DSX Options History — January 2010

In January 2010, DSX traded between $13.26 and $16.27. ATM implied volatility averaged 40.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 1.6% (HV 20d: 39.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-01-08: Highest Volume — 3,810 contracts
  • 2010-01-14: Largest IV spike — 45.9% change
  • 2010-01-29: Highest IV Rank — 23.2%
  • 2010-01-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.26$13.26$16.27$15.31$13.26
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV40.6%27.6%48.4%43.2%48.4%
Expected Move12.6%11.5%13.9%13.1%13.9%
HV 20d39.0%36.2%44.0%36.3%44.0%
HV 60d48.9%47.5%49.7%48.4%48.9%
IV Rank11.4%0.0%23.2%6.3%23.2%
IV Percentile5.6%0.0%16.3%4.0%16.3%
Term Structure1.9%0.5%3.5%1.4%1.4%
VWIV43.4%40.4%47.7%45.4%47.7%
Skew 25d4.8%-1.1%13.6%5.0%-1.1%
Skew 10d11.8%-2.9%26.5%17.7%-2.9%
Call IV 25d41.4%33.7%47.7%43.8%47.7%
Put IV 25d46.2%41.3%48.7%48.7%46.7%
Bid-Ask Spread %14.718.6726.2913.5118.59
Gamma HHI0.330.270.420.400.28
Net GEX389.2K75.7K818.1K606.8K75.7K
Net DEX-12.2M-25.1M4.4M-13.0M4.4M
Net VEX-88.7K-95.5K-74.0K-89.8K-74.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.101.450.250.78
Total Volume2,342.6326933,8103,2881,867
Total OI55,717.31636,23971,27065,69443,651

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$15.31$15.0043.2%13.1%36.3%6.3%45.4%5.0%1.4%606.8K-13.0M-89.8K0.2513.51N/AN/A2,63964943,37122,323
2010-01-05$15.82$15.0044.7%13.4%38.3%8.2%44.7%9.6%0.5%776.0K-19.4M-92.9K0.2613.04N/AN/A2,97378344,43522,461
2010-01-06$15.84$15.0041.5%13.1%37.7%4.3%44.7%6.7%1.5%759.6K-19.6M-92.8K0.4212.81N/AN/A2,24594144,79722,461
2010-01-07$15.42$15.0039.3%13.2%36.2%1.5%45.5%4.2%0.7%648.8K-15.5M-92.2K0.2412.50N/AN/A2,13351245,46022,766
2010-01-08$16.09$15.0041.5%13.0%39.0%4.2%43.3%9.1%1.7%818.1K-23.1M-95.5K0.2412.17N/AN/A3,06974146,31723,077
2010-01-11$16.27$15.0028.9%11.9%37.9%0.0%41.7%4.4%3.5%458.1K-25.1M-89.7K0.108.67N/AN/A2,05320647,05223,257
2010-01-12$16.04$15.0027.6%13.1%38.5%0.0%45.4%3.8%1.1%382.0K-23.4M-89.2K0.5310.40N/AN/A87146047,25523,260
2010-01-13$16.18$15.0030.4%12.8%37.2%3.1%43.9%2.5%1.6%370.0K-23.7M-88.4K0.429.55N/AN/A1,39759347,13923,400
2010-01-14$16.05$15.0044.3%12.7%37.4%18.6%43.8%2.6%2.1%388.3K-22.6M-91.6K0.249.79N/AN/A1,16228447,11623,847
2010-01-15$16.09$15.0042.9%12.3%36.6%17.1%42.0%0.9%2.0%376.0K-22.4M-90.3K0.259.61N/AN/A1,41936047,27024,000
2010-01-19$15.59$15.0040.2%11.5%38.7%14.0%40.4%3.5%3.2%347.7K-9.2M-84.9K1.1311.86N/AN/A1,2181,37723,39112,848
2010-01-20$15.08$15.0041.2%11.8%40.6%15.2%40.5%4.6%1.8%267.3K-6.4M-85.8K1.4521.38N/AN/A1,1781,70923,90913,996
2010-01-21$14.79$15.0042.4%12.1%41.1%16.4%42.0%2.1%3.1%210.4K-4.1M-88.4K0.599.85N/AN/A2,1801,28024,37015,089
2010-01-22$14.45$15.0043.6%12.5%40.7%17.8%43.5%1.6%1.1%178.9K-2.4M-89.7K1.0213.68N/AN/A90592425,04515,902
2010-01-25$14.68$15.0041.8%12.0%39.7%15.8%42.8%1.8%2.2%199.7K-2.9M-89.9K0.5324.03N/AN/A1,12459725,36016,377
2010-01-26$14.51$15.0042.1%12.1%39.7%16.2%40.4%10.9%2.3%194.7K-2.5M-89.2K0.5223.29N/AN/A45623725,61716,416
2010-01-27$14.56$15.0042.3%12.1%39.6%16.4%40.9%13.6%3.2%200.2K-2.4M-88.7K0.1326.29N/AN/A1,88723925,87616,497
2010-01-28$13.86$15.0045.0%12.9%41.9%19.4%45.0%5.8%2.5%135.8K1.5M-81.9K0.6018.44N/AN/A1,14969326,62116,600
2010-01-29$13.26$15.0048.4%13.9%44.0%23.2%47.7%-1.1%1.4%75.7K4.4M-74.0K0.7818.59N/AN/A1,04881926,95416,697