DSX Options History — July 2008

In July 2008, DSX traded between $26.75 and $30.90. ATM implied volatility averaged 61.8%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 8.3% (HV 20d: 53.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2008-07-03: Highest Volume — 5,048 contracts
  • 2008-07-02: Largest IV spike — 11.7% change
  • 2008-07-03: Highest IV Rank — 34.7%
  • 2008-07-09: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.20$26.75$30.90$29.50$30.43
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV61.8%55.6%66.2%55.9%55.6%
Expected Move17.9%15.9%19.3%16.0%15.9%
HV 20d53.5%46.1%62.1%56.1%47.0%
HV 60d53.8%52.2%55.0%52.2%54.7%
IV Rank31.0%25.5%34.7%26.5%25.5%
IV Percentile57.8%40.1%71.8%48.4%40.1%
Term Structure-4.3%-8.1%5.0%3.5%-4.5%
VWIV62.2%55.9%68.0%56.5%55.9%
Skew 25d7.5%4.2%11.9%6.7%4.2%
Skew 10d12.4%-5.4%23.6%10.1%6.6%
Call IV 25d58.9%52.5%63.6%56.9%54.2%
Put IV 25d66.3%58.3%70.6%63.6%58.3%
Bid-Ask Spread %17.979.7025.2811.3420.25
Gamma HHI0.240.190.290.220.25
Net GEX359.4K109.3K626.8K302.0K626.8K
Net DEX1.9M-9.1M17.2M2.5M-7.2M
Net VEX-267.7K-302.3K-160.8K-299.6K-264.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.081.070.290.59
Total Volume2,601.4091,1135,0483,3193,757
Total OI69,462.45554,96175,66167,20470,192

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$29.50$35.0055.9%16.0%56.1%26.5%56.5%6.7%3.5%302.0K2.5M-299.6K0.2911.34N/AN/A2,57474541,63325,571
2008-07-02$27.47$35.0062.5%17.9%60.4%32.1%58.9%4.8%5.0%138.4K14.3M-263.8K0.3614.90N/AN/A2,63896142,56425,957
2008-07-03$26.75$35.0065.5%18.8%57.5%34.7%61.6%4.9%2.7%109.3K17.2M-252.5K0.569.70N/AN/A3,2441,80442,92326,323
2008-07-07$27.61$30.0062.0%19.1%58.2%31.7%68.0%5.8%-3.8%167.0K12.8M-265.1K0.3718.18N/AN/A3,4351,26643,57626,649
2008-07-08$29.06$30.0060.5%19.1%62.1%29.7%65.4%7.5%-7.5%298.8K4.5M-285.2K0.3015.14N/AN/A3,8281,13944,61727,140
2008-07-09$29.42$30.0062.7%19.3%61.3%31.6%67.1%7.5%-6.4%371.3K-386.9K-301.3K0.0815.03N/AN/A2,01716746,11227,575
2008-07-10$29.57$30.0066.1%19.0%58.4%34.6%66.7%8.3%-5.7%377.9K-174.0K-302.3K0.8014.76N/AN/A81064546,87727,545
2008-07-11$29.41$30.0065.5%18.8%56.9%34.1%65.7%6.8%-8.1%332.4K2.3M-292.0K0.4816.29N/AN/A1,57375046,97227,863
2008-07-14$29.54$30.0066.1%19.0%52.9%34.6%62.2%8.5%-7.5%220.2K4.1M-160.8K0.3219.94N/AN/A1,37543434,27620,685
2008-07-15$29.42$30.0066.2%19.0%48.9%34.7%65.8%6.1%-7.9%335.0K2.4M-283.8K0.5822.86N/AN/A96555847,29628,209
2008-07-16$30.21$30.0065.5%18.8%49.2%34.0%65.8%7.7%-7.4%429.1K-6.1M-294.4K0.6723.17N/AN/A1,20681047,45928,029
2008-07-17$29.71$30.0064.3%18.4%47.8%33.0%63.3%7.0%-7.5%406.9K-469.4K-287.6K0.2224.57N/AN/A91020347,67227,989
2008-07-18$29.10$30.0061.8%17.7%46.8%30.8%61.1%6.6%-4.2%330.1K5.2M-267.7K1.0712.04N/AN/A1,1941,27247,60527,938
2008-07-21$28.99$30.0059.0%16.9%46.1%28.4%57.8%8.5%-3.3%318.9K1.7M-255.2K0.2316.62N/AN/A1,58535939,34124,319
2008-07-22$29.52$30.0057.1%16.4%46.2%26.9%57.5%8.0%-3.0%388.1K-400.3K-259.7K0.2815.18N/AN/A1,00728240,28524,513
2008-07-23$30.90$30.0057.4%16.5%49.3%27.1%59.5%8.4%-6.4%577.5K-9.1M-275.7K0.1919.61N/AN/A2,29944240,75324,570
2008-07-24$28.64$30.0060.7%17.4%53.8%30.0%61.4%9.3%-3.9%373.2K2.4M-255.2K0.2015.03N/AN/A2,51450641,91224,646
2008-07-25$28.84$30.0059.6%17.1%53.9%29.0%60.0%7.9%-3.3%390.6K924.2K-255.6K0.4516.23N/AN/A77435141,79624,926
2008-07-28$28.33$30.0063.6%18.2%54.1%32.5%63.6%8.4%-3.0%333.6K4.5M-245.7K0.4625.28N/AN/A97344842,22225,066
2008-07-29$29.73$30.0060.6%17.4%55.9%29.8%61.7%9.6%-5.1%491.4K-2.8M-258.6K0.4924.87N/AN/A1,36167142,59025,299
2008-07-30$30.17$30.0061.8%17.7%54.2%30.9%63.5%11.9%-7.6%589.0K-6.9M-263.9K0.4724.26N/AN/A2,3031,07643,21225,477
2008-07-31$30.43$30.0055.6%15.9%47.0%25.5%55.9%4.2%-4.5%626.8K-7.2M-264.3K0.5920.25N/AN/A2,3661,39144,31325,879