DSX Options History — September 2008

In September 2008, DSX traded between $19.21 and $26.96. ATM implied volatility averaged 64.6%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 4.9% (HV 20d: 59.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2008-09-23: Highest Volume — 7,340 contracts
  • 2008-09-29: Largest IV spike — 46.9% change
  • 2008-09-29: Highest IV Rank — 63.9%
  • 2008-09-29: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$19.21$26.96$26.96$19.69
Max Pain$29.29$25.00$35.00$30.00$25.00
ATM IV64.6%49.7%100.2%50.0%81.2%
Expected Move18.3%14.3%28.7%14.3%23.3%
HV 20d59.8%44.2%76.2%46.5%76.2%
HV 60d55.4%51.5%59.5%51.5%59.4%
IV Rank33.3%20.5%63.9%20.7%47.6%
IV Percentile60.9%21.0%98.0%22.6%92.1%
Term Structure-0.7%-8.4%9.6%1.4%1.5%
VWIV63.8%47.5%103.3%47.6%76.8%
Skew 25d4.6%-0.5%11.1%3.2%3.7%
Skew 10d9.1%-6.7%28.9%13.2%-6.7%
Call IV 25d63.1%46.7%101.0%46.7%84.0%
Put IV 25d67.7%49.9%105.9%49.9%87.7%
Bid-Ask Spread %21.749.8749.5815.3621.13
Gamma HHI0.220.150.430.210.18
Net GEX-120.1K-304.0K83.3K-30.6K-5.8K
Net DEX28.5M15.4M39.3M27.1M25.2M
Net VEX-151.7K-186.2K-126.4K-186.2K-138.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.262.460.380.63
Total Volume3,353.6671,4477,3402,7391,759
Total OI73,496.47653,92182,39474,45068,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$26.96$30.0050.0%14.3%46.5%20.7%47.6%3.2%1.4%-30.6K27.1M-186.2K0.3815.36N/AN/A1,98975045,31829,132
2008-09-03$25.81$30.0049.7%14.3%48.0%20.5%47.5%2.2%-0.3%-193.3K30.2M-163.7K0.4512.48N/AN/A3,3761,51945,80828,525
2008-09-04$24.23$30.0052.9%15.2%47.9%23.2%54.2%-0.5%-0.6%-304.0K36.8M-144.3K1.2813.82N/AN/A1,3251,70246,43929,578
2008-09-05$23.88$35.0057.1%15.3%46.3%26.9%54.0%2.8%-1.9%-299.5K36.3M-147.0K0.7310.66N/AN/A2,7492,00446,72729,501
2008-09-08$23.42$35.0061.5%16.7%44.2%30.6%57.3%1.5%-0.6%-271.0K35.2M-149.0K0.449.87N/AN/A2,26999448,11929,888
2008-09-09$21.32$35.0065.4%17.3%48.0%33.9%59.9%0.6%-3.0%-185.9K39.3M-126.4K0.6021.47N/AN/A2,4731,49049,52130,001
2008-09-10$22.69$30.0063.5%17.4%55.9%32.3%60.2%4.1%-3.3%-201.2K34.6M-149.3K0.9714.81N/AN/A1,4161,37049,97030,035
2008-09-11$23.84$30.0058.9%16.9%57.8%28.4%59.9%3.7%-4.3%-201.6K30.3M-162.7K0.2812.68N/AN/A2,32866050,11630,198
2008-09-12$24.18$30.0058.0%16.6%58.2%27.6%60.9%5.0%-3.1%-173.6K27.9M-166.0K0.5219.15N/AN/A95149650,58930,321
2008-09-15$22.78$30.0068.1%19.5%59.7%36.3%69.5%4.9%-8.4%-184.6K33.4M-150.9K0.7519.29N/AN/A1,24894050,59430,483
2008-09-16$23.16$30.0066.0%18.9%60.3%34.5%65.0%4.4%-4.8%-186.7K32.0M-157.1K0.4622.56N/AN/A1,41565150,79330,885
2008-09-17$23.17$30.0070.5%20.2%60.4%38.3%68.9%7.7%-6.4%-167.8K30.5M-159.8K0.7323.51N/AN/A1,11381251,02330,657
2008-09-18$23.71$30.0071.9%20.6%60.3%39.6%70.7%11.1%-4.7%-158.8K28.0M-166.1K0.6328.22N/AN/A1,6751,05951,17930,500
2008-09-19$24.78$30.0055.8%16.0%63.4%25.7%57.4%9.0%4.9%-268.5K23.6M-170.1K0.6549.58N/AN/A2,2151,43551,84830,546
2008-09-22$23.74$30.0060.5%17.3%64.6%29.7%55.3%5.8%6.0%60.3K15.4M-151.2K0.2642.90N/AN/A2,48464732,13621,785
2008-09-23$21.67$25.0067.4%19.3%70.6%35.7%68.4%7.7%2.8%61.1K20.0M-133.6K0.6522.84N/AN/A4,4582,88234,28622,048
2008-09-24$21.68$25.0065.4%18.8%70.8%34.0%65.6%3.3%1.6%63.4K21.6M-140.4K0.6914.50N/AN/A3,7682,58636,83024,314
2008-09-25$21.59$25.0064.7%18.5%70.2%33.3%66.1%5.8%2.5%83.3K21.8M-147.0K2.3519.75N/AN/A8211,93238,88324,864
2008-09-26$21.17$25.0068.3%19.6%69.9%36.4%70.9%5.9%9.6%64.4K22.2M-145.3K2.4616.46N/AN/A1,1462,82139,26425,579
2008-09-29$19.21$25.00100.2%28.7%75.7%63.9%103.3%4.9%-4.3%-21.9K27.6M-130.5K0.7545.53N/AN/A1,5401,15939,72927,378
2008-09-30$19.69$25.0081.2%23.3%76.2%47.6%76.8%3.7%1.5%-5.8K25.2M-138.8K0.6321.13N/AN/A1,07968040,45327,583