DSX Options History — December 2009 In December 2009, DSX traded between $14.37 and $16.24. ATM implied volatility averaged 46.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 0.3% (HV 20d: 46.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.51.
Notable Days 2009-12-21 : Highest Volume — 4,249 contracts2009-12-21 : Largest IV drop — 9.1% change2009-12-01 : Highest IV Rank — 16.9%2009-12-01 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $15.08 $14.37 $16.24 $16.24 $14.48 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 46.6% 38.0% 57.1% 57.1% 40.1% Expected Move 13.4% 10.9% 16.4% 16.4% 11.5% HV 20d 46.9% 29.2% 64.2% 64.2% 29.2% HV 60d 52.4% 49.2% 54.5% 54.5% 49.2% IV Rank 8.8% 0.0% 16.9% 16.9% 2.5% IV Percentile 9.1% 0.0% 35.7% 35.7% 1.6% Term Structure 2.8% -2.9% 8.6% -2.9% 4.1% VWIV 46.7% 38.7% 52.9% 52.9% 39.8% Skew 25d 3.5% -15.6% 18.1% 7.6% -3.5% Skew 10d 6.0% -24.9% 29.0% 8.7% -1.2% Call IV 25d 45.3% 29.8% 52.0% 49.5% 36.8% Put IV 25d 48.8% 31.4% 57.1% 57.1% 33.3% Bid-Ask Spread % 10.37 5.84 18.07 11.93 6.47 Gamma HHI 0.37 0.29 0.73 0.31 0.36 Net GEX 770.9K 218.0K 2.7M 922.0K 350.0K Net DEX -12.3M -29.1M -2.7M -29.1M -5.5M Net VEX -104.9K -135.9K -86.8K -135.9K -87.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.09 1.12 0.28 1.12 Total Volume 2,510.636 851 4,249 3,290 851 Total OI 77,681.909 57,252 89,679 83,370 65,283
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 2009-12-01 $16.24 $15.00 57.1% 16.4% 64.2% 16.9% 52.9% 7.6% -2.9% 922.0K -29.1M -135.9K 0.28 11.93 N/A N/A 2,573 717 55,575 27,795 2009-12-02 $16.11 $15.00 53.7% 15.4% 64.0% 13.8% 52.7% 1.8% -0.4% 959.0K -27.9M -134.9K 0.31 12.74 N/A N/A 1,464 449 56,878 27,952 2009-12-03 $15.99 $15.00 53.0% 15.2% 63.6% 13.9% 50.1% 3.8% -0.3% 948.7K -26.8M -134.1K 0.45 12.59 N/A N/A 1,140 517 57,271 28,133 2009-12-04 $15.88 $15.00 49.6% 14.9% 63.3% 11.3% 50.5% 4.8% -0.2% 930.2K -24.2M -127.6K 0.25 18.07 N/A N/A 1,528 387 57,447 28,221 2009-12-07 $15.59 $15.00 52.8% 15.2% 63.9% 15.2% 52.5% 4.0% -0.1% 862.9K -20.5M -120.5K 0.83 10.93 N/A N/A 685 572 57,261 28,453 2009-12-08 $14.99 $15.00 54.1% 14.9% 64.0% 16.6% 52.1% 3.8% 2.2% 690.9K -12.4M -113.8K 0.81 10.64 N/A N/A 1,509 1,215 57,165 28,726 2009-12-09 $15.09 $15.00 50.1% 15.0% 63.8% 12.2% 52.1% 3.0% 1.3% 714.7K -12.4M -112.3K 0.24 11.21 N/A N/A 1,977 465 57,366 29,008 2009-12-10 $14.76 $15.00 50.0% 14.3% 52.4% 12.3% 51.1% 3.1% 2.4% 667.0K -8.4M -108.9K 0.62 11.08 N/A N/A 1,444 889 58,169 29,068 2009-12-11 $14.77 $15.00 49.3% 14.1% 51.9% 13.0% 49.7% 0.9% 1.9% 699.5K -8.2M -105.9K 0.62 11.28 N/A N/A 1,391 856 58,176 29,038 2009-12-14 $15.24 $15.00 49.5% 14.2% 50.1% 13.1% 49.9% 0.6% 2.5% 899.3K -14.8M -104.8K 0.69 13.24 N/A N/A 1,999 1,385 58,385 29,146 2009-12-15 $15.27 $15.00 48.6% 13.9% 48.3% 12.1% 48.7% 2.7% 4.2% 946.1K -15.3M -104.2K 0.65 10.37 N/A N/A 1,678 1,090 58,676 29,874 2009-12-16 $15.00 $15.00 48.0% 13.8% 47.7% 11.3% 48.2% 2.6% 2.9% 1.0M -11.6M -101.9K 0.40 10.56 N/A N/A 2,519 1,020 58,976 29,874 2009-12-17 $14.98 $15.00 45.9% 13.2% 43.6% 8.8% 46.1% 6.5% 5.6% 1.4M -9.9M -99.4K 0.34 13.02 N/A N/A 1,550 523 59,495 30,031 2009-12-18 $14.90 $15.00 44.5% 12.8% 36.2% 7.1% 44.6% 3.4% 4.4% 2.7M -5.0M -96.5K 0.88 11.53 N/A N/A 2,209 1,949 59,531 30,148 2009-12-21 $14.78 $15.00 40.5% 11.6% 33.2% 2.1% 41.2% -15.6% 5.7% 283.0K -5.4M -87.6K 0.21 7.95 N/A N/A 3,511 738 37,116 20,136 2009-12-22 $14.37 $15.00 40.5% 11.6% 30.7% 2.1% 40.5% 5.0% 4.1% 218.0K -2.7M -86.8K 0.50 7.55 N/A N/A 2,374 1,191 38,994 20,520 2009-12-23 $14.80 $15.00 38.0% 10.9% 33.1% 0.0% 38.9% 14.7% 8.6% 339.5K -5.8M -90.5K 0.32 5.84 N/A N/A 1,969 621 39,284 21,073 2009-12-24 $14.63 $15.00 40.0% 11.5% 33.2% 2.4% 40.2% 0.3% 3.5% 327.6K -5.2M -91.3K 0.64 6.48 N/A N/A 780 496 40,142 21,124 2009-12-28 $14.49 $15.00 40.8% 11.7% 32.5% 3.4% 46.9% 11.2% 4.6% 281.2K -3.8M -87.3K 0.09 8.34 N/A N/A 2,431 225 40,404 21,520 2009-12-29 $14.89 $15.00 40.4% 11.6% 33.4% 2.9% 40.4% 18.1% 3.8% 422.6K -8.4M -88.7K 0.19 8.69 N/A N/A 2,162 409 41,439 21,622 2009-12-30 $14.60 $15.00 39.2% 11.2% 29.2% 1.4% 38.7% -1.2% 3.2% 397.0K -6.4M -88.0K 0.73 7.64 N/A N/A 1,028 748 43,008 21,499 2009-12-31 $14.48 $15.00 40.1% 11.5% 29.2% 2.5% 39.8% -3.5% 4.1% 350.0K -5.5M -87.3K 1.12 6.47 N/A N/A 401 450 43,292 21,991
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