DSX Options History — January 2009

In January 2009, DSX traded between $10.83 and $15.04. ATM implied volatility averaged 98.6%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded below realized volatility by 12.9% (HV 20d: 111.5%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2009-01-06: Highest Volume — 6,547 contracts
  • 2009-01-12: Largest IV spike — 31.2% change
  • 2009-01-12: Highest IV Rank — 64.4%
  • 2009-01-20: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$10.83$15.04$13.92$13.29
Max Pain$13.75$12.50$17.50$17.50$12.50
ATM IV98.6%82.3%119.9%90.0%97.5%
Expected Move26.8%23.6%31.6%25.8%28.0%
HV 20d111.5%99.0%118.2%118.2%114.4%
HV 60d131.2%129.3%133.9%129.7%132.2%
IV Rank49.8%38.6%64.4%43.9%49.1%
IV Percentile76.7%67.9%87.3%73.8%76.6%
Term Structure-3.2%-7.0%0.0%-3.5%-6.9%
VWIV91.6%85.3%106.0%91.1%91.9%
Skew 25d14.7%8.6%20.0%8.6%17.6%
Skew 10d25.3%13.2%40.3%26.4%28.4%
Call IV 25d86.5%77.8%101.4%91.0%83.9%
Put IV 25d101.3%93.1%111.0%99.7%101.6%
Bid-Ask Spread %15.168.1221.758.1221.08
Gamma HHI0.310.250.450.320.25
Net GEX39.1K-62.5K163.9K-7.1K107.5K
Net DEX6.2M-1.7M12.1M8.5M-10.4K
Net VEX-77.6K-88.5K-62.6K-79.6K-85.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.081.020.110.94
Total Volume3,214.61,2666,5475,5802,981
Total OI63,080.145,27675,64867,63756,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$13.92$17.5090.0%25.8%118.2%43.9%91.1%8.6%-3.5%-7.1K8.5M-79.6K0.118.12N/AN/A5,02155933,30934,328
2009-01-05$14.32$12.5094.8%24.9%117.8%47.2%85.7%11.9%-3.4%61.5K6.3M-82.9K0.2814.32N/AN/A3,03685935,94834,521
2009-01-06$15.04$15.0097.4%25.1%117.6%49.0%86.8%13.8%-2.3%94.8K3.3M-87.1K0.0813.22N/AN/A6,08446336,77334,663
2009-01-07$13.39$15.00104.4%26.5%116.0%53.8%91.4%13.5%-1.9%90.6K8.8M-83.5K1.0217.74N/AN/A1,5981,63339,38134,908
2009-01-08$14.14$15.0093.0%24.9%113.9%46.0%85.7%15.2%-1.3%119.1K6.5M-86.8K0.1715.50N/AN/A1,07818839,32435,464
2009-01-09$14.69$15.0091.4%24.9%112.2%44.9%85.3%12.6%-0.1%163.9K3.3M-88.5K0.1212.09N/AN/A1,81022439,59935,427
2009-01-12$12.94$15.00119.9%27.5%116.1%64.4%90.8%14.2%-6.1%56.7K10.9M-77.6K0.5021.75N/AN/A2,3381,17439,56435,460
2009-01-13$13.22$15.00114.4%27.1%113.1%60.7%90.2%14.3%-4.1%-12.0K10.1M-74.4K0.7611.16N/AN/A80661639,83935,809
2009-01-14$12.05$15.00112.8%28.0%108.8%59.6%96.2%14.8%-6.5%-7.0K11.5M-70.0K0.2110.16N/AN/A1,74436940,10633,592
2009-01-15$11.96$15.0095.6%27.4%105.7%47.7%94.4%15.5%-2.7%-13.5K12.1M-68.8K0.5118.23N/AN/A2,2471,15340,35033,542
2009-01-16$12.10$12.5094.6%27.1%99.0%47.1%94.7%12.2%-1.9%-93811.9M-70.3K0.3915.22N/AN/A1,31151340,80434,075
2009-01-20$10.83$12.50110.3%31.6%100.2%57.8%106.0%9.6%-7.0%-62.5K8.6M-62.6K0.7310.75N/AN/A1,7951,31119,90425,372
2009-01-21$12.13$12.5094.8%27.2%109.5%47.2%92.8%19.6%-1.2%-27.2K5.9M-71.2K0.3919.23N/AN/A2,10681120,74226,168
2009-01-22$11.81$12.5098.8%28.3%106.2%50.0%96.8%12.4%-3.5%-25.8K6.5M-71.5K0.5012.51N/AN/A2,3411,16321,70626,664
2009-01-23$11.82$12.5094.9%27.2%106.2%47.3%93.1%18.2%-2.1%-19.8K6.5M-71.9K0.5010.34N/AN/A1,30765422,30426,885
2009-01-26$13.13$12.5095.2%27.3%112.6%47.4%90.2%18.5%-2.6%23.3K3.1M-75.4K0.1116.83N/AN/A3,46038122,60627,036
2009-01-27$12.92$12.5093.6%26.8%112.8%46.4%95.1%15.6%-1.5%32.4K2.9M-76.9K0.3717.19N/AN/A2,17279623,46427,143
2009-01-28$13.98$12.5082.3%23.6%114.8%38.6%87.3%16.0%0.0%100.6K-1.7M-82.1K0.4518.98N/AN/A3,7281,67424,97727,498
2009-01-29$13.60$12.5095.5%27.4%114.9%47.7%85.9%20.0%-5.3%107.2K-1.2M-86.2K0.3218.84N/AN/A2,11767127,27828,349
2009-01-30$13.29$12.5097.5%28.0%114.4%49.1%91.9%17.6%-6.9%107.5K-10.4K-85.7K0.9421.08N/AN/A1,5381,44327,94528,775