DSX Options History — November 2010

In November 2010, DSX traded between $12.63 and $14.03. ATM implied volatility averaged 35.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.4% (HV 20d: 26.8%). Max pain ranged from $12.50 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2010-11-30: Highest Volume — 8,114 contracts
  • 2010-11-08: Largest IV spike — 15.5% change
  • 2010-11-09: Highest IV Rank — 40.7%
  • 2010-11-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.35$12.63$14.03$13.46$13.49
Max Pain$12.60$12.50$13.00$13.00$12.50
ATM IV35.2%30.9%39.6%35.4%33.8%
Expected Move10.0%9.0%10.9%10.2%9.7%
HV 20d26.8%24.3%34.3%31.1%34.3%
HV 60d27.6%26.4%29.6%29.6%29.5%
IV Rank26.5%13.6%40.7%25.0%22.8%
IV Percentile27.7%10.7%46.4%27.8%23.0%
Term Structure0.0%-6.1%4.4%-4.1%0.7%
VWIV33.9%31.5%37.6%34.7%33.4%
Skew 25d2.1%-5.7%8.4%-0.1%8.4%
Skew 10d3.9%-9.4%30.0%-0.2%30.0%
Call IV 25d32.6%29.0%37.5%31.5%31.8%
Put IV 25d34.7%30.7%40.2%31.4%40.2%
Bid-Ask Spread %26.8514.9378.6243.0030.02
Gamma HHI0.230.190.320.200.25
Net GEX217.4K12.9K446.7K170.2K159.2K
Net DEX-3.1M-8.2M1.6M-3.0M-3.4M
Net VEX-48.5K-54.4K-42.5K-50.9K-44.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.041.530.410.04
Total Volume1,554.812728,1144408,114
Total OI35,648.57132,98738,88732,98735,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$13.46$13.0035.4%10.2%31.1%25.0%34.7%-0.1%-4.1%170.2K-3.0M-50.9K0.4143.00N/AN/A31312718,48014,507
2010-11-02$13.49$13.0038.2%10.9%30.8%32.5%35.3%4.7%-6.1%170.5K-3.1M-50.5K0.3919.59N/AN/A2058018,49914,558
2010-11-03$13.43$13.0035.7%10.2%30.8%25.7%32.6%0.4%-3.8%160.4K-2.6M-48.4K0.0526.74N/AN/A4862518,49514,565
2010-11-04$13.36$13.0036.3%10.4%25.7%27.5%34.9%0.4%-3.9%165.4K-2.5M-48.9K0.1019.70N/AN/A1,06910718,56014,582
2010-11-05$13.62$12.5030.9%9.2%26.6%13.6%32.9%4.7%0.3%211.9K-4.4M-49.9K0.1817.80N/AN/A1,02017918,88714,667
2010-11-08$14.03$12.5035.7%9.5%25.3%28.5%34.6%7.2%0.6%264.7K-7.2M-49.9K0.1116.80N/AN/A1,75418519,50814,716
2010-11-09$13.82$12.5039.6%10.2%25.9%40.7%35.5%2.2%-0.6%277.5K-7.0M-50.9K0.0544.60N/AN/A3,14816020,12914,622
2010-11-10$13.80$12.5035.3%10.1%25.2%27.5%34.2%5.2%0.1%358.4K-7.4M-51.8K0.1121.62N/AN/A1,24014021,24914,741
2010-11-11$13.98$12.5037.3%10.7%25.6%33.5%33.6%6.9%-2.2%364.5K-8.2M-52.9K0.1323.03N/AN/A2,67833521,44114,828
2010-11-12$13.60$12.5037.5%10.8%27.4%34.1%37.6%3.4%0.1%374.5K-5.7M-54.4K0.1124.09N/AN/A1,78520423,06015,125
2010-11-15$13.55$12.5035.5%10.2%27.2%28.1%35.9%3.2%0.4%446.7K-5.4M-51.5K0.2423.51N/AN/A77718823,27515,196
2010-11-16$13.15$12.5036.7%10.5%25.0%31.7%34.3%1.9%0.5%272.7K-1.6M-48.5K1.2723.64N/AN/A48461423,39815,309
2010-11-17$13.03$12.5036.2%10.4%25.1%30.1%31.7%1.8%2.0%269.5K-587.2K-47.3K1.1416.16N/AN/A41747623,42415,184
2010-11-18$13.27$12.5032.8%9.4%25.5%19.7%31.7%5.3%2.7%254.2K-3.2M-48.2K0.1216.98N/AN/A7018523,47115,299
2010-11-19$13.16$12.5033.5%9.6%25.2%21.9%32.0%1.8%1.4%340.5K-2.9M-46.5K0.2814.93N/AN/A1,24534423,73715,150
2010-11-22$13.11$12.5036.6%10.5%24.5%31.3%36.1%-0.1%0.5%115.3K-1.3M-47.6K0.6678.62N/AN/A74048619,41314,531
2010-11-23$12.83$12.5032.9%9.4%25.5%20.2%32.6%-0.4%3.6%64.0K625.6K-44.6K0.2339.30N/AN/A51912119,69614,873
2010-11-24$12.87$12.5031.4%9.0%25.4%15.4%31.5%-3.5%4.4%75.3K150.1K-44.1K1.5315.23N/AN/A37257119,81414,958
2010-11-26$12.70$12.5034.2%9.8%25.7%23.9%33.1%-3.2%1.9%36.9K1.1M-44.3K0.5120.85N/AN/A1809219,98315,462
2010-11-29$12.63$12.5034.1%9.8%24.3%23.8%34.1%-5.7%1.8%12.9K1.6M-42.5K1.0827.65N/AN/A42645920,10215,513
2010-11-30$13.49$12.5033.8%9.7%34.3%22.8%33.4%8.4%0.7%159.2K-3.4M-44.0K0.0430.02N/AN/A7,83927519,99415,619