DSX Options History — November 2008

In November 2008, DSX traded between $7.84 and $17.23. ATM implied volatility averaged 127.6%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 35.1%. IV traded below realized volatility by 2.9% (HV 20d: 130.5%). Max pain ranged from $10.00 to $22.50. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.24.

Notable Days

  • 2008-11-12: Highest Volume — 10,619 contracts
  • 2008-11-06: Largest IV spike — 44.8% change
  • 2008-11-12: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 49.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.62$7.84$17.23$16.63$8.84
Max Pain$18.82$10.00$22.50$17.50$10.00
ATM IV127.6%91.9%171.8%102.0%118.9%
Expected Move35.1%26.4%49.3%29.3%34.1%
HV 20d130.5%99.9%151.6%117.0%148.2%
HV 60d101.4%83.6%114.3%83.8%114.2%
IV Rank75.9%52.9%100.0%61.0%63.7%
IV Percentile94.4%87.3%100.0%90.9%89.7%
Term Structure-11.8%-33.5%-0.3%-7.3%-6.4%
VWIV120.6%91.7%168.4%104.2%125.6%
Skew 25d20.4%12.3%38.9%14.5%21.6%
Skew 10d35.7%8.8%86.3%24.5%86.3%
Call IV 25d112.7%86.6%153.4%95.0%114.5%
Put IV 25d133.1%106.4%189.1%109.5%136.2%
Bid-Ask Spread %15.8711.9423.0520.9613.28
Gamma HHI0.400.170.710.170.54
Net GEX-17.2K-131.2K99.4K68.2K-50.0K
Net DEX24.5M18.1M31.7M19.4M18.8M
Net VEX-56.5K-105.5K-28.9K-100.9K-57.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.138.740.410.13
Total Volume4,316.94771110,6192,509711
Total OI84,46274,916105,31174,91687,306

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$16.63$17.50102.0%29.3%117.0%61.0%104.2%14.5%-7.3%68.2K19.4M-100.9K0.4120.96N/AN/A1,78072945,16129,755
2008-11-04$17.23$17.5091.9%26.4%100.0%52.9%91.7%21.5%-0.3%88.6K18.4M-104.7K0.4215.86N/AN/A1,58267245,22329,821
2008-11-05$17.22$17.5094.5%27.1%99.9%55.0%96.2%12.7%-5.0%99.4K18.1M-105.5K1.1723.05N/AN/A1,8012,11445,76430,231
2008-11-06$13.96$17.50136.9%39.2%124.0%89.0%133.9%14.1%-33.5%12.5K25.3M-72.6K0.5117.91N/AN/A2,9271,49946,58330,863
2008-11-07$14.43$22.50122.7%29.8%123.8%77.6%100.8%16.3%-9.6%30.4K25.6M-75.1K0.9920.94N/AN/A72571847,61631,180
2008-11-10$14.38$22.50127.5%29.9%118.9%81.4%100.9%15.0%-7.8%22.5K26.6M-69.9K0.1914.54N/AN/A1,56029747,85031,651
2008-11-11$13.93$22.50128.1%29.8%116.2%81.9%104.7%17.4%-7.7%15.5K27.8M-62.1K0.3816.45N/AN/A1,64762048,28931,745
2008-11-12$11.00$22.50157.2%35.0%137.3%100.0%113.7%22.0%-12.8%-29.2K28.4M-35.1K0.5717.61N/AN/A6,7763,84348,57332,142
2008-11-13$11.54$20.00110.9%31.8%138.9%64.8%117.5%18.9%-5.0%-20.8K27.7M-40.9K0.4916.16N/AN/A2,3791,17751,43133,116
2008-11-14$10.59$20.00120.2%34.5%138.9%71.8%121.2%12.3%-8.8%-24.6K26.6M-35.3K0.8912.19N/AN/A97887552,28733,334
2008-11-17$10.38$20.00121.7%34.9%130.6%73.0%117.1%15.8%-9.5%-42.7K27.2M-30.0K0.5711.94N/AN/A1,17166552,61933,475
2008-11-18$10.22$20.00116.6%33.4%129.9%69.1%116.1%20.2%-7.7%-37.9K26.9M-29.7K8.7417.73N/AN/A9027,88753,07933,093
2008-11-19$8.55$20.00133.3%38.2%139.4%81.8%124.0%12.4%-18.1%-40.9K27.7M-28.9K3.5512.84N/AN/A2,0467,27353,25939,481
2008-11-20$8.05$20.00171.8%49.3%139.7%100.0%168.4%38.3%-26.5%-62.7K27.9M-37.6K1.7617.99N/AN/A3,6966,51254,05744,649
2008-11-21$8.06$20.00165.4%47.4%140.0%95.6%167.8%30.6%-27.3%-131.2K31.7M-34.9K1.4213.88N/AN/A1,5832,25156,08049,231
2008-11-24$7.84$17.50149.3%42.8%140.0%84.6%144.4%31.7%-17.9%-74.0K21.8M-42.7K0.4611.96N/AN/A2,4271,10644,79941,925
2008-11-25$8.58$15.00136.2%39.1%146.3%75.6%121.9%38.9%-5.6%-80.2K21.0M-51.1K0.6313.03N/AN/A1,49693946,00338,629
2008-11-26$9.37$15.00119.3%34.2%151.6%64.0%121.0%14.2%-6.5%-70.4K19.6M-58.8K0.2913.29N/AN/A5,1581,50046,58637,892
2008-11-28$8.84$10.00118.9%34.1%148.2%63.7%125.6%21.6%-6.4%-50.0K18.8M-57.8K0.1313.28N/AN/A6298248,88038,426