DSX Options History — March 2009 In March 2009, DSX traded between $10.15 and $13.54. ATM implied volatility averaged 95.9%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 27.2%. IV traded below realized volatility by 12.4% (HV 20d: 108.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2009-03-02 : Highest Volume — 6,766 contracts2009-03-30 : Largest IV spike — 14.4% change2009-03-02 : Highest IV Rank — 62.6%2009-03-02 : Largest Expected Move — 33.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.43 $10.15 $13.54 $10.15 $11.79 Max Pain $12.95 $12.50 $15.00 $15.00 $12.50 ATM IV 95.9% 82.9% 117.3% 117.3% 90.2% Expected Move 27.2% 23.8% 33.6% 33.6% 25.9% HV 20d 108.3% 99.0% 121.1% 113.7% 99.0% HV 60d 109.6% 103.7% 119.3% 116.2% 107.1% IV Rank 48.0% 39.0% 62.6% 62.6% 44.1% IV Percentile 65.1% 52.0% 85.3% 85.3% 56.3% Term Structure -0.2% -7.2% 7.3% -7.2% 3.3% VWIV 94.1% 80.6% 115.8% 115.8% 91.6% Skew 25d 14.6% 8.7% 18.5% 18.5% 13.8% Skew 10d 27.8% 1.9% 41.0% 28.7% 41.0% Call IV 25d 89.0% 75.7% 110.4% 110.4% 87.9% Put IV 25d 103.7% 91.3% 129.0% 129.0% 101.7% Bid-Ask Spread % 16.94 7.99 26.50 7.99 15.09 Gamma HHI 0.29 0.21 0.52 0.50 0.24 Net GEX 61.5K -122.9K 350.3K -122.9K 92.4K Net DEX 3.4M -3.4M 13.8M 13.8M 772.1K Net VEX -73.6K -82.2K -61.4K -61.4K -73.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.09 3.39 0.62 0.64 Total Volume 2,876.182 1,236 6,766 6,766 1,411 Total OI 60,113.773 36,857 71,778 63,201 45,927
Daily Data (22 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 2009-03-02 $10.15 $15.00 117.3% 33.6% 113.7% 62.6% 115.8% 18.5% -7.2% -122.9K 13.8M -61.4K 0.62 7.99 N/A N/A 4,189 2,577 29,709 33,492 2009-03-03 $10.66 $15.00 114.8% 32.9% 113.9% 60.9% 109.0% 16.1% -5.7% -112.4K 12.5M -67.2K 0.73 15.51 N/A N/A 1,064 773 31,090 34,126 2009-03-04 $12.23 $15.00 104.2% 29.9% 121.1% 53.6% 106.2% 8.7% -4.7% -21.2K 6.4M -78.9K 0.19 12.23 N/A N/A 5,301 1,025 31,506 33,909 2009-03-05 $12.09 $15.00 107.2% 30.7% 113.8% 55.7% 107.7% 11.6% -6.7% -1.4K 6.3M -81.2K 0.23 9.02 N/A N/A 1,427 328 33,844 34,254 2009-03-06 $11.86 $12.50 104.4% 28.8% 112.1% 53.8% 105.3% 15.6% -4.4% -20.4K 7.0M -77.9K 0.52 14.24 N/A N/A 1,385 725 34,067 34,420 2009-03-09 $12.38 $12.50 108.2% 28.9% 110.7% 56.4% 98.1% 16.3% -5.2% 11.1K 5.4M -77.9K 0.09 18.67 N/A N/A 1,945 171 33,964 34,515 2009-03-10 $13.53 $12.50 102.5% 28.0% 116.3% 52.5% 93.4% 14.6% -2.3% 115.9K 31.0K -82.2K 0.15 14.98 N/A N/A 3,132 469 33,921 34,612 2009-03-11 $12.91 $12.50 102.9% 28.5% 110.3% 52.7% 100.0% 16.4% -4.3% 58.4K 3.4M -76.3K 3.39 17.02 N/A N/A 640 2,168 33,921 34,489 2009-03-12 $13.47 $12.50 95.0% 27.2% 111.3% 47.3% 92.1% 14.6% -0.7% 96.6K 1.4M -78.4K 1.55 17.41 N/A N/A 876 1,362 34,054 35,649 2009-03-13 $12.83 $12.50 95.5% 27.4% 109.5% 47.7% 96.1% 17.5% -2.1% 51.2K 4.3M -75.4K 0.35 19.53 N/A N/A 915 322 34,562 35,426 2009-03-16 $12.35 $12.50 94.1% 27.0% 109.8% 46.7% 93.0% 17.8% -1.0% 32.8K 5.8M -70.3K 0.58 18.01 N/A N/A 987 568 35,113 35,213 2009-03-17 $12.63 $12.50 91.1% 26.1% 106.3% 44.7% 90.2% 15.7% 1.1% 86.4K 4.7M -70.1K 0.19 24.72 N/A N/A 1,039 197 35,346 35,213 2009-03-18 $12.90 $12.50 90.2% 25.9% 106.6% 44.0% 90.7% 16.0% 2.5% 148.3K 3.1M -69.2K 0.25 26.50 N/A N/A 1,055 267 35,485 35,192 2009-03-19 $13.54 $12.50 88.7% 25.4% 107.4% 43.0% 83.8% 13.5% 1.4% 49.9K -498.6K -70.0K 0.14 17.06 N/A N/A 2,724 372 35,702 35,245 2009-03-20 $12.34 $12.50 87.7% 25.1% 104.7% 42.3% 88.9% 12.6% 4.8% 350.3K 7.7M -66.9K 0.69 22.96 N/A N/A 1,804 1,245 36,438 35,340 2009-03-23 $13.17 $12.50 85.3% 24.5% 104.6% 40.7% 84.2% 14.8% 4.9% 64.7K -1.5M -70.3K 0.25 24.15 N/A N/A 4,627 1,161 18,948 17,909 2009-03-24 $12.77 $12.50 86.0% 24.6% 102.7% 41.2% 83.3% 14.1% 4.1% 91.7K -1.7M -74.6K 0.24 9.89 N/A N/A 1,422 335 21,664 18,483 2009-03-25 $12.39 $12.50 83.4% 23.9% 102.9% 39.4% 83.7% 12.6% 5.7% 84.9K -355.7K -72.1K 0.40 15.47 N/A N/A 1,937 777 22,388 18,587 2009-03-26 $12.75 $12.50 83.9% 24.0% 102.3% 39.7% 82.2% 17.6% 5.0% 99.1K -1.6M -75.5K 0.18 13.25 N/A N/A 1,673 307 22,604 19,049 2009-03-27 $13.20 $12.50 82.9% 23.8% 102.8% 39.0% 80.6% 13.3% 7.3% 122.3K -3.4M -80.3K 0.17 15.13 N/A N/A 3,156 536 23,444 19,285 2009-03-30 $11.58 $12.50 94.8% 27.2% 100.2% 47.2% 95.1% 10.7% -1.1% 75.5K 1.5M -69.2K 0.24 23.91 N/A N/A 3,935 947 24,903 19,495 2009-03-31 $11.79 $12.50 90.2% 25.9% 99.0% 44.1% 91.6% 13.8% 3.3% 92.4K 772.1K -73.7K 0.64 15.09 N/A N/A 862 549 26,090 19,837
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