DSX Options History — October 2010

In October 2010, DSX traded between $12.51 and $14.08. ATM implied volatility averaged 31.5%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.9% (HV 20d: 27.7%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-10-07: Highest Volume — 1,737 contracts
  • 2010-10-19: Largest IV spike — 23.1% change
  • 2010-10-19: Highest IV Rank — 27.5%
  • 2010-10-19: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$12.51$14.08$12.68$13.65
Max Pain$12.62$12.00$13.00$12.00$13.00
ATM IV31.5%26.3%36.4%29.6%30.1%
Expected Move9.5%8.5%10.4%8.5%8.6%
HV 20d27.7%21.7%31.0%23.0%31.0%
HV 60d29.3%28.0%30.5%29.4%29.6%
IV Rank13.6%0.0%27.5%6.2%10.4%
IV Percentile11.5%0.0%26.2%5.2%7.9%
Term Structure0.6%-3.9%4.2%4.2%1.3%
VWIV32.8%28.7%35.5%29.7%30.7%
Skew 25d5.6%1.5%11.6%4.8%7.4%
Skew 10d13.4%-0.7%26.2%7.3%6.3%
Call IV 25d29.3%23.2%33.6%27.8%25.6%
Put IV 25d34.9%32.6%37.5%32.6%32.9%
Bid-Ask Spread %25.4416.0640.4030.4623.60
Gamma HHI0.200.170.240.210.20
Net GEX151.3K69.2K234.1K84.9K183.5K
Net DEX-3.1M-7.4M1.5M490.0K-3.8M
Net VEX-53.9K-56.2K-51.2K-54.2K-51.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.042.151.770.35
Total Volume651.8571361,737313542
Total OI32,159.23830,71334,05730,71332,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$12.68$12.0029.6%8.5%23.0%6.2%29.7%4.8%4.2%84.9K490.0K-54.2K1.7730.46N/AN/A11320016,37714,336
2010-10-04$12.51$12.0028.7%10.2%23.3%3.6%35.4%3.3%3.3%69.2K1.5M-52.5K0.2920.64N/AN/A3199216,44214,510
2010-10-05$12.70$12.0029.3%9.5%22.7%5.3%31.5%6.1%2.9%98.6K558.8K-52.5K0.1719.45N/AN/A2354016,57114,562
2010-10-06$12.65$12.0027.9%9.9%21.7%1.4%35.5%4.8%0.4%95.6K861.0K-52.5K0.9620.41N/AN/A16315616,67814,553
2010-10-07$13.28$12.0031.9%9.9%27.2%12.8%33.2%10.6%-1.3%143.6K-2.4M-54.7K0.1721.28N/AN/A1,48225516,73414,681
2010-10-08$13.28$12.0026.3%9.4%26.5%0.0%31.6%5.0%-1.0%183.2K-3.0M-55.6K0.4819.83N/AN/A60228817,33014,828
2010-10-11$13.79$12.0032.0%10.2%28.0%15.6%34.0%2.1%-1.6%137.7K-5.4M-55.1K0.2228.03N/AN/A1,37930917,26314,986
2010-10-12$13.76$12.0035.2%9.3%27.0%24.3%33.4%3.3%1.1%185.4K-5.5M-55.2K0.5826.63N/AN/A60735018,03614,945
2010-10-13$13.99$13.0028.9%9.6%27.2%7.2%32.1%3.6%0.0%184.1K-6.9M-54.3K0.4928.84N/AN/A70134218,31215,247
2010-10-14$13.97$13.0033.0%9.5%27.1%18.3%33.3%3.5%1.0%234.1K-7.1M-55.7K0.0925.78N/AN/A6876418,63615,098
2010-10-15$13.98$13.0032.8%9.4%26.2%17.8%32.1%1.5%1.2%224.4K-7.4M-56.2K0.2827.87N/AN/A70820018,93715,120
2010-10-18$14.08$13.0029.5%8.5%24.9%8.8%28.7%6.8%2.9%168.9K-5.5M-55.0K0.6223.61N/AN/A36722817,20913,979
2010-10-19$13.49$13.0036.4%10.4%30.4%27.5%33.3%3.4%-3.9%133.2K-2.8M-54.7K0.3940.40N/AN/A39115417,44213,998
2010-10-20$13.45$13.0033.9%9.7%30.3%20.8%32.0%3.5%-0.9%139.1K-2.8M-55.3K0.5338.79N/AN/A1035517,62314,099
2010-10-21$13.25$13.0034.4%9.9%30.9%22.3%34.0%7.2%2.7%115.0K-1.6M-53.8K0.7123.43N/AN/A42129717,66014,154
2010-10-22$13.43$13.0032.0%9.2%30.5%15.7%32.3%6.6%0.7%144.2K-2.7M-54.3K0.0816.06N/AN/A5294317,89714,299
2010-10-25$13.63$13.0030.8%8.8%30.7%12.3%35.0%11.6%1.4%172.8K-3.9M-53.2K0.8318.96N/AN/A28423718,09314,335
2010-10-26$13.57$13.0031.6%9.0%30.7%14.3%33.0%9.9%-0.1%173.6K-3.5M-53.5K0.0423.95N/AN/A131518,20714,243
2010-10-27$13.44$13.0033.8%9.7%30.9%20.6%34.9%7.3%-0.7%157.1K-2.8M-51.3K2.1534.17N/AN/A7215518,25214,248
2010-10-28$13.38$13.0033.4%9.6%30.5%19.4%32.8%6.0%-2.0%149.2K-2.5M-51.3K0.1422.09N/AN/A3354818,27814,391
2010-10-29$13.65$13.0030.1%8.6%31.0%10.4%30.7%7.4%1.3%183.5K-3.8M-51.2K0.3523.60N/AN/A40214018,35414,401