DSX Options History — November 2009

In November 2009, DSX traded between $12.78 and $17.97. ATM implied volatility averaged 54.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 2.1% (HV 20d: 56.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2009-11-18: Highest Volume — 25,991 contracts
  • 2009-11-10: Largest IV drop — 18.2% change
  • 2009-11-04: Highest IV Rank — 18.0%
  • 2009-11-04: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.45$12.78$17.97$12.78$15.55
Max Pain$14.13$12.50$15.00$15.00$15.00
ATM IV54.0%46.4%62.8%62.1%56.1%
Expected Move15.4%13.6%18.0%17.8%16.1%
HV 20d56.2%39.3%67.9%49.9%63.6%
HV 60d49.6%44.4%54.6%44.4%53.9%
IV Rank12.0%5.7%18.0%17.5%16.0%
IV Percentile20.9%1.6%36.9%34.1%33.3%
Term Structure-0.9%-4.6%1.3%-4.4%-1.3%
VWIV54.0%48.6%62.6%61.5%56.1%
Skew 25d2.4%-8.1%6.3%-8.1%4.5%
Skew 10d8.7%-13.5%23.9%-13.5%22.1%
Call IV 25d53.0%46.9%62.3%61.5%55.5%
Put IV 25d55.4%50.2%60.0%53.4%60.0%
Bid-Ask Spread %14.397.5922.8815.5314.25
Gamma HHI0.400.260.580.450.29
Net GEX760.9K309.2K1.4M309.2K793.8K
Net DEX-27.2M-56.4M-1.6M-1.6M-21.2M
Net VEX-122.3K-141.7K-104.0K-104.0K-135.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.090.680.380.68
Total Volume6,270.5564525,9912,6754,066
Total OI73,151.766,29586,04366,37782,968

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$12.78$15.0062.1%17.8%49.9%17.5%61.5%-8.1%-4.4%309.2K-1.6M-104.0K0.3815.53N/AN/A1,93773845,22021,157
2009-11-03$13.22$15.0061.9%17.7%47.3%17.4%61.4%-2.6%-3.8%398.2K-5.1M-110.2K0.1616.76N/AN/A1,47323644,93321,362
2009-11-04$13.00$15.0062.8%18.0%39.3%18.0%62.6%-6.2%-4.6%361.8K-4.2M-108.2K0.2921.19N/AN/A50114445,56621,541
2009-11-05$13.45$12.5060.1%17.2%41.7%16.0%58.1%1.6%-3.1%476.9K-7.7M-113.0K0.0915.09N/AN/A1,17410545,63921,629
2009-11-06$13.49$12.5059.3%15.7%41.0%15.4%53.7%3.8%1.3%488.3K-7.9M-111.5K0.2722.88N/AN/A1,02527445,53221,644
2009-11-09$14.16$12.5056.7%15.2%44.7%13.5%53.4%3.6%-0.5%671.8K-14.7M-115.1K0.1616.88N/AN/A3,85460745,06921,802
2009-11-10$14.39$12.5046.4%13.8%44.8%5.7%49.4%4.6%1.0%861.1K-16.5M-113.5K0.2215.69N/AN/A4,35993945,91221,988
2009-11-11$15.93$12.5049.7%14.2%57.3%8.2%48.8%4.7%-0.3%1.0M-37.0M-116.8K0.2422.75N/AN/A9,9592,40946,01322,448
2009-11-12$15.55$12.5050.5%14.5%57.7%8.8%50.5%3.3%-0.4%1.0M-31.2M-119.4K0.5510.81N/AN/A5,5223,03245,69022,715
2009-11-13$16.30$12.5047.5%13.6%59.4%6.5%48.7%3.3%0.4%898.9K-40.2M-120.1K0.4618.89N/AN/A3,0871,41646,28524,643
2009-11-16$16.85$15.0048.1%13.8%60.2%7.0%48.6%4.6%0.2%833.3K-46.3M-112.9K0.1614.72N/AN/A8,4611,35646,15225,147
2009-11-17$17.17$15.0047.8%13.7%59.2%6.8%51.4%5.3%-0.1%846.4K-48.8M-114.0K0.4211.43N/AN/A2,9121,23347,08125,807
2009-11-18$17.97$15.0053.9%15.5%60.7%11.4%54.2%6.3%-1.1%850.0K-56.4M-115.8K0.2216.95N/AN/A21,3454,64646,97726,181
2009-11-19$16.69$15.0055.1%15.8%67.2%12.3%55.5%3.9%-1.4%755.8K-40.7M-135.6K0.228.29N/AN/A11,1272,39754,13828,795
2009-11-20$17.25$15.0054.7%15.7%66.4%12.0%55.0%4.3%-0.8%1.4M-47.6M-140.5K0.3810.66N/AN/A4,6661,78356,41729,626
2009-11-23$16.44$15.0053.6%15.4%67.9%11.7%54.2%3.9%-1.2%733.5K-29.4M-139.3K0.2010.02N/AN/A6,9561,40549,41626,322
2009-11-24$16.49$15.0051.1%14.7%67.4%11.1%51.5%2.1%1.2%823.5K-30.4M-138.5K0.357.80N/AN/A3,4521,21451,58226,870
2009-11-25$16.35$15.0049.4%14.2%63.5%9.7%50.8%3.4%1.3%867.0K-30.0M-140.5K0.129.54N/AN/A3,64044953,20626,944
2009-11-27$15.96$15.0054.2%15.6%64.3%14.2%54.2%2.4%-0.2%859.3K-26.5M-141.7K0.527.59N/AN/A99751555,47327,144
2009-11-30$15.55$15.0056.1%16.1%63.6%16.0%56.1%4.5%-1.3%793.8K-21.2M-135.7K0.6814.25N/AN/A2,4161,65055,70827,260