DSX Options History — September 2009

In September 2009, DSX traded between $12.01 and $14.52. ATM implied volatility averaged 51.3%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 10.8% (HV 20d: 40.5%). 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 21 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2009-09-24: Highest Volume — 14,434 contracts
  • 2009-09-08: Largest IV spike — 14.3% change
  • 2009-09-09: Highest IV Rank — 7.8%
  • 2009-09-14: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.01$14.52$12.55$13.00
Max Pain$12.86$12.50$15.00$15.00$12.50
ATM IV51.3%46.1%55.9%52.8%53.2%
Expected Move14.8%13.4%15.9%15.1%15.2%
HV 20d40.5%35.3%49.1%42.1%47.8%
HV 60d41.1%38.1%42.5%42.3%41.9%
IV Rank3.8%0.0%7.8%3.0%5.6%
IV Percentile7.9%0.0%15.5%9.5%15.5%
Term Structure2.4%0.0%4.5%2.0%4.5%
VWIV51.9%49.5%54.9%53.7%53.2%
Skew 25d1.7%-15.2%13.1%-12.6%-1.6%
Skew 10d1.8%-24.2%23.6%-20.9%-7.3%
Call IV 25d49.7%42.2%58.1%56.5%51.3%
Put IV 25d51.4%42.8%57.7%43.9%49.7%
Bid-Ask Spread %12.446.7425.067.0113.66
Gamma HHI0.540.360.850.380.50
Net GEX442.1K157.5K1.4M157.5K431.6K
Net DEX-4.2M-12.4M3.3M3.3M-9.2M
Net VEX-67.3K-115.6K-53.9K-53.9K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.085.620.110.11
Total Volume3,737.42951314,4346,6997,643
Total OI53,52930,65562,16753,48759,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$12.55$15.0052.8%15.1%42.1%3.0%53.7%-12.6%2.0%157.5K3.3M-53.9K0.117.01N/AN/A6,05164836,92816,559
2009-09-02$12.62$15.0051.5%14.8%42.3%1.9%54.9%-10.9%3.8%252.1K1.1M-59.5K0.226.74N/AN/A71715941,36216,862
2009-09-03$12.66$15.0049.6%14.2%35.6%0.4%50.5%-12.2%3.5%231.9K1.6M-58.5K0.627.56N/AN/A31719641,59416,978
2009-09-04$12.69$12.5046.1%14.9%35.5%0.0%51.5%6.4%1.9%203.7K1.9M-56.3K0.9319.40N/AN/A77872141,76217,088
2009-09-08$13.19$12.5052.7%15.5%37.9%5.2%51.4%4.6%0.6%318.9K-1.6M-60.2K0.308.47N/AN/A78023442,11817,064
2009-09-09$13.62$12.5055.9%15.5%38.5%7.8%51.4%5.4%2.4%545.5K-5.3M-65.9K0.2613.07N/AN/A2,99877642,49017,201
2009-09-10$13.76$12.5048.8%14.0%38.2%2.1%51.9%10.4%2.5%660.8K-6.6M-67.2K0.4514.57N/AN/A47421443,59817,270
2009-09-11$13.60$12.5053.5%15.3%37.6%5.8%50.7%4.5%2.5%244.3K-4.1M-57.2K0.3115.29N/AN/A1,79156143,68817,089
2009-09-14$13.73$12.5055.6%15.9%36.9%7.5%53.8%11.2%0.0%312.0K-4.6M-58.0K0.7912.47N/AN/A47137143,78217,123
2009-09-15$14.01$12.5050.0%14.3%35.3%3.1%52.2%13.1%1.2%819.3K-8.0M-63.7K0.3210.95N/AN/A1,19538343,83117,307
2009-09-16$14.52$12.5050.3%14.4%37.0%3.3%51.7%7.4%0.9%1.4M-12.4M-67.2K0.3611.42N/AN/A2,09975243,94917,317
2009-09-17$14.46$12.5050.8%14.6%35.9%3.7%51.4%4.4%0.8%1.4M-11.7M-66.9K0.4623.96N/AN/A3,1401,44844,50517,422
2009-09-18$14.01$12.5048.0%13.8%36.6%1.5%50.1%10.8%4.0%276.2K-5.5M-62.4K1.2010.61N/AN/A73788744,39717,770
2009-09-21$13.76$12.5048.6%13.9%37.2%2.0%51.3%6.7%1.9%262.5K-4.5M-58.9K0.2013.72N/AN/A2,78256321,3709,285
2009-09-22$14.03$12.5046.6%13.4%37.8%0.4%49.5%11.0%3.3%332.8K-6.7M-64.5K0.3813.65N/AN/A2,21183623,3519,620
2009-09-23$13.11$12.5052.6%15.1%44.9%5.2%51.0%9.1%2.5%248.6K-2.4M-58.8K0.9125.06N/AN/A1,3841,26224,52310,362
2009-09-24$12.45$12.5052.9%15.2%48.5%5.4%52.9%-11.2%3.2%176.5K66.5K-54.1K0.086.98N/AN/A13,3841,05025,02610,820
2009-09-25$12.01$12.5052.8%15.1%47.7%5.3%53.3%-0.7%2.7%271.9K-2.8M-75.8K0.347.84N/AN/A3,6951,27335,12211,491
2009-09-28$12.26$12.5052.5%15.0%48.7%5.0%50.8%-15.2%3.2%341.2K-4.8M-83.5K5.627.52N/AN/A1,0826,07837,87912,312
2009-09-29$12.78$12.5052.5%15.0%49.1%5.0%52.0%-4.8%3.2%340.4K-5.7M-105.0K0.1711.30N/AN/A5,40594038,29717,719
2009-09-30$13.00$12.5053.2%15.2%47.8%5.6%53.2%-1.6%4.5%431.6K-9.2M-115.6K0.1113.66N/AN/A6,89474941,89517,983