DSX Options History — February 2011

In February 2011, DSX traded between $11.74 and $12.64. ATM implied volatility averaged 27.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.9% (HV 20d: 26.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2011-02-02: Highest Volume — 5,782 contracts
2011-02-10: Largest IV spike — 30.1% change
2011-02-18: Highest IV Rank — 23.9%
2011-02-18: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.24	$11.74	$12.64	$11.74	$12.46
Max Pain	$12.11	$12.00	$13.00	$13.00	$12.00
ATM IV	27.0%	23.2%	30.9%	28.1%	23.9%
Expected Move	8.1%	6.9%	8.9%	8.1%	6.9%
HV 20d	26.1%	21.4%	28.4%	25.3%	25.2%
HV 60d	27.0%	24.4%	28.3%	27.6%	24.4%
IV Rank	13.3%	3.1%	23.9%	16.3%	5.1%
IV Percentile	9.1%	0.4%	27.8%	7.5%	1.6%
Term Structure	2.0%	-1.1%	5.6%	1.3%	4.1%
VWIV	27.9%	23.0%	32.3%	28.6%	23.0%
Skew 25d	3.4%	-5.5%	9.2%	9.2%	2.0%
Skew 10d	6.5%	-5.3%	17.9%	16.2%	7.2%
Call IV 25d	25.0%	17.5%	31.2%	24.4%	22.0%
Put IV 25d	28.4%	23.0%	33.7%	33.7%	24.0%
Bid-Ask Spread %	30.24	15.20	62.66	43.92	37.55
Gamma HHI	0.25	0.18	0.34	0.18	0.21
Net GEX	129.2K	8.2K	206.8K	8.2K	206.8K
Net DEX	-2.6M	-4.0M	24.4K	24.4K	-3.6M
Net VEX	-25.3K	-31.1K	-9.5K	-9.5K	-31.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	2.60	0.07	0.17
Total Volume	691.947	143	5,782	184	429
Total OI	10,703.053	4,884	12,379	4,884	12,379

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$11.74	$13.00	28.1%	8.1%	25.3%	16.3%	28.6%	9.2%	1.3%	8.2K	24.4K	-9.5K	0.07	43.92	N/A	N/A	172	12	2,836	2,048
2011-02-02	$12.08	$13.00	26.4%	7.6%	27.2%	11.5%	26.4%	4.9%	2.3%	10.2K	-424.1K	-10.0K	0.02	29.74	N/A	N/A	5,693	89	2,927	2,040
2011-02-03	$12.14	$12.00	24.3%	7.0%	26.8%	5.9%	24.3%	5.6%	5.6%	123.4K	-2.5M	-29.5K	0.42	19.17	N/A	N/A	161	67	9,861	1,985
2011-02-04	$12.13	$12.00	25.1%	8.6%	26.8%	8.2%	28.4%	5.9%	1.0%	101.6K	-2.0M	-24.5K	1.63	23.96	N/A	N/A	115	188	8,319	2,031
2011-02-07	$12.17	$12.00	24.6%	8.5%	26.1%	6.9%	28.3%	2.6%	2.6%	108.1K	-2.1M	-24.1K	0.93	26.87	N/A	N/A	123	114	8,360	2,173
2011-02-08	$12.22	$12.00	23.2%	8.2%	26.2%	3.1%	28.3%	4.3%	2.7%	115.5K	-2.2M	-24.0K	0.42	31.90	N/A	N/A	101	42	8,427	2,177
2011-02-09	$12.07	$12.00	23.3%	8.5%	26.5%	3.2%	29.8%	1.8%	0.6%	116.4K	-2.0M	-24.4K	0.37	24.11	N/A	N/A	236	88	8,487	2,193
2011-02-10	$12.03	$12.00	30.2%	8.7%	26.3%	22.1%	32.3%	1.8%	1.2%	121.3K	-1.9M	-24.1K	0.17	34.54	N/A	N/A	349	60	8,682	2,233
2011-02-11	$12.17	$12.00	30.3%	8.7%	26.6%	22.2%	30.4%	1.5%	1.4%	128.0K	-2.2M	-24.9K	0.28	23.33	N/A	N/A	176	50	8,829	2,287
2011-02-14	$12.36	$12.00	30.0%	8.6%	27.2%	21.5%	29.8%	4.0%	-0.9%	132.6K	-3.0M	-25.9K	0.04	25.55	N/A	N/A	817	34	8,882	2,310
2011-02-15	$12.64	$12.00	29.5%	8.4%	28.4%	20.0%	29.6%	6.4%	1.6%	125.7K	-3.7M	-28.0K	0.10	30.12	N/A	N/A	525	54	9,193	2,340
2011-02-16	$12.61	$12.00	27.4%	7.9%	28.2%	14.5%	28.0%	6.9%	2.4%	145.1K	-4.0M	-29.1K	0.29	28.76	N/A	N/A	204	60	9,479	2,393
2011-02-17	$12.60	$12.00	29.5%	8.5%	21.4%	20.0%	29.2%	5.6%	2.0%	142.2K	-3.9M	-29.2K	0.00	18.88	N/A	N/A	406	1	9,626	2,435
2011-02-18	$12.56	$12.00	30.9%	8.9%	21.5%	23.9%	30.3%	3.8%	-1.1%	150.3K	-3.9M	-29.2K	0.03	15.20	N/A	N/A	578	20	9,584	2,435
2011-02-22	$11.96	$12.00	27.9%	8.0%	27.6%	15.6%	27.9%	-5.5%	2.1%	165.9K	-2.6M	-25.3K	0.28	47.78	N/A	N/A	687	190	9,283	1,471
2011-02-23	$12.07	$12.00	27.0%	7.7%	27.1%	13.3%	26.6%	-4.3%	2.5%	178.0K	-2.7M	-27.1K	2.60	20.92	N/A	N/A	254	660	9,648	1,659
2011-02-24	$12.19	$12.00	27.2%	7.8%	26.0%	13.8%	25.9%	8.1%	1.3%	183.5K	-2.9M	-30.5K	0.42	62.66	N/A	N/A	171	71	9,782	2,303
2011-02-25	$12.27	$12.00	24.4%	7.0%	24.9%	6.3%	23.6%	0.3%	5.0%	192.4K	-3.0M	-31.0K	0.23	29.59	N/A	N/A	122	28	9,917	2,344
2011-02-28	$12.46	$12.00	23.9%	6.9%	25.2%	5.1%	23.0%	2.0%	4.1%	206.8K	-3.6M	-31.1K	0.17	37.55	N/A	N/A	368	61	10,012	2,367