DSX Options History — July 2010

In July 2010, DSX traded between $11.46 and $13.37. ATM implied volatility averaged 44.0%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 4.3% (HV 20d: 39.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2010-07-14: Highest Volume — 2,369 contracts
  • 2010-07-12: Largest IV spike — 29.7% change
  • 2010-07-06: Highest IV Rank — 59.8%
  • 2010-07-06: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$11.46$13.37$11.46$13.22
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.0%36.5%51.6%49.2%44.6%
Expected Move12.6%10.5%14.2%14.1%12.8%
HV 20d39.8%32.9%44.6%41.4%32.9%
HV 60d46.0%44.1%47.0%44.1%45.7%
IV Rank45.1%25.6%59.8%53.9%48.6%
IV Percentile38.2%16.3%68.3%53.6%42.1%
Term Structure1.3%-3.9%4.0%0.4%0.5%
VWIV42.9%37.5%50.4%50.4%44.8%
Skew 25d9.4%-1.4%19.7%5.3%7.6%
Skew 10d17.9%2.4%33.8%13.0%9.3%
Call IV 25d37.5%29.4%49.5%49.5%35.2%
Put IV 25d46.9%39.0%58.9%54.9%42.8%
Bid-Ask Spread %16.3110.2324.9618.9517.45
Gamma HHI0.400.320.470.330.41
Net GEX203.5K111.3K339.8K111.3K217.0K
Net DEX-306.8K-5.2M4.0M4.0M-1.3M
Net VEX-71.4K-76.2K-64.4K-67.3K-70.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.020.690.200.34
Total Volume951.0952062,3691,060351
Total OI40,470.66737,98143,13440,75239,894

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$11.46$12.5049.2%14.1%41.4%53.9%50.4%5.3%0.4%111.3K4.0M-67.3K0.2018.95N/AN/A88717325,35115,401
2010-07-02$11.68$12.5046.9%13.4%38.8%48.2%45.8%12.5%1.8%138.6K3.1M-68.9K0.1413.00N/AN/A4416125,61915,430
2010-07-06$11.51$12.5051.6%14.2%37.3%59.8%44.6%13.9%-0.1%124.1K4.0M-64.4K0.2510.82N/AN/A44811325,72215,437
2010-07-07$12.00$12.5045.9%13.4%39.3%48.4%46.9%17.9%1.0%178.2K2.6M-68.2K0.3312.85N/AN/A92731025,81315,494
2010-07-08$12.09$12.5046.5%12.8%39.4%50.1%45.0%17.6%2.0%209.2K1.9M-69.0K0.1016.83N/AN/A6516425,91615,572
2010-07-09$12.40$12.5038.4%12.2%37.9%28.7%42.5%19.7%3.8%279.1K860.5K-71.2K0.6910.23N/AN/A33423126,03015,587
2010-07-12$12.30$12.5049.8%12.6%37.6%58.6%44.3%17.1%1.5%260.9K1.4M-68.2K0.6221.08N/AN/A28617826,07815,652
2010-07-13$12.80$12.5044.5%12.2%40.0%44.7%42.7%10.5%3.1%339.8K-1.7M-71.8K0.1413.77N/AN/A73810626,20315,683
2010-07-14$12.96$12.5038.3%12.5%40.1%30.8%43.2%11.8%0.9%323.9K-3.4M-74.2K0.3213.76N/AN/A1,79957026,41515,603
2010-07-15$13.10$12.5043.4%12.4%40.2%45.2%43.8%7.4%-3.9%185.8K-3.9M-73.3K0.1217.98N/AN/A2,05225225,87715,597
2010-07-16$13.02$12.5043.1%12.4%40.1%44.4%40.9%7.4%2.7%234.1K-5.2M-76.2K0.4220.54N/AN/A1,66469627,39415,740
2010-07-19$12.72$12.5043.1%12.4%40.9%44.4%42.9%5.9%4.0%141.7K591.1K-72.2K0.5014.27N/AN/A43321622,96715,014
2010-07-20$13.15$12.5045.3%13.0%42.5%50.7%43.6%8.7%0.1%170.9K-1.1M-75.4K0.1224.96N/AN/A1,23014523,28515,180
2010-07-21$12.75$12.5044.3%12.7%43.3%47.6%41.1%6.4%2.0%149.6K471.2K-72.4K0.3521.24N/AN/A62721823,50215,247
2010-07-22$13.16$12.5043.0%12.3%44.6%43.9%37.7%8.9%1.9%181.4K-1.1M-74.2K0.0220.07N/AN/A7561723,86215,259
2010-07-23$13.31$12.5036.5%10.5%44.1%25.6%37.5%6.3%3.9%200.9K-1.8M-74.4K0.0518.27N/AN/A1,4496824,22415,272
2010-07-26$13.37$12.5038.9%11.1%44.1%32.4%40.8%5.8%0.1%213.7K-2.4M-73.7K0.1011.12N/AN/A5795824,37615,040
2010-07-27$13.14$12.5043.5%12.5%44.4%45.6%41.2%4.4%-0.2%206.7K-1.6M-73.2K0.1813.67N/AN/A3596424,53515,063
2010-07-28$13.07$12.5042.8%12.3%33.0%43.5%41.9%-1.4%1.9%204.1K-1.1M-71.4K0.1413.76N/AN/A1812524,65515,089
2010-07-29$13.07$12.5045.5%13.0%33.1%51.1%40.3%3.3%-1.0%202.3K-877.5K-70.3K0.5217.84N/AN/A1427424,69715,109
2010-07-30$13.22$12.5044.6%12.8%32.9%48.6%44.8%7.6%0.5%217.0K-1.3M-70.2K0.3417.45N/AN/A2628924,76515,129