DSX Options History — June 2009

In June 2009, DSX traded between $13.11 and $18.20. ATM implied volatility averaged 64.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 7.5% (HV 20d: 57.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-06-03: Highest Volume — 9,552 contracts
  • 2009-06-26: Largest IV drop — 13.6% change
  • 2009-06-08: Highest IV Rank — 22.1%
  • 2009-06-05: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.20$13.11$18.20$18.20$13.32
Max Pain$15.80$15.00$17.50$15.00$15.00
ATM IV64.9%56.2%70.4%60.3%62.3%
Expected Move18.6%16.1%19.7%17.3%17.9%
HV 20d57.4%48.4%78.7%77.4%49.2%
HV 60d73.8%66.3%79.4%78.0%66.3%
IV Rank17.9%11.2%22.1%14.4%15.9%
IV Percentile29.7%11.9%38.5%23.4%20.6%
Term Structure2.2%-1.3%6.1%0.4%4.6%
VWIV64.0%53.0%69.5%58.2%60.7%
Skew 25d8.2%0.6%14.6%10.8%0.6%
Skew 10d14.6%-18.2%41.8%15.8%-2.2%
Call IV 25d61.0%51.8%69.6%55.1%58.5%
Put IV 25d69.2%59.0%73.7%65.9%59.0%
Bid-Ask Spread %14.249.5223.4710.2112.19
Gamma HHI0.310.200.410.370.24
Net GEX477.6K50.6K831.8K831.8K122.3K
Net DEX-10.4M-38.8M2.8M-38.8M1.7M
Net VEX-96.9K-122.7K-69.6K-118.9K-77.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.051.670.180.73
Total Volume3,173.7739459,5525,9381,218
Total OI66,196.68236,28579,89973,63544,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$18.20$15.0060.3%17.3%77.4%14.4%58.2%10.8%0.4%831.8K-38.8M-118.9K0.1810.21N/AN/A5,02091843,10730,528
2009-06-02$17.78$15.0063.5%18.2%74.3%16.8%61.7%8.1%-0.9%826.3K-33.7M-119.3K0.389.76N/AN/A2,53696443,36230,686
2009-06-03$16.50$15.0066.3%19.0%78.7%18.9%67.9%4.6%-1.3%703.4K-21.7M-119.7K0.3910.42N/AN/A6,8572,69544,21731,064
2009-06-04$16.62$15.0063.9%18.3%73.5%17.1%65.1%5.1%-0.5%753.0K-23.1M-122.7K0.1716.14N/AN/A1,85031245,17731,846
2009-06-05$16.11$17.5065.6%19.7%58.7%18.4%61.9%9.7%0.3%725.4K-17.8M-115.6K0.0513.11N/AN/A2,89215145,72631,911
2009-06-08$15.74$17.5070.4%19.6%59.0%22.1%66.6%10.0%1.2%679.9K-14.0M-107.5K0.4023.47N/AN/A1,12344446,07931,693
2009-06-09$16.36$17.5062.4%17.7%59.6%15.9%63.5%11.2%2.5%797.7K-19.9M-109.6K0.4213.33N/AN/A1,17549545,61531,856
2009-06-10$16.18$17.5067.9%19.1%59.0%20.2%66.6%10.9%2.2%785.2K-17.5M-106.6K0.3417.04N/AN/A1,73659845,75532,083
2009-06-11$16.18$17.5067.0%19.2%52.0%19.5%62.9%10.9%1.0%783.5K-17.6M-106.9K0.2012.79N/AN/A1,72033745,86132,405
2009-06-12$15.75$17.5065.8%18.9%51.9%18.5%61.6%10.6%2.9%670.2K-13.4M-103.1K0.1411.80N/AN/A2,00628646,45232,430
2009-06-15$15.29$17.5067.3%19.3%52.2%19.7%67.1%9.7%1.7%567.1K-8.8M-95.8K0.549.52N/AN/A1,83199647,27432,501
2009-06-16$15.02$15.0067.1%19.2%50.1%19.5%65.9%8.8%1.9%505.2K-6.2M-92.9K0.3013.10N/AN/A1,86955447,24632,588
2009-06-17$14.72$15.0067.8%19.5%48.8%20.1%67.7%9.7%1.1%486.8K-3.4M-90.0K0.1718.52N/AN/A5,35288347,19232,707
2009-06-18$14.66$15.0067.2%19.3%48.7%19.6%69.0%8.9%0.7%321.0K-687.5K-87.2K0.6114.80N/AN/A71243345,48033,119
2009-06-19$14.36$15.0064.5%18.5%48.4%17.6%66.2%9.0%2.9%227.7K1.5M-82.7K1.6717.55N/AN/A8211,37445,20832,962
2009-06-22$13.11$15.0068.5%19.6%57.2%20.6%69.5%4.2%5.3%50.6K2.8M-69.6K0.4413.28N/AN/A3,6291,59922,01614,269
2009-06-23$13.42$15.0068.5%19.6%56.8%20.6%65.6%8.3%4.3%79.1K2.1M-74.9K0.2921.20N/AN/A4,8981,40723,46915,240
2009-06-24$13.76$15.0063.2%18.1%57.7%16.5%64.7%3.2%3.0%117.8K349.4K-81.8K0.2410.12N/AN/A3,15575324,78316,231
2009-06-25$13.70$15.0065.0%18.7%52.2%18.0%62.5%2.3%4.9%140.6K231.2K-82.4K0.4313.55N/AN/A78033226,50716,618
2009-06-26$13.82$15.0056.2%16.1%49.1%11.2%53.0%14.6%6.1%159.3K-644.4K-83.7K0.1414.47N/AN/A1,90126626,67516,778
2009-06-29$13.81$15.0057.4%16.4%48.6%12.1%60.0%9.7%3.8%172.5K-653.0K-84.1K0.5716.95N/AN/A60234327,81016,841
2009-06-30$13.32$15.0062.3%17.9%49.2%15.9%60.7%0.6%4.6%122.3K1.7M-77.6K0.7312.19N/AN/A70251628,04716,913