DSX Options History — January 2011

In January 2011, DSX traded between $11.59 and $12.52. ATM implied volatility averaged 28.2%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.3% (HV 20d: 24.9%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-01-06: Highest Volume — 2,304 contracts
  • 2011-01-13: Largest IV spike — 32.3% change
  • 2011-01-13: Highest IV Rank — 25.3%
  • 2011-01-10: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.12$11.59$12.52$12.12$11.61
Max Pain$12.11$12.00$12.50$12.50$12.00
ATM IV28.2%23.8%31.4%29.3%30.5%
Expected Move8.4%7.4%9.3%8.4%8.7%
HV 20d24.9%22.1%29.4%22.1%25.7%
HV 60d26.9%25.4%28.0%27.9%27.5%
IV Rank16.6%4.5%25.3%19.5%22.8%
IV Percentile7.3%0.4%19.8%8.3%19.4%
Term Structure2.2%-0.2%5.3%3.3%-0.1%
VWIV28.9%25.7%32.1%29.0%29.8%
Skew 25d3.4%-5.6%8.7%-3.6%4.0%
Skew 10d7.7%-3.2%16.7%-2.4%11.9%
Call IV 25d25.6%20.5%30.8%27.5%26.8%
Put IV 25d29.0%18.7%33.8%23.9%30.8%
Bid-Ask Spread %28.908.37113.858.6028.20
Gamma HHI0.240.190.480.240.20
Net GEX-101.5K-244.3K15.3K-191.4K11.9K
Net DEX730.0K-1.9M4.0M4.0M39.0K
Net VEX-35.8K-60.2K-977-49.5K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0613.680.766.77
Total Volume1,064.6843172,3041,339365
Total OI27,004.05341545,60339,9784,609

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$12.12$12.5029.3%8.4%22.1%19.5%29.0%-3.6%3.3%-191.4K4.0M-49.5K0.768.60N/AN/A76257721,10418,874
2011-01-04$12.28$12.5028.1%8.0%22.7%16.1%28.0%-3.3%5.3%-207.6K3.2M-52.1K0.169.94N/AN/A73911721,56819,346
2011-01-05$12.30$12.5028.4%8.1%22.8%17.1%28.4%-2.0%1.6%-188.9K2.4M-51.9K0.698.37N/AN/A82456821,84519,111
2011-01-06$12.50$12.5028.7%8.2%23.7%18.0%28.7%1.5%3.9%-137.7K690.0K-54.1K0.249.89N/AN/A1,86543922,44419,140
2011-01-07$12.48$12.0028.1%9.3%23.7%16.3%32.1%1.8%-0.2%-123.5K545.4K-55.6K0.7627.56N/AN/A59144823,38619,031
2011-01-10$12.43$12.0027.2%9.3%23.4%14.0%30.3%8.5%-0.2%-139.6K780.5K-55.0K1.6221.83N/AN/A13221423,73619,164
2011-01-11$12.31$12.0027.4%8.9%23.5%14.4%31.3%7.8%0.7%-143.3K1.7M-54.3K0.2615.09N/AN/A81520923,79019,333
2011-01-12$12.39$12.0023.8%8.8%23.6%4.5%30.0%8.0%2.4%-176.8K974.7K-55.2K0.0621.47N/AN/A1,91111624,08819,486
2011-01-13$12.42$12.0031.4%9.0%23.2%25.3%30.2%7.4%0.7%-160.4K-319.4K-60.1K0.1819.94N/AN/A73713025,64319,566
2011-01-14$12.41$12.0030.7%8.8%22.9%23.2%30.0%7.6%1.2%-157.3K-837.7K-60.2K0.2121.36N/AN/A77716725,99219,611
2011-01-18$12.52$12.0027.7%7.9%23.1%15.2%30.2%5.5%3.4%-244.3K-1.9M-57.7K0.2215.70N/AN/A1,73537525,88519,567
2011-01-20$11.92$12.0029.1%8.3%28.7%18.9%29.2%-0.8%4.5%-90.0K2.1M-32.6K13.68113.85N/AN/A314249,28511,024
2011-01-21$11.95$12.0027.8%8.0%27.5%15.4%27.2%-0.2%2.9%-10.4K265.6K-9770.4923.36N/AN/A92545431384
2011-01-24$11.77$12.0025.7%7.4%27.6%9.7%25.7%8.5%3.4%-12.4K255.2K-3.2K0.1849.85N/AN/A838147683837
2011-01-25$11.59$12.0030.1%8.6%27.8%21.7%26.1%3.8%0.2%6.3K123.1K-5.1K0.5541.63N/AN/A9195041,486950
2011-01-26$11.87$12.0028.2%8.1%29.4%16.5%28.2%8.7%0.5%10.3K-120.9K-7.6K0.3932.79N/AN/A3831492,3231,452
2011-01-27$11.64$12.0026.1%7.5%25.9%10.7%26.1%-5.6%4.9%10.6K21.9K-7.9K0.2239.01N/AN/A260572,4421,591
2011-01-28$11.72$12.0028.1%8.1%25.7%16.2%28.5%6.1%3.6%15.3K-23.7K-8.3K1.0940.70N/AN/A2512742,6221,648
2011-01-31$11.61$12.0030.5%8.7%25.7%22.8%29.8%4.0%-0.1%11.9K39.0K-9.0K6.7728.20N/AN/A473182,7921,817