DSX Options History — April 2010

In April 2010, DSX traded between $14.58 and $15.82. ATM implied volatility averaged 32.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 7.0% (HV 20d: 25.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-04-28: Highest Volume — 8,370 contracts
  • 2010-04-15: Largest IV spike — 27.2% change
  • 2010-04-28: Highest IV Rank — 21.6%
  • 2010-04-28: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.27$14.58$15.82$15.31$15.32
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV32.7%27.4%40.2%27.4%37.5%
Expected Move10.1%7.9%11.5%7.9%10.8%
HV 20d25.8%21.9%31.7%31.7%24.1%
HV 60d36.5%32.3%38.9%38.8%32.4%
IV Rank9.0%0.0%21.6%0.0%17.1%
IV Percentile8.2%0.0%21.0%0.0%17.5%
Term Structure1.2%-0.7%7.4%7.4%3.2%
VWIV35.2%27.5%40.1%27.5%37.3%
Skew 25d2.9%-5.2%8.9%4.5%6.8%
Skew 10d4.9%-10.1%15.9%7.9%6.8%
Call IV 25d32.6%22.3%40.1%23.9%27.0%
Put IV 25d35.4%27.2%39.7%28.4%33.8%
Bid-Ask Spread %15.698.1331.9214.429.71
Gamma HHI0.480.290.860.500.32
Net GEX671.2K143.0K2.9M522.1K346.3K
Net DEX-9.2M-12.7M-1.5M-10.6M-9.0M
Net VEX-96.6K-114.6K-89.5K-93.9K-114.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.066.790.470.24
Total Volume1,994.2387068,3702,163849
Total OI41,904.38138,08048,08539,53948,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$15.31$15.0027.4%7.9%31.7%0.0%27.5%4.5%7.4%522.1K-10.6M-93.9K0.4714.42N/AN/A1,47169223,19316,346
2010-04-05$15.42$15.0031.4%10.3%31.7%6.7%35.0%6.0%0.2%520.5K-11.4M-93.7K0.3712.47N/AN/A78929323,40116,774
2010-04-06$15.52$15.0030.8%10.4%31.2%5.7%35.6%4.3%0.5%519.3K-12.7M-94.1K0.2211.80N/AN/A1,77639023,58716,776
2010-04-07$15.19$15.0027.9%10.5%27.7%0.8%36.2%5.7%-0.0%591.8K-9.1M-92.7K0.2931.92N/AN/A1,07730723,60816,864
2010-04-08$15.20$15.0029.3%10.4%25.3%3.2%36.4%2.6%-0.7%603.9K-9.2M-92.9K0.4811.79N/AN/A79338023,60816,864
2010-04-09$15.13$15.0028.9%10.4%25.3%2.5%36.0%3.5%-0.0%661.2K-8.8M-92.9K0.4420.92N/AN/A1,36259924,19516,946
2010-04-12$15.11$15.0029.3%10.1%25.3%3.1%36.4%1.2%1.0%810.9K-9.5M-92.7K0.4713.18N/AN/A88642024,72217,172
2010-04-13$15.09$15.0029.3%10.6%22.9%3.2%37.1%2.8%-0.1%915.4K-8.9M-92.9K0.6821.86N/AN/A60140725,37517,456
2010-04-14$15.20$15.0028.1%9.9%22.1%1.3%34.5%3.3%1.9%1.2M-10.6M-92.3K0.3521.71N/AN/A98234825,41917,752
2010-04-15$15.14$15.0035.8%10.3%22.0%14.2%36.0%3.4%-0.1%1.5M-11.3M-92.1K0.2820.74N/AN/A1,36738925,55217,682
2010-04-16$14.96$15.0035.2%10.1%21.9%13.2%35.2%2.6%0.3%2.9M-6.1M-90.8K1.858.28N/AN/A1,1902,20125,57917,630
2010-04-19$14.58$15.0032.8%9.4%23.1%9.1%32.6%8.9%3.0%143.0K-1.5M-89.5K0.228.13N/AN/A1,21726220,93717,143
2010-04-20$15.17$15.0032.7%9.4%26.8%9.0%32.7%5.4%2.6%233.4K-5.3M-92.7K0.098.23N/AN/A2,18520721,59117,288
2010-04-21$15.15$15.0031.9%9.2%26.8%7.7%31.9%4.5%2.6%325.6K-6.4M-94.7K0.248.30N/AN/A57013623,22217,400
2010-04-22$15.25$15.0035.0%10.0%26.5%12.8%35.0%6.9%0.0%332.8K-7.3M-97.1K0.868.77N/AN/A73162923,48617,523
2010-04-23$15.45$15.0034.0%9.7%26.3%11.1%33.9%-2.9%0.7%367.8K-9.2M-98.4K0.069.71N/AN/A1,2207623,74417,916
2010-04-26$15.82$15.0034.4%9.9%26.4%11.9%34.5%-1.1%2.2%420.8K-12.5M-98.7K0.1417.35N/AN/A2,29832824,27517,881
2010-04-27$15.56$15.0037.2%10.7%26.2%16.5%36.4%-3.0%-0.1%423.1K-11.5M-103.1K0.1524.04N/AN/A1,59423625,24417,969
2010-04-28$15.66$15.0040.2%11.5%23.6%21.6%40.1%0.0%0.1%431.2K-12.6M-107.9K6.7925.11N/AN/A1,0747,29625,92117,888
2010-04-29$15.52$15.0038.0%10.9%23.9%17.9%38.6%-5.2%1.4%308.0K-9.3M-110.2K0.0921.00N/AN/A2,05819326,17319,805
2010-04-30$15.32$15.0037.5%10.8%24.1%17.1%37.3%6.8%3.2%346.3K-9.0M-114.6K0.249.71N/AN/A68716228,23819,847