DSX Options History — September 2010

In September 2010, DSX traded between $12.11 and $12.93. ATM implied volatility averaged 34.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.5% (HV 20d: 29.0%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2010-09-01: Highest Volume — 2,055 contracts
  • 2010-09-24: Largest IV drop — 11.9% change
  • 2010-09-15: Highest IV Rank — 31.9%
  • 2010-09-07: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.46$12.11$12.93$12.30$12.70
Max Pain$12.19$12.00$14.00$14.00$12.00
ATM IV34.5%29.5%38.7%36.7%30.5%
Expected Move10.0%8.4%11.2%10.5%8.8%
HV 20d29.0%23.0%34.2%34.0%23.0%
HV 60d33.2%29.4%34.6%34.5%29.4%
IV Rank20.2%5.8%31.9%26.2%8.8%
IV Percentile14.4%4.0%28.2%17.9%6.0%
Term Structure2.9%-1.0%5.1%4.6%2.7%
VWIV34.1%29.1%38.0%36.7%30.5%
Skew 25d6.3%-1.3%12.9%12.9%4.8%
Skew 10d10.2%-1.7%31.0%21.4%7.7%
Call IV 25d30.4%23.4%37.1%29.8%27.6%
Put IV 25d36.7%29.2%42.7%42.7%32.4%
Bid-Ask Spread %21.999.2830.1511.0730.15
Gamma HHI0.250.150.390.270.21
Net GEX-43.7K-170.9K96.8K-40.0K87.7K
Net DEX3.8M-385.6K7.9M5.4M421.3K
Net VEX-53.2K-56.8K-49.0K-52.3K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.024.274.270.37
Total Volume765.9053222,0552,055383
Total OI37,86325,63845,04442,55530,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$12.30$14.0036.7%10.5%34.0%26.2%36.7%12.9%4.6%-40.0K5.4M-52.3K4.2711.07N/AN/A3901,66526,27816,277
2010-09-02$12.28$14.0036.4%10.4%33.9%25.4%36.4%-1.3%3.1%-57.2K5.9M-56.2K0.139.28N/AN/A4005326,49517,750
2010-09-03$12.43$12.0034.6%11.0%34.2%20.3%38.0%6.1%1.4%-51.7K5.3M-56.8K0.2219.70N/AN/A2655726,64917,782
2010-09-07$12.20$12.0038.3%11.2%32.9%30.8%37.3%4.1%1.6%-78.7K6.3M-53.5K0.3522.44N/AN/A36112626,76317,782
2010-09-08$12.45$12.0034.6%11.0%34.1%20.3%36.5%5.1%2.4%-85.8K5.3M-53.7K2.7923.78N/AN/A16245226,90817,720
2010-09-09$12.35$12.0037.3%10.7%28.2%27.9%33.9%4.2%3.0%-103.3K5.6M-53.2K0.6123.17N/AN/A22013427,01117,690
2010-09-10$12.18$12.0036.6%10.5%28.5%26.1%36.4%2.2%3.4%-111.2K6.4M-52.4K3.1527.25N/AN/A9128726,99017,732
2010-09-13$12.50$12.0038.5%11.0%29.8%31.4%35.4%5.8%1.7%-139.6K5.4M-52.4K2.6922.22N/AN/A27273327,00517,884
2010-09-14$12.29$12.0038.4%11.0%30.3%31.0%35.7%9.5%-1.0%-144.5K6.2M-51.2K0.8822.52N/AN/A23921127,08617,665
2010-09-15$12.33$12.0038.7%11.1%28.0%31.9%35.9%9.7%1.6%-170.9K6.1M-52.3K1.2017.23N/AN/A30937127,09817,710
2010-09-16$12.27$12.0037.1%10.6%28.0%27.4%36.7%9.3%1.9%-165.3K6.7M-50.2K0.6621.49N/AN/A32021227,17517,827
2010-09-17$12.11$12.0033.9%9.7%27.9%18.3%34.1%4.2%5.1%-107.0K7.9M-49.0K1.5019.93N/AN/A47070427,18117,863
2010-09-20$12.46$12.0033.7%9.7%29.9%17.8%32.2%7.4%4.2%-42.1K2.4M-49.7K0.2020.82N/AN/A1,66032812,56913,069
2010-09-21$12.56$12.0031.9%9.2%29.2%12.9%32.5%7.3%2.4%-13.6K1.5M-51.4K0.1323.25N/AN/A93012413,85813,349
2010-09-22$12.50$12.0033.2%9.5%28.1%16.3%33.0%6.7%3.9%6.3K1.6M-52.4K1.0722.90N/AN/A73478914,56713,327
2010-09-23$12.44$12.0033.5%9.6%26.8%17.3%33.5%0.3%4.8%12.5K2.1M-52.9K0.3023.36N/AN/A42212615,15013,963
2010-09-24$12.70$12.0029.5%8.5%27.2%6.1%29.1%6.2%4.0%41.2K939.9K-55.1K0.4325.85N/AN/A49121015,47214,055
2010-09-27$12.81$12.0032.4%9.3%25.8%14.1%32.1%8.3%2.0%64.1K28.5K-55.4K0.1725.13N/AN/A5268815,79714,211
2010-09-28$12.93$12.0030.2%8.7%24.8%7.9%30.3%10.8%2.8%83.5K-336.5K-55.7K0.0225.98N/AN/A350616,06614,228
2010-09-29$12.87$12.0029.5%8.4%25.0%5.8%29.6%8.5%4.9%96.8K-385.6K-56.1K0.0224.25N/AN/A405816,25014,234
2010-09-30$12.70$12.0030.5%8.8%23.0%8.8%30.5%4.8%2.7%87.7K421.3K-54.8K0.3730.15N/AN/A27910416,39514,242