DSX Options History — June 2010

In June 2010, DSX traded between $11.19 and $13.66. ATM implied volatility averaged 46.8%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 0.3% (HV 20d: 46.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2010-06-29: Highest Volume — 5,466 contracts
  • 2010-06-29: Largest IV spike — 19.7% change
  • 2010-06-29: Highest IV Rank — 67.0%
  • 2010-06-29: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.41$11.19$13.66$13.31$11.26
Max Pain$12.84$12.50$15.00$15.00$12.50
ATM IV46.8%40.1%54.5%48.2%50.0%
Expected Move13.4%11.5%15.6%13.8%14.3%
HV 20d46.5%33.7%59.2%59.2%40.3%
HV 60d42.2%40.7%44.0%41.3%44.0%
IV Rank46.7%30.8%67.0%48.4%55.8%
IV Percentile44.2%22.6%83.3%43.3%59.1%
Term Structure1.7%-1.4%5.4%2.7%-1.4%
VWIV45.8%39.1%53.8%43.6%52.9%
Skew 25d8.0%-8.0%59.9%5.8%3.0%
Skew 10d15.4%-13.0%100.7%46.8%9.8%
Call IV 25d43.0%32.0%53.1%45.5%52.8%
Put IV 25d51.0%36.5%101.3%51.3%55.8%
Bid-Ask Spread %16.446.8328.079.0719.89
Gamma HHI0.390.320.540.320.39
Net GEX-10.9K-215.2K104.8K43.1K82.8K
Net DEX6.0M2.0M9.7M3.8M5.1M
Net VEX-70.1K-85.9K-59.1K-82.4K-63.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.069.280.130.13
Total Volume1,592.0913335,466531667
Total OI44,283.13631,93451,05946,48540,376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$13.31$15.0048.2%13.8%59.2%48.4%43.6%5.8%2.7%43.1K3.8M-82.4K0.139.07N/AN/A4696227,86918,616
2010-06-02$13.66$15.0048.5%13.9%58.9%49.0%41.3%7.8%2.4%94.6K2.0M-85.9K0.9512.48N/AN/A36935228,25418,602
2010-06-03$13.44$15.0043.9%12.6%58.1%38.3%43.6%-0.5%5.4%59.4K3.6M-81.6K0.2912.97N/AN/A2597428,36318,673
2010-06-04$12.75$12.5049.0%14.6%55.9%50.2%53.3%8.2%-0.3%2.2K6.5M-73.2K0.9721.73N/AN/A49948328,45918,652
2010-06-07$12.31$12.5053.3%14.8%55.7%60.2%50.3%11.3%-0.7%-29.5K8.2M-68.8K1.1425.38N/AN/A1,0661,21228,66418,811
2010-06-08$11.96$12.5052.8%14.7%47.2%59.2%49.1%4.5%-0.2%-41.0K9.7M-64.1K0.2327.36N/AN/A1,12926329,04019,197
2010-06-09$11.92$12.5052.7%14.7%46.0%61.6%49.2%16.5%-0.9%-40.8K9.4M-65.2K0.9716.35N/AN/A1,0481,01929,30719,131
2010-06-10$12.39$12.5047.4%13.6%48.6%48.6%47.4%8.8%2.3%-26.3K7.5M-74.2K0.4628.07N/AN/A63129130,87019,410
2010-06-11$12.57$12.5046.9%13.5%49.1%47.5%46.9%59.9%2.2%-59.9K7.4M-71.9K0.2123.64N/AN/A3236929,77819,425
2010-06-14$12.41$12.5047.6%13.7%47.2%49.2%47.8%6.8%1.2%-71.8K7.9M-69.2K0.5023.56N/AN/A53827029,97019,443
2010-06-15$12.54$12.5044.8%12.8%46.6%42.3%45.0%20.5%2.6%-105.5K7.5M-69.8K0.8725.78N/AN/A30126330,22919,543
2010-06-16$12.52$12.5044.7%12.8%46.6%42.1%44.7%5.3%2.9%-118.2K7.5M-68.0K9.2811.00N/AN/A3152,92430,30119,550
2010-06-17$12.41$12.5043.6%12.5%46.6%39.4%43.3%5.3%4.4%-215.2K9.6M-68.9K2.9824.10N/AN/A5111,52230,36120,698
2010-06-18$12.58$12.5041.6%11.9%43.9%34.5%40.7%-8.0%4.8%-142.0K6.3M-68.8K1.108.50N/AN/A75082730,63619,251
2010-06-21$12.59$12.5041.1%11.8%41.1%33.3%39.1%5.0%1.3%5.7K3.9M-66.1K0.267.73N/AN/A2,80671718,06713,867
2010-06-22$12.32$12.5042.0%12.0%40.7%35.4%41.4%0.7%2.1%25.2K4.2M-66.4K0.9310.53N/AN/A51648120,12714,221
2010-06-23$12.39$12.5040.1%11.5%40.0%30.8%40.0%4.3%3.1%23.2K4.2M-66.9K1.169.08N/AN/A55664720,44414,450
2010-06-24$12.21$12.5047.8%13.7%39.9%50.4%46.7%9.4%-0.0%27.0K4.2M-69.4K0.066.83N/AN/A3,78223620,85314,809
2010-06-25$12.23$12.5043.0%12.3%34.9%38.6%43.0%1.0%2.8%104.8K3.2M-70.9K0.249.22N/AN/A52012623,44215,021
2010-06-28$12.08$12.5045.5%13.1%33.7%44.8%45.5%-1.2%-0.1%95.3K3.7M-68.5K0.379.97N/AN/A48718023,54515,100
2010-06-29$11.19$12.5054.5%15.6%41.9%67.0%53.8%1.0%1.2%48.1K6.2M-59.1K0.1418.45N/AN/A4,79766923,68615,118
2010-06-30$11.26$12.5050.0%14.3%40.3%55.8%52.9%3.0%-1.4%82.8K5.1M-63.0K0.1319.89N/AN/A5917624,98915,387