DSX Options History — May 2010

In May 2010, DSX traded between $12.80 and $15.60. ATM implied volatility averaged 48.8%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 0.4% (HV 20d: 48.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-05-25: Highest Volume — 8,135 contracts
  • 2010-05-27: Largest IV drop — 26.8% change
  • 2010-05-21: Highest IV Rank — 73.7%
  • 2010-05-21: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.83$12.80$15.60$15.60$13.56
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV48.8%37.8%59.1%40.0%46.2%
Expected Move14.0%10.8%16.9%11.5%13.2%
HV 20d48.5%24.8%59.7%24.8%59.7%
HV 60d37.3%30.1%41.1%30.1%41.1%
IV Rank44.8%18.8%73.7%21.3%43.6%
IV Percentile50.4%17.9%84.9%21.0%38.1%
Term Structure-0.7%-4.5%3.9%1.0%3.8%
VWIV47.6%38.5%56.6%39.4%45.5%
Skew 25d4.0%-5.6%12.3%12.3%4.0%
Skew 10d3.0%-15.7%28.8%11.2%6.4%
Call IV 25d45.8%25.9%57.6%25.9%41.1%
Put IV 25d49.8%32.5%66.2%38.2%45.1%
Bid-Ask Spread %12.466.5130.0312.6313.18
Gamma HHI0.330.270.400.320.32
Net GEX121.7K-70.0K386.0K386.0K83.6K
Net DEX2.0M-12.0M8.1M-12.0M2.0M
Net VEX-94.8K-113.8K-79.1K-113.8K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.124.000.154.00
Total Volume2,096.754208,135870420
Total OI49,112.1542,32452,13648,39946,314

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.60$15.0040.0%11.5%24.8%21.3%39.4%12.3%1.0%386.0K-12.0M-113.8K0.1512.63N/AN/A75611428,57619,823
2010-05-04$14.95$15.0038.5%11.0%29.0%18.8%38.5%-0.6%3.9%348.0K-6.0M-111.5K0.218.10N/AN/A1,33427828,86519,812
2010-05-05$14.46$15.0044.6%12.8%30.3%29.1%44.5%-5.6%-0.2%270.2K-2.0M-106.4K0.389.09N/AN/A1,39352829,18919,775
2010-05-06$13.50$15.0052.4%15.0%38.3%42.4%51.8%-0.4%1.1%126.7K3.8M-97.1K0.4630.03N/AN/A1,99191329,24119,852
2010-05-07$13.00$15.0057.5%15.8%39.9%50.9%55.5%7.1%-3.1%62.1K5.8M-92.3K0.5513.58N/AN/A2,2771,25729,14920,170
2010-05-10$14.07$15.0047.3%12.9%50.4%33.6%45.6%3.6%-0.4%175.6K1.2M-101.2K0.1616.95N/AN/A1,59725529,02820,895
2010-05-11$14.37$15.0042.2%12.8%51.2%25.0%45.0%2.3%-0.0%227.1K-226.9K-103.0K0.2312.32N/AN/A65715428,92220,926
2010-05-12$14.53$15.0040.1%12.5%51.3%21.4%43.8%2.4%0.0%284.7K-1.6M-103.4K0.1212.39N/AN/A1,18214029,04020,961
2010-05-13$14.57$15.0040.9%11.7%51.3%22.9%41.1%5.5%2.2%350.6K-2.3M-102.8K0.157.32N/AN/A1,44621829,58520,889
2010-05-14$13.94$15.0046.9%13.4%53.4%43.6%47.7%3.6%-1.4%192.5K2.5M-97.9K1.438.99N/AN/A48469430,71820,935
2010-05-17$13.52$15.0050.3%14.4%53.7%53.3%48.3%0.9%-1.8%60.6K5.9M-88.5K0.428.14N/AN/A96540530,64621,352
2010-05-18$13.46$15.0052.4%15.0%51.2%58.1%48.7%1.9%-3.3%-14.9K6.0M-87.7K2.607.05N/AN/A28574030,60021,536
2010-05-19$13.44$15.0055.6%16.0%51.2%65.7%52.3%0.5%-3.9%-20.9K6.2M-87.2K0.276.51N/AN/A1,93253030,58821,243
2010-05-20$12.80$15.0058.3%16.7%53.1%71.9%55.8%8.5%-4.5%-60.2K8.1M-81.3K0.3515.81N/AN/A1,51453730,25221,217
2010-05-21$13.33$15.0059.1%16.9%55.5%73.7%56.6%7.2%-4.2%-28.5K5.8M-86.5K0.9318.01N/AN/A1,03295929,90921,118
2010-05-24$12.97$15.0058.5%16.8%54.6%72.3%54.2%0.5%-2.1%-35.6K6.0M-79.1K0.3112.95N/AN/A2,94692023,34718,977
2010-05-25$13.22$15.0056.4%16.2%55.5%67.6%50.5%9.1%1.3%8554.7M-86.5K0.9610.19N/AN/A4,1403,99525,46619,114
2010-05-26$13.33$15.0051.6%14.8%55.6%56.4%47.8%6.5%-4.0%-70.0K6.6M-90.1K0.5213.82N/AN/A81042226,64222,082
2010-05-27$13.99$15.0037.8%10.8%59.1%24.2%40.4%11.2%2.4%95.3K-264.5K-92.8K0.2012.04N/AN/A1,42529026,97818,511
2010-05-28$13.56$15.0046.2%13.2%59.7%43.6%45.5%4.0%3.8%83.6K2.0M-86.8K4.0013.18N/AN/A8433627,83518,479