DSX Options History — February 2009 In February 2009, DSX traded between $11.73 and $16.89. ATM implied volatility averaged 98.5%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 27.7%. IV traded below realized volatility by 11.5% (HV 20d: 110.1%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.75.
Notable Days 2009-02-20 : Highest Volume — 14,284 contracts2009-02-20 : Largest IV spike — 12.4% change2009-02-11 : Highest IV Rank — 55.4%2009-02-23 : Largest Expected Move — 30.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.93 $11.73 $16.89 $12.43 $11.73 Max Pain $15.13 $12.50 $17.50 $12.50 $15.00 ATM IV 98.5% 88.2% 106.7% 100.4% 98.9% Expected Move 27.7% 23.4% 30.4% 28.8% 28.3% HV 20d 110.1% 99.7% 121.0% 112.2% 102.7% HV 60d 122.3% 112.6% 133.8% 132.6% 112.6% IV Rank 49.8% 42.7% 55.4% 51.0% 50.0% IV Percentile 74.3% 66.7% 80.2% 78.2% 73.8% Term Structure -6.6% -12.4% 0.4% -4.7% -2.0% VWIV 97.0% 82.8% 111.0% 97.5% 100.3% Skew 25d 14.4% 9.1% 17.6% 14.4% 11.4% Skew 10d 29.4% 17.5% 56.3% 18.1% 17.5% Call IV 25d 91.4% 78.1% 105.5% 94.9% 97.9% Put IV 25d 105.9% 91.4% 117.3% 109.3% 109.3% Bid-Ask Spread % 16.06 7.90 29.02 12.27 18.29 Gamma HHI 0.30 0.24 0.38 0.27 0.38 Net GEX 147.9K -62.8K 368.5K 57.5K -62.8K Net DEX -3.0M -24.0M 9.0M 3.8M 9.0M Net VEX -90.9K -108.6K -75.4K -80.3K -75.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.11 1.84 0.56 0.86 Total Volume 5,492.053 1,133 14,284 1,133 2,577 Total OI 67,583.526 57,448 77,640 57,448 62,359
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-02-02 $12.43 $12.50 100.4% 28.8% 112.2% 51.0% 97.5% 14.4% -4.7% 57.5K 3.8M -80.3K 0.56 12.27 N/A N/A 726 407 28,180 29,268 2009-02-03 $13.49 $12.50 96.5% 27.7% 115.9% 48.3% 91.5% 17.1% -4.2% 114.9K -534.8K -84.4K 0.80 24.02 N/A N/A 1,750 1,394 28,271 29,474 2009-02-04 $15.00 $12.50 88.2% 25.3% 121.0% 42.7% 89.1% 13.6% 0.4% 173.7K -8.1M -91.7K 0.41 20.55 N/A N/A 8,787 3,602 28,675 30,092 2009-02-05 $15.65 $12.50 92.7% 26.6% 113.7% 45.8% 91.5% 15.4% -4.6% 241.8K -12.8M -102.2K 0.35 29.02 N/A N/A 3,213 1,110 32,470 31,864 2009-02-06 $16.63 $15.00 88.6% 23.4% 114.0% 42.9% 82.8% 13.4% -3.8% 288.9K -20.0M -106.8K 0.32 15.60 N/A N/A 5,311 1,692 34,102 32,396 2009-02-09 $16.89 $17.50 94.4% 24.3% 113.5% 46.9% 84.8% 13.7% -5.9% 368.5K -24.0M -108.6K 0.24 14.07 N/A N/A 4,441 1,051 37,021 33,013 2009-02-10 $15.03 $17.50 103.4% 26.8% 112.0% 53.1% 89.7% 17.3% -10.3% 315.7K -10.9M -104.2K 0.37 11.53 N/A N/A 5,346 1,981 38,296 33,162 2009-02-11 $14.54 $17.50 106.7% 28.1% 112.8% 55.4% 100.0% 16.4% -12.4% 264.6K -6.5M -103.0K 1.43 18.47 N/A N/A 3,436 4,926 38,424 33,702 2009-02-12 $15.48 $17.50 95.7% 27.4% 108.4% 47.9% 96.1% 17.6% -9.4% 306.7K -13.3M -108.0K 0.49 20.03 N/A N/A 2,502 1,223 39,115 36,074 2009-02-13 $15.09 $17.50 95.8% 27.5% 109.0% 47.9% 91.1% 16.4% -10.5% 320.0K -11.5M -105.4K 0.71 21.47 N/A N/A 2,277 1,624 39,902 36,172 2009-02-17 $13.81 $15.00 100.0% 28.7% 114.7% 50.8% 103.2% 16.7% -10.0% 204.5K -1.6M -93.2K 1.84 18.86 N/A N/A 1,315 2,418 39,896 36,355 2009-02-18 $13.63 $15.00 102.5% 29.4% 106.3% 52.5% 103.9% 15.6% -11.5% 190.0K 612.7K -88.3K 1.43 15.94 N/A N/A 3,559 5,101 40,373 37,008 2009-02-19 $14.09 $15.00 93.5% 26.8% 99.7% 46.3% 93.5% 9.8% -6.0% -9.3K -745.0K -82.9K 0.64 12.02 N/A N/A 3,761 2,401 39,479 37,540 2009-02-20 $12.57 $15.00 105.1% 30.1% 108.2% 54.3% 111.0% 16.0% -10.6% 211.1K 8.4M -80.5K 1.07 8.05 N/A N/A 6,885 7,399 40,216 37,424 2009-02-23 $11.81 $15.00 106.2% 30.4% 110.7% 55.0% 107.8% 11.8% -7.7% -61.9K 8.6M -77.4K 0.39 12.14 N/A N/A 2,231 866 27,583 32,006 2009-02-24 $12.62 $15.00 103.3% 29.6% 106.5% 53.0% 101.8% 14.1% -5.4% -28.8K 6.3M -80.2K 0.11 11.40 N/A N/A 3,608 404 27,970 32,154 2009-02-25 $12.32 $15.00 101.4% 29.1% 106.7% 51.8% 106.1% 14.1% -5.2% -28.6K 6.9M -79.5K 1.20 13.49 N/A N/A 1,085 1,299 29,430 32,369 2009-02-26 $11.85 $15.00 99.2% 28.4% 103.0% 50.2% 100.7% 9.1% -2.0% -56.1K 8.6M -75.5K 1.08 7.90 N/A N/A 1,268 1,373 29,654 32,598 2009-02-27 $11.73 $15.00 98.9% 28.3% 102.7% 50.0% 100.3% 11.4% -2.0% -62.8K 9.0M -75.4K 0.86 18.29 N/A N/A 1,385 1,192 29,566 32,793
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