7%40.2%4.4%38.2%
Call IV 25d57.6%47.6%69.0%53.0%53.8%
Put IV 25d66.3%56.9%79.5%56.9%70.5%
Bid-Ask Spread %15.799.2923.1510.7623.15
Gamma HHI0.310.220.440.380.30
Net GEX365.8K-100.9K1.1M758.0K384.4K
Net DEX-3.8M-30.6M16.3M-12.9M-7.8M
Net VEX-197.3K-238.6K-152.1K-223.2K-213.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.304.800.770.36
Total Volume3,810.51,4779,0011,4772,824
Total OI73,985.7548,65985,40878,28662,884

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$28.00$30.0050.6%14.5%49.9%24.4%53.7%3.9%-0.1%758.0K-12.9M-223.2K0.7710.76N/AN/A83464354,20524,081
2008-03-04$27.83$30.0050.0%14.3%47.2%23.8%53.9%8.6%-0.0%700.2K-11.5M-219.6K0.909.29N/AN/A1,2001,07754,36523,782
2008-03-05$29.58$30.0047.3%13.6%47.9%21.7%49.3%9.8%3.4%1.1M-30.6M-238.6K0.3013.25N/AN/A2,47674754,69923,839
2008-03-06$28.88$30.0050.5%14.5%49.1%24.3%51.0%6.5%0.8%961.5K-23.5M-230.8K1.1213.49N/AN/A1,0821,21755,38723,822
2008-03-07$28.09$30.0051.7%15.3%49.2%25.3%54.0%4.3%0.9%754.8K-15.0M-224.1K0.4322.76N/AN/A1,26955255,77824,189
2008-03-10$25.44$30.0068.6%18.3%59.0%39.3%62.5%5.7%-3.7%255.5K4.0M-185.6K0.6912.87N/AN/A4,9013,38555,66923,423
2008-03-11$26.94$30.0066.3%17.9%57.5%37.3%59.7%5.9%-3.4%519.3K-6.8M-203.1K0.359.41N/AN/A1,52552956,21024,426
2008-03-12$25.73$30.0063.1%17.8%59.2%33.5%61.1%5.0%-2.5%203.9K1.9M-184.7K0.6616.37N/AN/A1,04068556,37024,431
2008-03-13$24.81$30.0063.2%18.1%58.2%33.6%63.1%3.9%-3.0%24.9K8.3M-173.1K0.3710.19N/AN/A2,18079856,69624,486
2008-03-14$24.23$30.0065.0%18.6%58.0%35.1%65.8%4.5%-3.6%5.0K11.4M-166.5K0.8611.41N/AN/A1,9311,67057,10024,505
2008-03-17$23.50$30.0069.3%19.9%57.6%38.7%66.9%3.9%-5.8%-91.1K16.3M-152.1K0.5822.51N/AN/A3,5162,02556,98525,089
2008-03-18$25.24$25.0061.9%17.7%63.7%32.5%60.7%8.2%-1.8%-100.9K4.1M-177.7K0.3518.73N/AN/A2,86399358,55425,750
2008-03-19$23.42$25.0069.2%19.8%67.6%38.6%68.9%2.2%-3.7%-38.7K14.2M-162.1K0.6314.39N/AN/A2,2721,43459,57825,427
2008-03-20$24.43$25.0066.8%19.2%70.2%36.6%81.4%16.8%-2.9%110.7K10.1M-167.8K4.8019.38N/AN/A1,5527,44960,31725,091
2008-03-24$26.37$25.0063.0%18.1%76.0%33.4%58.9%13.8%1.8%297.2K-7.5M-184.0K0.3119.84N/AN/A5,8011,80129,76618,893
2008-03-25$26.31$25.0065.3%18.7%75.6%35.3%74.3%15.1%0.9%403.1K-8.7M-200.2K3.1514.11N/AN/A1,8405,79733,40619,735
2008-03-26$26.13$25.0063.4%18.2%75.5%33.8%61.7%13.6%2.4%293.2K-5.9M-208.3K0.5415.20N/AN/A1,19664134,25724,722
2008-03-27$27.05$25.0063.1%18.1%76.1%33.5%54.2%13.9%2.6%422.2K-11.2M-220.1K0.3920.10N/AN/A1,75767934,96425,232
2008-03-28$25.97$25.0061.8%17.7%76.9%32.4%59.4%11.6%2.5%309.3K-5.4M-211.1K0.3218.54N/AN/A1,53749236,02925,573
2008-03-31$26.32$25.0064.3%18.4%76.9%34.5%57.1%16.7%1.0%384.4K-7.8M-213.4K0.3623.15N/AN/A2,08274237,19525,689