DSX Options History — December 2010

In December 2010, DSX traded between $11.82 and $13.53. ATM implied volatility averaged 30.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.7% (HV 20d: 29.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2010-12-15: Highest Volume — 3,598 contracts
  • 2010-12-14: Largest IV spike — 62.5% change
  • 2010-12-14: Highest IV Rank — 52.0%
  • 2010-12-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.80$11.82$13.53$13.53$12.02
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV30.6%22.1%41.3%32.3%30.0%
Expected Move9.1%7.8%10.9%9.2%8.6%
HV 20d29.8%20.6%35.1%34.4%22.2%
HV 60d28.7%27.9%29.6%29.2%29.6%
IV Rank20.0%0.0%52.0%18.1%21.5%
IV Percentile14.2%0.0%62.7%15.1%12.7%
Term Structure1.9%-2.5%4.6%0.7%3.1%
VWIV31.3%26.8%35.1%32.5%30.2%
Skew 25d2.1%-4.8%9.2%8.2%6.2%
Skew 10d5.6%-12.4%28.0%28.0%11.0%
Call IV 25d30.4%22.5%35.1%29.1%28.3%
Put IV 25d32.6%24.7%38.5%37.4%34.5%
Bid-Ask Spread %16.418.0630.5529.878.83
Gamma HHI0.270.220.370.310.23
Net GEX53.0K-178.3K307.8K261.3K-178.3K
Net DEX-925.1K-5.1M5.7M-5.1M4.6M
Net VEX-44.7K-49.4K-40.0K-48.2K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.072.080.190.40
Total Volume1,313.3643613,5981,073706
Total OI38,620.68232,83342,26738,04839,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$13.53$12.5032.3%9.2%34.4%18.1%32.5%8.2%0.7%261.3K-5.1M-48.2K0.1929.87N/AN/A89917422,25715,791
2010-12-02$13.41$12.5028.7%8.2%34.5%7.4%32.1%7.8%4.1%265.5K-4.9M-46.5K0.3824.01N/AN/A58722522,38215,848
2010-12-03$13.15$12.5034.8%10.0%35.1%25.8%33.6%1.4%1.4%190.9K-3.0M-45.4K0.0722.06N/AN/A2,90419122,37715,814
2010-12-06$13.22$12.5037.0%10.9%34.4%32.6%34.8%4.7%-2.5%307.8K-4.7M-48.8K0.2017.97N/AN/A3286724,72015,890
2010-12-07$13.16$12.5029.2%10.4%32.4%8.7%34.9%3.3%-0.1%287.6K-4.3M-47.5K0.2816.15N/AN/A39811224,79215,931
2010-12-08$13.04$12.5031.4%10.1%32.2%15.5%33.8%3.5%1.2%220.3K-3.3M-46.3K0.5117.84N/AN/A37619124,94415,829
2010-12-09$13.00$12.5033.3%10.0%32.2%21.2%35.1%2.0%3.0%163.5K-2.8M-46.5K0.6018.80N/AN/A22613525,09516,005
2010-12-10$13.10$12.5022.1%10.2%31.9%0.0%34.4%4.1%0.1%145.8K-3.8M-45.9K1.0230.55N/AN/A51652525,05316,097
2010-12-13$13.11$12.5025.4%10.1%30.6%9.0%34.5%-2.5%0.6%131.6K-4.0M-44.8K1.1616.91N/AN/A30835825,17616,347
2010-12-14$12.99$12.5041.3%9.5%30.7%52.0%32.1%-1.2%1.8%160.9K-2.8M-44.1K0.2411.88N/AN/A1,44535225,25316,638
2010-12-15$12.80$12.5034.0%9.7%29.3%32.2%32.0%-2.2%0.8%60.1K-1.7M-42.1K0.5513.02N/AN/A2,3171,28125,42816,839
2010-12-16$12.65$12.5031.3%9.0%29.4%24.8%31.3%-4.8%2.4%-27.9K303.6K-41.3K2.0817.47N/AN/A47097624,25217,138
2010-12-17$12.71$12.5029.8%8.5%28.6%20.9%30.1%-4.6%4.3%-45.9K-914.1K-42.0K0.4610.92N/AN/A76234824,28217,670
2010-12-20$12.63$12.5027.3%7.8%28.5%14.1%27.4%-4.1%3.7%-91.2K1.1M-40.0K1.118.91N/AN/A49855317,42115,412
2010-12-21$12.89$12.5029.6%8.5%29.6%20.2%26.8%0.5%1.0%-37.4K16.1K-42.5K0.099.82N/AN/A8848117,69215,801
2010-12-22$12.94$12.5027.6%7.9%28.6%14.9%27.5%0.4%3.3%-39.5K-398.0K-42.3K0.149.35N/AN/A81511217,98315,849
2010-12-23$12.80$12.5029.3%8.4%28.8%19.5%29.2%-1.1%0.4%-38.8K-287.5K-44.1K0.718.06N/AN/A54839118,53715,938
2010-12-27$12.63$12.5029.3%8.4%28.8%19.4%27.4%7.3%2.9%-92.1K1.1M-42.8K0.6819.26N/AN/A88059918,86616,307
2010-12-28$12.08$12.5029.0%8.3%32.8%18.6%28.8%9.2%4.6%-149.4K4.0M-42.8K0.8615.27N/AN/A1,12296319,40616,817
2010-12-29$11.92$12.5030.6%8.8%20.9%23.2%31.2%5.3%3.2%-159.4K4.9M-44.0K0.9016.64N/AN/A1,5061,35019,73617,463
2010-12-30$11.82$12.5029.6%8.5%20.6%20.3%29.3%3.2%2.4%-168.5K5.7M-46.0K1.1817.46N/AN/A64976620,52918,395
2010-12-31$12.02$12.5030.0%8.6%22.2%21.5%30.2%6.2%3.1%-178.3K4.6M-49.4K0.408.83N/AN/A50320320,87418,781