DSX Options History — October 2009

In October 2009, DSX traded between $12.61 and $14.99. ATM implied volatility averaged 51.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 1.1% (HV 20d: 50.6%). 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 11 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2009-10-07: Highest Volume — 7,394 contracts
  • 2009-10-13: Largest IV spike — 41.5% change
  • 2009-10-28: Highest IV Rank — 15.5%
  • 2009-10-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.89$12.61$14.99$12.85$12.92
Max Pain$13.30$12.50$15.00$12.50$15.00
ATM IV51.7%38.8%59.5%54.0%58.8%
Expected Move15.3%13.2%17.1%15.5%16.9%
HV 20d50.6%42.6%55.9%48.0%49.8%
HV 60d44.2%41.9%45.9%41.9%44.4%
IV Rank8.2%0.0%15.5%6.3%15.1%
IV Percentile14.3%0.0%32.1%17.1%32.1%
Term Structure0.2%-2.5%2.6%2.4%-0.8%
VWIV53.5%46.8%60.1%53.7%60.1%
Skew 25d2.1%-13.3%7.9%-7.5%-9.2%
Skew 10d1.3%-21.9%26.8%-14.4%-11.0%
Call IV 25d52.6%45.7%60.7%56.0%60.7%
Put IV 25d54.7%46.5%61.2%48.5%51.5%
Bid-Ask Spread %18.1911.1924.7811.1913.40
Gamma HHI0.530.460.630.600.46
Net GEX559.1K349.3K931.3K423.4K349.3K
Net DEX-14.6M-22.7M-3.4M-8.2M-3.4M
Net VEX-126.5K-142.8K-109.7K-121.5K-109.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.071.530.450.90
Total Volume2,803.2278737,3944,0241,742
Total OI65,437.81858,35670,47363,39266,241

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$12.85$12.5054.0%15.5%48.0%6.3%53.7%-7.5%2.4%423.4K-8.2M-121.5K0.4511.19N/AN/A2,7791,24544,99118,401
2009-10-02$12.61$12.5054.0%15.5%48.5%6.3%55.4%-13.3%2.5%399.3K-6.1M-118.4K1.5317.05N/AN/A1,4102,16245,99319,144
2009-10-05$12.62$12.5055.8%16.5%48.5%7.7%56.7%5.8%-0.0%400.9K-6.0M-121.5K0.4417.24N/AN/A93241146,59820,748
2009-10-06$13.34$12.5055.1%16.8%50.6%7.2%54.8%7.9%-0.8%531.0K-12.7M-128.8K1.1715.74N/AN/A1,2061,41447,19820,897
2009-10-07$14.32$12.5048.3%15.0%55.5%1.7%53.4%6.9%1.5%696.3K-22.6M-142.8K0.1122.66N/AN/A6,63276247,55922,014
2009-10-08$14.31$12.5048.9%15.5%55.4%2.2%54.1%5.2%0.2%678.8K-21.7M-141.5K0.1116.67N/AN/A5,24057446,14022,246
2009-10-09$13.98$12.5041.2%15.1%55.9%0.0%52.9%3.2%1.5%586.9K-16.3M-131.3K0.6515.08N/AN/A1,19577145,10122,154
2009-10-12$13.90$12.5038.8%15.1%55.9%0.0%54.2%5.1%0.5%447.0K-15.2M-124.4K0.2723.59N/AN/A68518845,15322,375
2009-10-13$14.10$12.5054.9%15.1%55.7%12.1%53.2%7.6%-0.7%631.5K-17.5M-127.6K0.2322.40N/AN/A80918245,14922,379
2009-10-14$14.16$12.5054.0%15.3%54.1%11.5%53.7%1.7%-0.3%648.9K-18.0M-127.2K0.0817.80N/AN/A3,45128745,33422,423
2009-10-15$14.54$12.5052.4%15.0%55.0%10.2%53.3%6.9%-0.2%931.3K-22.5M-132.5K0.3019.60N/AN/A1,63448847,67622,471
2009-10-16$14.37$12.5050.2%14.4%53.9%8.6%50.3%5.3%1.6%699.6K-20.3M-131.4K0.2622.47N/AN/A88223347,97422,499
2009-10-19$14.42$12.5046.2%13.2%53.4%5.6%46.8%6.1%2.3%514.1K-15.4M-125.8K0.2912.40N/AN/A2,62577339,42218,934
2009-10-20$14.99$12.5047.3%13.6%54.7%6.4%48.0%2.8%2.6%599.6K-21.7M-133.7K0.3023.09N/AN/A2,52075340,69719,193
2009-10-21$14.99$12.5048.7%14.0%47.8%7.5%48.1%5.3%1.3%644.8K-22.7M-130.3K0.2224.78N/AN/A3,16368841,26219,050
2009-10-22$14.83$15.0050.4%14.4%43.2%8.7%50.5%4.1%0.1%629.9K-20.7M-133.3K0.0723.80N/AN/A4,47232242,22619,445
2009-10-23$14.37$15.0050.0%14.3%42.6%8.4%50.5%4.0%-0.9%625.7K-16.9M-131.0K0.2321.30N/AN/A72617043,46119,628
2009-10-26$13.92$15.0054.4%15.6%44.7%11.7%56.1%2.4%-1.9%546.4K-12.4M-123.0K0.5318.00N/AN/A1,21665043,71519,718
2009-10-27$13.70$15.0056.6%16.2%43.4%13.4%56.1%3.3%-1.7%519.0K-10.0M-120.8K0.7414.05N/AN/A83462044,02019,942
2009-10-28$12.98$15.0059.5%17.1%47.5%15.5%58.7%-5.7%-2.5%356.9K-3.8M-109.9K0.4314.29N/AN/A1,75476044,32120,348
2009-10-29$13.38$15.0057.6%16.5%48.5%14.2%55.8%-1.1%-1.6%438.7K-6.8M-117.1K0.1413.59N/AN/A2,03527644,66020,732
2009-10-30$12.92$15.0058.8%16.9%49.8%15.1%60.1%-9.2%-0.8%349.3K-3.4M-109.7K0.9013.40N/AN/A91582745,39120,850