DSX Options History — February 2010

In February 2010, DSX traded between $13.29 and $14.51. ATM implied volatility averaged 44.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 3.8% (HV 20d: 48.1%). 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 11 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-02-23: Highest Volume — 3,274 contracts
  • 2010-02-04: Largest IV spike — 21.8% change
  • 2010-02-12: Highest IV Rank — 26.2%
  • 2010-02-05: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.93$13.29$14.51$14.12$13.91
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV44.3%34.2%51.1%47.6%34.2%
Expected Move13.0%9.8%15.1%13.6%9.8%
HV 20d48.1%43.8%52.0%50.1%48.9%
HV 60d45.2%40.1%51.1%50.1%41.2%
IV Rank18.6%7.3%26.2%22.3%7.3%
IV Percentile13.2%1.2%33.7%14.3%1.2%
Term Structure1.1%-3.4%8.7%-2.1%3.5%
VWIV44.0%34.0%51.9%46.2%34.0%
Skew 25d3.0%-5.3%9.1%6.0%4.5%
Skew 10d3.0%-14.5%19.0%14.6%13.6%
Call IV 25d43.5%34.2%49.5%44.3%34.2%
Put IV 25d46.5%30.9%53.6%50.3%38.7%
Bid-Ask Spread %12.468.9919.1216.9918.70
Gamma HHI0.300.250.390.280.37
Net GEX154.5K60.5K329.9K167.4K149.2K
Net DEX1.7M-2.2M5.2M-60.1K1.3M
Net VEX-78.2K-87.1K-71.1K-83.8K-75.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.094.910.220.09
Total Volume1,514.2114133,2741,981460
Total OI45,414.68440,90248,86143,97843,319

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$14.12$15.0047.6%13.6%50.1%22.3%46.2%6.0%-2.1%167.4K-60.1K-83.8K0.2216.99N/AN/A1,62136027,04516,933
2010-02-02$14.34$15.0041.4%11.9%45.9%15.3%41.4%9.1%3.7%213.3K-1.7M-87.1K0.7611.46N/AN/A53740627,66017,066
2010-02-03$14.30$15.0037.9%10.9%43.8%11.4%37.7%-5.3%8.7%223.7K-1.6M-86.7K0.2412.81N/AN/A43710327,87317,103
2010-02-04$13.48$15.0046.1%13.2%47.7%20.6%39.8%2.0%6.9%110.4K3.3M-76.0K0.2819.12N/AN/A81522627,92217,165
2010-02-05$13.53$15.0051.1%15.1%47.4%26.2%51.9%5.5%-3.4%113.1K3.3M-76.7K0.9710.11N/AN/A80978628,08917,222
2010-02-08$13.29$15.0049.0%14.7%43.8%23.9%50.1%4.0%-0.9%63.6K5.0M-71.1K0.3211.30N/AN/A44514428,04117,432
2010-02-09$13.69$15.0043.4%14.5%45.4%17.5%48.0%1.6%-1.4%118.6K3.2M-74.0K4.919.76N/AN/A4422,16927,99817,461
2010-02-10$13.42$15.0044.3%14.5%45.6%18.5%47.6%-0.5%-1.0%60.5K5.2M-77.4K0.1410.16N/AN/A3615227,93419,405
2010-02-11$13.75$15.0049.7%14.2%46.7%24.6%48.0%1.9%-0.1%109.7K3.4M-80.9K0.939.62N/AN/A42239427,92719,430
2010-02-12$13.65$15.0051.1%14.7%46.7%26.2%49.7%1.5%-1.6%80.2K4.8M-76.1K0.328.99N/AN/A58018428,05119,617
2010-02-16$14.33$15.0046.0%13.2%50.8%20.5%47.8%4.0%0.1%193.2K1.6M-79.5K0.7511.39N/AN/A1,5461,16228,19919,650
2010-02-17$14.39$15.0045.2%13.0%49.9%19.6%45.9%2.8%0.7%226.9K1.1M-81.4K0.4910.85N/AN/A61430328,48220,126
2010-02-18$14.29$15.0042.0%12.0%48.8%16.0%42.2%0.8%2.7%200.0K1.8M-78.4K2.5915.53N/AN/A34990528,72420,078
2010-02-19$14.51$15.0043.5%12.5%48.7%17.7%44.1%3.5%1.1%329.9K-938.9K-82.1K0.5012.96N/AN/A1,81291028,79820,063
2010-02-22$14.42$15.0043.6%12.5%48.1%17.8%43.9%1.0%-0.2%209.2K-2.2M-79.5K0.3410.47N/AN/A2,01868723,76517,137
2010-02-23$13.64$15.0044.9%12.9%51.5%19.3%39.7%5.6%1.1%124.2K2.1M-73.1K0.4213.52N/AN/A2,30197324,85517,382
2010-02-24$13.73$15.0042.8%12.3%51.5%17.0%40.7%4.3%0.7%97.6K2.3M-72.2K1.0310.96N/AN/A43444824,39917,925
2010-02-25$13.97$15.0037.8%10.8%52.0%11.4%37.0%4.6%1.6%144.3K967.8K-74.7K0.8812.08N/AN/A1,3611,19424,54018,063
2010-02-26$13.91$15.0034.2%9.8%48.9%7.3%34.0%4.5%3.5%149.2K1.3M-75.0K0.0918.70N/AN/A4213925,09118,228