DSX Options History — July 2009 In July 2009, DSX traded between $12.42 and $14.98. ATM implied volatility averaged 56.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 13.7% (HV 20d: 42.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2009-07-14 : Highest Volume — 4,847 contracts2009-07-14 : Largest IV drop — 16.8% change2009-07-06 : Highest IV Rank — 20.1%2009-07-08 : Largest Expected Move — 19.2%Monthly Statistics Metric Avg Min Max Open Close Price $13.89 $12.42 $14.98 $13.24 $14.24 Max Pain $12.73 $12.50 $15.00 $15.00 $12.50 ATM IV 56.6% 49.2% 67.8% 62.5% 49.8% Expected Move 16.4% 14.1% 19.2% 17.9% 14.3% HV 20d 42.9% 36.3% 50.0% 43.8% 36.3% HV 60d 61.1% 54.1% 66.2% 66.2% 54.1% IV Rank 11.5% 5.8% 20.1% 16.0% 6.3% IV Percentile 13.9% 4.8% 34.1% 21.4% 6.3% Term Structure 0.8% -1.7% 3.1% 3.1% 1.5% VWIV 57.4% 49.2% 66.8% 61.0% 50.3% Skew 25d 6.5% -3.6% 10.5% 1.7% 10.5% Skew 10d 9.2% -9.5% 36.6% -3.0% 18.4% Call IV 25d 54.7% 43.9% 63.9% 56.8% 43.9% Put IV 25d 61.2% 54.5% 71.9% 58.5% 54.5% Bid-Ask Spread % 17.35 8.83 29.91 15.03 13.42 Gamma HHI 0.30 0.22 0.45 0.24 0.36 Net GEX 258.0K 54.0K 484.4K 112.1K 395.8K Net DEX -2.7M -9.2M 4.8M 2.0M -5.7M Net VEX -79.6K -87.6K -67.5K -76.6K -83.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.11 0.83 0.26 0.56 Total Volume 1,999.591 699 4,847 3,552 699 Total OI 47,226.591 40,743 53,639 45,333 48,591
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 2009-07-01 $13.24 $15.00 62.5% 17.9% 43.8% 16.0% 61.0% 1.7% 3.1% 112.1K 2.0M -76.6K 0.26 15.03 N/A N/A 2,811 741 28,291 17,042 2009-07-02 $12.83 $15.00 62.9% 18.0% 43.8% 16.3% 61.1% -3.6% 2.0% 73.8K 3.9M -73.0K 0.14 8.83 N/A N/A 1,625 221 29,038 17,078 2009-07-06 $12.42 $12.50 67.8% 19.1% 43.8% 20.1% 66.8% 8.0% -0.7% 54.0K 4.8M -67.5K 0.53 12.31 N/A N/A 1,129 600 29,838 17,111 2009-07-07 $12.93 $12.50 63.8% 19.2% 47.5% 17.0% 64.5% 8.8% -1.7% 96.4K 2.6M -73.0K 0.36 23.41 N/A N/A 1,547 554 30,320 17,031 2009-07-08 $12.92 $12.50 65.0% 19.2% 44.1% 17.9% 64.8% 8.4% -1.0% 101.3K 2.3M -72.9K 0.34 23.37 N/A N/A 1,504 504 30,500 17,056 2009-07-09 $13.12 $12.50 63.5% 18.8% 45.2% 16.8% 63.8% 8.5% -1.2% 120.6K 1.8M -72.7K 0.11 22.81 N/A N/A 1,331 142 30,698 16,933 2009-07-10 $13.21 $12.50 62.6% 18.8% 45.4% 16.1% 64.0% 9.1% -0.6% 131.0K 1.1M -75.0K 0.83 20.47 N/A N/A 1,422 1,181 31,313 16,934 2009-07-13 $13.29 $12.50 65.6% 18.9% 45.3% 18.4% 63.9% 7.7% -1.5% 106.6K 753.2K -74.2K 0.29 25.36 N/A N/A 656 192 32,147 17,411 2009-07-14 $14.00 $12.50 54.6% 17.1% 49.4% 9.9% 61.9% 9.6% -1.0% 275.6K -2.9M -81.5K 0.34 29.91 N/A N/A 3,624 1,223 32,475 17,451 2009-07-15 $14.29 $12.50 57.8% 16.7% 49.9% 12.4% 59.8% 7.4% 1.1% 350.0K -4.3M -87.6K 0.28 15.35 N/A N/A 1,398 390 34,227 19,017 2009-07-16 $14.38 $12.50 58.0% 16.6% 49.5% 12.5% 59.7% 7.0% 0.8% 484.4K -5.2M -86.6K 0.16 22.51 N/A N/A 1,222 197 35,652 17,987 2009-07-17 $14.21 $12.50 56.7% 16.3% 49.6% 11.6% 56.8% 7.4% 1.6% 203.4K -3.5M -81.7K 0.29 16.34 N/A N/A 1,182 340 33,765 17,794 2009-07-20 $14.57 $12.50 52.6% 15.1% 50.0% 8.4% 53.8% 7.9% 1.9% 249.9K -5.5M -81.5K 0.30 13.27 N/A N/A 2,662 793 26,118 14,625 2009-07-21 $14.46 $12.50 51.7% 14.8% 36.6% 7.7% 52.7% 3.0% 1.3% 297.1K -5.6M -80.8K 0.36 15.49 N/A N/A 2,446 880 27,682 14,751 2009-07-22 $14.18 $12.50 51.7% 14.8% 36.9% 7.7% 51.9% 4.9% 0.5% 285.1K -4.5M -81.2K 0.16 11.80 N/A N/A 1,646 271 28,943 15,069 2009-07-23 $14.52 $12.50 49.2% 14.1% 36.8% 5.8% 51.2% 6.7% 2.3% 356.4K -6.3M -83.5K 0.57 10.72 N/A N/A 832 476 29,692 14,929 2009-07-24 $14.60 $12.50 49.3% 14.1% 36.7% 5.9% 51.3% 7.7% 2.2% 379.6K -7.2M -85.1K 0.51 16.29 N/A N/A 631 323 29,959 15,072 2009-07-27 $14.98 $12.50 49.2% 14.1% 37.5% 5.8% 49.2% 9.1% 3.0% 433.0K -9.2M -85.4K 0.43 16.07 N/A N/A 1,076 460 30,256 15,216 2009-07-28 $14.76 $12.50 49.9% 14.3% 38.1% 6.4% 50.6% 6.4% 2.3% 414.5K -7.9M -84.9K 0.32 24.46 N/A N/A 709 228 30,717 15,466 2009-07-29 $14.18 $12.50 52.0% 14.9% 38.7% 8.0% 53.3% 3.4% 0.9% 347.8K -4.6M -79.8K 0.28 12.16 N/A N/A 1,806 504 31,124 15,596 2009-07-30 $14.28 $12.50 49.9% 14.3% 38.5% 6.3% 50.0% 3.0% 2.2% 406.4K -6.2M -84.0K 0.30 12.28 N/A N/A 1,398 415 32,360 15,710 2009-07-31 $14.24 $12.50 49.8% 14.3% 36.3% 6.3% 50.3% 10.5% 1.5% 395.8K -5.7M -83.6K 0.56 13.42 N/A N/A 448 251 32,652 15,939
« Jun 2009 | All History | Aug 2009 » Home DSX History July 2009