DSX Options History — May 2009

In May 2009, DSX traded between $14.14 and $18.52. ATM implied volatility averaged 67.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 10.7% (HV 20d: 78.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2009-05-07: Highest Volume — 15,229 contracts
  • 2009-05-14: Largest IV drop — 16.7% change
  • 2009-05-13: Highest IV Rank — 41.5%
  • 2009-05-13: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.21$14.14$18.52$16.41$18.03
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV67.9%55.9%86.5%62.3%58.6%
Expected Move18.8%16.0%21.7%17.8%16.8%
HV 20d78.6%66.3%86.7%66.6%78.7%
HV 60d89.8%78.1%94.0%92.3%78.1%
IV Rank24.2%10.9%41.5%24.9%13.0%
IV Percentile35.0%16.7%52.0%32.9%21.4%
Term Structure0.2%-4.7%4.5%-2.1%1.9%
VWIV65.4%59.0%77.9%65.3%59.0%
Skew 25d10.9%6.2%14.2%6.2%8.6%
Skew 10d20.9%-8.8%39.2%-8.8%17.4%
Call IV 25d61.2%55.7%72.4%63.0%55.7%
Put IV 25d72.1%64.3%84.3%69.1%64.3%
Bid-Ask Spread %12.948.3419.1810.169.78
Gamma HHI0.330.250.690.340.37
Net GEX554.1K334.5K1.5M481.4K778.7K
Net DEX-19.2M-38.1M-3.3M-19.9M-35.9M
Net VEX-105.9K-120.9K-92.5K-92.5K-120.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.161.530.390.28
Total Volume5,302.7589815,2294,2576,403
Total OI66,390.5555,17872,10155,17872,101

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$16.41$15.0062.3%17.8%66.6%24.9%65.3%6.2%-2.1%481.4K-19.9M-92.5K0.3910.16N/AN/A3,0591,19831,49123,687
2009-05-04$17.57$15.0070.8%18.2%68.3%30.8%64.8%11.9%1.1%502.1K-29.3M-95.3K0.4013.05N/AN/A7,3582,90733,00424,078
2009-05-05$17.20$15.0074.9%18.9%68.7%33.5%66.7%12.2%-0.8%488.9K-26.3M-99.8K0.6313.53N/AN/A3,0071,89035,10925,904
2009-05-06$18.52$15.0065.8%18.4%66.3%27.3%62.6%12.3%0.3%463.6K-38.1M-100.6K0.1914.66N/AN/A7,3881,41536,00027,089
2009-05-07$16.30$15.0070.1%19.5%84.3%30.3%72.1%14.0%-2.6%471.9K-18.9M-108.1K0.7314.89N/AN/A8,8096,42038,20027,518
2009-05-08$16.01$15.0073.9%21.0%83.1%32.9%68.2%14.1%-3.9%528.6K-20.2M-109.7K0.2615.35N/AN/A3,39787541,06228,842
2009-05-11$15.57$15.0080.4%21.3%81.6%37.4%71.3%11.9%-3.7%516.5K-16.5M-105.4K0.3411.99N/AN/A1,72958641,18329,150
2009-05-12$15.20$15.0082.1%21.3%82.2%38.5%73.5%12.6%-4.7%517.3K-13.1M-104.7K0.2011.23N/AN/A4,82098841,96229,416
2009-05-13$14.14$15.0086.5%21.7%86.6%41.5%77.9%11.9%-4.5%345.4K-3.3M-99.1K0.6311.14N/AN/A1,7791,11441,88129,959
2009-05-14$14.69$15.0072.1%20.7%86.7%31.6%71.5%11.6%-2.0%500.2K-7.5M-100.3K0.3011.92N/AN/A2,17364841,74730,325
2009-05-15$15.12$15.0068.3%19.6%85.4%20.5%67.6%10.5%1.1%1.5M-15.5M-99.7K0.2612.86N/AN/A7,0341,85541,84030,040
2009-05-18$15.78$15.0065.6%18.8%82.7%18.4%62.8%14.2%0.7%334.5K-12.6M-105.2K0.968.34N/AN/A1,3681,30832,80427,030
2009-05-19$16.29$15.0058.8%16.9%80.1%13.2%60.5%9.1%3.3%404.2K-16.4M-106.6K0.2711.12N/AN/A5,0741,39333,76227,649
2009-05-20$16.11$15.0064.2%18.4%80.2%17.3%61.7%7.8%4.0%472.7K-16.9M-111.5K0.6513.07N/AN/A2,0501,33636,58728,116
2009-05-21$15.68$15.0063.0%18.1%80.8%16.4%59.4%10.2%4.4%441.3K-13.6M-110.9K0.4915.10N/AN/A1,87291137,32128,945
2009-05-22$15.72$15.0061.6%17.6%78.5%15.3%62.1%9.6%4.4%474.3K-14.2M-112.1K1.5315.17N/AN/A35554338,35129,268
2009-05-26$16.18$15.0063.9%18.3%76.7%17.1%60.3%9.1%3.4%556.3K-17.6M-109.1K0.2814.49N/AN/A2,51069838,53329,310
2009-05-27$16.35$15.0055.9%16.0%76.5%10.9%59.3%9.8%4.5%619.2K-19.5M-111.0K0.7419.18N/AN/A1,9031,40339,43529,443
2009-05-28$17.32$15.0060.0%17.2%78.4%14.1%60.9%10.4%-0.0%679.5K-27.8M-116.4K0.1611.69N/AN/A5,59688339,85629,813
2009-05-29$18.03$15.0058.6%16.8%78.7%13.0%59.0%8.6%1.9%778.7K-35.9M-120.9K0.289.78N/AN/A5,0021,40142,02330,078