DSX Options History — August 2009

In August 2009, DSX traded between $12.78 and $14.73. ATM implied volatility averaged 52.5%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 12.4% (HV 20d: 40.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2009-08-07: Highest Volume — 9,899 contracts
  • 2009-08-05: Largest IV spike — 8.3% change
  • 2009-08-18: Highest IV Rank — 11.2%
  • 2009-08-18: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$12.78$14.73$14.73$12.99
Max Pain$14.52$12.50$15.00$12.50$15.00
ATM IV52.5%49.6%56.2%52.5%51.8%
Expected Move15.2%14.2%16.1%15.0%14.9%
HV 20d40.1%34.0%43.2%34.8%41.1%
HV 60d45.5%41.5%49.6%48.2%42.0%
IV Rank8.4%6.1%11.2%8.3%7.8%
IV Percentile9.7%3.2%14.7%10.7%7.9%
Term Structure2.3%-1.0%4.4%-1.0%2.0%
VWIV52.5%48.9%57.1%52.5%51.8%
Skew 25d2.8%-4.3%14.7%14.7%-4.3%
Skew 10d3.0%-9.8%25.0%25.0%-9.8%
Call IV 25d51.5%40.7%57.5%40.7%52.0%
Put IV 25d54.3%46.6%60.2%55.4%47.7%
Bid-Ask Spread %13.688.2726.3026.3012.52
Gamma HHI0.430.330.550.380.47
Net GEX320.0K123.2K482.3K482.3K266.6K
Net DEX-1.5M-8.6M1.9M-8.6M1.0M
Net VEX-69.6K-84.6K-58.3K-84.6K-58.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.041.630.100.45
Total Volume2,021.3335759,8992,064794
Total OI54,943.38148,93360,96448,93353,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$14.73$12.5052.5%15.0%34.8%8.3%52.5%14.7%-1.0%482.3K-8.6M-84.6K0.1026.30N/AN/A1,87219232,91016,023
2009-08-04$14.45$12.5049.6%14.2%34.0%6.1%49.9%-0.7%1.7%472.0K-6.9M-81.7K0.6724.27N/AN/A34523033,02016,124
2009-08-05$14.27$12.5053.7%15.4%34.6%9.2%53.8%-0.4%-0.8%435.7K-5.8M-79.8K0.1314.98N/AN/A2,36530033,00216,194
2009-08-06$13.34$12.5050.0%14.3%42.8%6.4%49.9%0.1%3.8%234.9K991.8K-65.6K0.8025.49N/AN/A2,3851,91333,75016,243
2009-08-07$13.17$15.0050.8%15.6%43.0%7.0%53.3%4.8%3.3%198.7K1.6M-67.2K0.049.80N/AN/A9,49740234,54217,127
2009-08-10$13.35$15.0054.3%15.9%43.2%9.7%54.9%2.9%2.7%388.7K-1.3M-75.6K0.8612.67N/AN/A62453540,75017,190
2009-08-11$13.03$15.0050.4%15.7%39.4%6.7%54.5%6.8%2.6%264.4K1.1M-69.9K0.188.61N/AN/A1,72030240,43117,521
2009-08-12$13.28$15.0051.9%15.6%39.3%7.9%53.7%4.2%2.2%313.9K-588.1K-72.7K0.0913.39N/AN/A7166141,37217,650
2009-08-13$13.59$15.0054.3%15.6%40.3%9.7%53.7%3.1%3.4%441.7K-3.1M-78.4K0.2120.64N/AN/A1,00320641,41117,681
2009-08-14$13.31$15.0054.3%15.6%40.7%9.7%53.4%5.7%2.7%341.0K-1.3M-73.5K1.639.71N/AN/A29948741,71817,741
2009-08-17$12.90$15.0055.8%16.0%40.4%10.9%57.1%4.1%2.0%179.5K1.4M-65.9K0.1815.04N/AN/A2,04537141,88917,933
2009-08-18$13.04$15.0056.2%16.1%40.8%11.2%55.7%4.9%0.9%230.7K-487.7K-69.2K0.3314.87N/AN/A49616342,54818,044
2009-08-19$12.78$15.0055.7%16.0%40.8%10.8%55.6%4.7%1.4%123.2K1.9M-63.0K0.2914.21N/AN/A89526342,89218,072
2009-08-20$13.24$15.0054.3%15.6%42.1%9.7%53.5%3.8%1.8%282.0K-1.4M-67.1K0.249.55N/AN/A1,18728842,06118,148
2009-08-21$13.36$15.0053.5%15.3%42.2%9.1%51.3%-0.4%3.3%327.2K-1.8M-67.0K0.298.27N/AN/A1,17634442,28718,278
2009-08-24$13.38$15.0051.4%14.7%40.8%7.5%50.6%1.5%4.4%328.9K-1.3M-63.9K1.119.06N/AN/A1,2431,38034,47015,474
2009-08-25$13.17$15.0051.6%14.8%40.8%7.7%50.6%-1.1%2.2%283.2K23.3K-61.9K0.839.81N/AN/A70758834,79915,648
2009-08-26$13.20$15.0050.0%14.3%38.8%6.4%49.5%-1.2%3.7%286.8K85.4K-61.6K0.558.66N/AN/A47726135,04816,020
2009-08-27$13.66$15.0051.1%14.7%41.0%7.3%48.9%2.7%1.6%409.4K-3.2M-68.3K0.129.32N/AN/A2,72931935,21916,164
2009-08-28$13.57$15.0049.9%14.3%41.0%6.3%48.9%3.3%4.4%429.9K-2.6M-66.8K0.8510.04N/AN/A68658236,77216,307
2009-08-31$12.99$15.0051.8%14.9%41.1%7.8%51.8%-4.3%2.0%266.6K1.0M-58.3K0.4512.52N/AN/A54624836,89516,443