DSX Options History — August 2010

In August 2010, DSX traded between $11.67 and $13.39. ATM implied volatility averaged 39.9%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 9.0% (HV 20d: 30.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-08-09: Highest Volume — 7,324 contracts
  • 2010-08-11: Largest IV spike — 21.0% change
  • 2010-08-03: Highest IV Rank — 50.1%
  • 2010-08-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.53$11.67$13.39$13.28$11.89
Max Pain$13.82$12.50$15.00$12.50$14.00
ATM IV39.9%33.5%45.1%40.6%39.2%
Expected Move11.6%10.5%12.9%11.6%11.2%
HV 20d30.9%27.7%33.9%32.6%31.3%
HV 60d38.5%34.3%43.5%43.5%34.3%
IV Rank35.4%17.3%50.1%37.2%33.3%
IV Percentile27.7%9.9%45.2%27.4%25.8%
Term Structure2.2%-1.7%8.2%-1.4%3.1%
VWIV39.7%34.9%42.8%41.5%39.1%
Skew 25d4.1%0.3%15.5%2.1%1.7%
Skew 10d3.3%-14.8%22.7%-4.3%0.4%
Call IV 25d38.6%21.6%44.1%41.8%37.6%
Put IV 25d42.7%37.1%47.3%44.0%39.3%
Bid-Ask Spread %18.4311.1025.3611.1020.34
Gamma HHI0.340.250.720.430.30
Net GEX254.7K-48.4K1.4M226.2K-46.5K
Net DEX2.1M-5.5M7.0M-2.0M6.3M
Net VEX-58.6K-76.8K-44.5K-68.7K-45.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.015.200.305.20
Total Volume1,067.1821837,3245961,538
Total OI43,358.81839,96549,07040,13041,157

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$13.28$12.5040.6%11.6%32.6%37.2%41.5%2.1%-1.4%226.2K-2.0M-68.7K0.3011.10N/AN/A46013624,95915,171
2010-08-03$13.02$12.5045.1%12.9%33.1%50.1%42.8%2.3%-1.7%214.7K-613.0K-67.7K0.9514.68N/AN/A26024825,16515,236
2010-08-04$13.11$12.5043.6%12.5%30.3%45.9%37.9%3.7%0.8%223.7K-1.2M-69.8K0.0216.16N/AN/A335725,23815,394
2010-08-05$13.16$12.5037.0%10.6%30.3%27.0%34.9%15.5%4.1%227.7K-969.0K-66.1K0.1118.62N/AN/A3634125,35815,396
2010-08-06$13.04$15.0038.6%11.7%29.6%31.5%39.3%5.5%0.7%221.3K-103.8K-64.4K2.5816.34N/AN/A10627425,48515,417
2010-08-09$13.39$15.0037.9%11.2%30.5%29.7%39.4%2.7%1.6%253.3K-2.8M-68.1K0.0123.11N/AN/A7,2636125,53715,584
2010-08-10$13.29$14.0033.5%11.2%27.7%17.3%39.8%3.8%0.8%601.3K-5.5M-76.8K0.6120.61N/AN/A34320833,50415,566
2010-08-11$12.58$14.0040.6%12.4%33.9%37.2%40.1%3.5%0.6%325.8K787.1K-65.6K0.1125.34N/AN/A2,56028331,64515,578
2010-08-12$12.48$14.0043.3%12.4%33.6%45.1%42.1%3.8%1.9%300.2K1.8M-64.7K0.6722.87N/AN/A1419531,56015,660
2010-08-13$12.35$14.0042.4%12.2%33.7%42.5%42.4%1.9%2.9%275.5K2.9M-60.5K0.1823.49N/AN/A4017331,50515,638
2010-08-16$12.25$14.0041.7%12.0%32.9%40.4%35.6%5.8%3.9%258.0K3.4M-57.4K0.2724.07N/AN/A1443931,47815,621
2010-08-17$12.64$14.0041.9%12.0%32.6%41.0%42.3%5.5%1.8%374.7K1.3M-59.6K1.2616.24N/AN/A30638731,42915,617
2010-08-18$12.70$14.0041.5%11.9%30.9%39.8%42.1%0.3%2.0%369.5K880.4K-59.3K0.1025.36N/AN/A7567731,32315,694
2010-08-19$12.53$14.0041.9%12.0%28.8%41.0%42.1%0.3%2.4%520.2K1.8M-59.7K0.1617.14N/AN/A1,84730131,44715,659
2010-08-20$12.51$14.0039.1%11.2%28.3%33.0%38.6%8.6%4.8%1.4M2.9M-56.3K0.3718.55N/AN/A94335130,88615,748
2010-08-23$12.28$14.0036.5%10.5%28.7%25.6%36.5%1.5%8.2%12.9K4.9M-50.0K0.5917.01N/AN/A33419725,34114,624
2010-08-24$12.02$14.0039.6%11.3%29.0%34.3%40.4%0.4%1.7%-7.4K5.8M-48.5K0.3814.47N/AN/A73827825,52414,740
2010-08-25$11.76$14.0038.2%11.0%29.6%30.6%40.8%6.2%3.6%-39.3K7.0M-44.7K0.3815.54N/AN/A33112625,66414,912
2010-08-26$11.67$14.0041.0%11.8%29.6%38.4%39.0%2.3%1.0%-44.4K7.0M-44.5K0.4315.08N/AN/A27711825,71414,942
2010-08-27$12.00$14.0036.5%10.5%31.3%25.6%37.5%9.9%4.3%-35.2K6.2M-46.9K0.5214.24N/AN/A22211625,83314,962
2010-08-30$11.80$14.0039.2%11.2%31.4%33.3%40.2%2.8%2.0%-48.4K6.4M-44.8K0.6815.21N/AN/A23416026,00514,978
2010-08-31$11.89$14.0039.2%11.2%31.3%33.3%39.1%1.7%3.1%-46.5K6.3M-45.0K5.2020.34N/AN/A2481,29026,10615,051