DSX Options History — March 2011

In March 2011, DSX traded between $11.50 and $12.59. ATM implied volatility averaged 26.4%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.5% (HV 20d: 26.9%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-03-21: Highest Volume — 1,500 contracts
  • 2011-03-10: Largest IV spike — 34.3% change
  • 2011-03-17: Highest IV Rank — 46.9%
  • 2011-03-17: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.07$11.50$12.59$12.25$11.84
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV26.4%19.4%38.0%26.2%24.3%
Expected Move7.8%5.6%10.9%7.5%7.0%
HV 20d26.9%24.0%31.5%25.9%26.0%
HV 60d25.7%24.4%27.3%24.6%25.4%
IV Rank17.1%0.0%46.9%11.0%12.4%
IV Percentile13.4%0.0%65.9%4.8%5.6%
Term Structure2.7%-2.9%11.7%0.9%4.9%
VWIV27.1%18.4%36.4%26.2%24.3%
Skew 25d4.5%-2.1%11.8%8.6%-0.2%
Skew 10d6.7%-5.3%16.3%9.5%1.0%
Call IV 25d23.1%18.1%33.0%18.1%21.7%
Put IV 25d27.6%20.2%38.3%26.6%21.5%
Bid-Ask Spread %32.9920.7051.2737.4620.70
Gamma HHI0.210.180.290.210.20
Net GEX205.8K119.0K243.8K203.8K214.7K
Net DEX-2.6M-3.9M-450.5K-3.3M-1.9M
Net VEX-33.0K-36.6K-29.5K-31.4K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.006.970.590.15
Total Volume519.652811,500219419
Total OI14,858.30412,67617,63812,67617,638

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$12.25$12.0026.2%7.5%25.9%11.0%26.2%8.6%0.9%203.8K-3.3M-31.4K0.5937.46N/AN/A1388110,2802,396
2011-03-02$12.28$12.0025.9%7.4%25.7%10.3%26.9%-2.1%1.9%206.9K-3.4M-32.5K0.2924.74N/AN/A3219310,3622,450
2011-03-03$12.41$12.0019.4%5.6%24.0%0.0%18.4%-0.9%11.7%215.4K-3.7M-32.7K0.1628.71N/AN/A2514010,5742,516
2011-03-04$12.46$12.0020.0%7.8%24.0%1.7%26.9%5.8%4.4%224.0K-3.7M-32.9K6.9725.73N/AN/A3222310,7302,522
2011-03-07$12.21$12.0026.9%8.6%25.2%18.9%30.5%5.2%1.7%210.6K-3.0M-32.8K0.1732.43N/AN/A2464110,7212,740
2011-03-08$12.37$12.0023.9%8.4%25.5%11.5%30.0%8.6%2.2%218.4K-3.2M-32.6K0.0030.25N/AN/A217010,7182,773
2011-03-09$12.39$12.0023.1%8.1%25.5%9.3%0.0%6.1%2.6%235.8K-3.2M-31.6K2.1229.19N/AN/A265510,7352,773
2011-03-10$12.59$12.0031.0%8.9%25.6%29.3%30.3%8.8%0.4%223.8K-3.9M-32.8K0.9032.96N/AN/A52246910,7492,748
2011-03-11$12.54$12.0026.7%7.6%25.6%18.3%29.2%4.7%3.8%209.9K-3.8M-33.6K0.5951.27N/AN/A513011,0293,157
2011-03-14$12.40$12.0030.6%8.8%25.8%28.4%0.0%0.3%1.1%214.9K-3.6M-32.8K1.0423.56N/AN/A11411811,0543,028
2011-03-15$11.78$12.0031.5%9.0%31.1%30.5%31.4%4.3%1.6%215.9K-1.8M-30.0K1.4133.17N/AN/A49770311,1053,117
2011-03-16$11.71$12.0035.3%10.1%29.7%40.0%35.9%5.3%0.4%198.7K-1.1M-31.2K0.4034.19N/AN/A37915311,3443,740
2011-03-17$11.50$12.0038.0%10.9%30.1%46.9%36.4%6.8%-2.9%119.0K-450.5K-29.5K0.1147.99N/AN/A1,24213711,4573,882
2011-03-18$11.71$12.0029.2%8.4%31.2%24.8%29.6%11.8%3.6%224.8K-1.6M-31.4K0.4242.62N/AN/A63426412,6293,958
2011-03-21$11.82$12.0026.0%7.5%31.5%16.7%26.0%9.6%3.2%132.7K-1.3M-30.2K0.2344.31N/AN/A1,22227810,5603,379
2011-03-22$11.84$12.0023.6%6.8%26.4%10.6%23.6%8.5%4.4%165.7K-1.8M-34.2K0.0729.54N/AN/A6194211,6223,623
2011-03-23$11.81$12.0024.9%7.2%26.2%14.0%24.9%6.0%3.4%177.3K-1.8M-33.6K0.1024.86N/AN/A3553612,0523,658
2011-03-24$12.03$12.0022.7%6.5%26.8%8.5%22.7%2.0%5.2%208.2K-2.4M-35.3K0.3828.80N/AN/A38214512,3843,693
2011-03-25$12.12$12.0023.9%6.9%26.9%11.5%23.9%3.8%2.9%222.5K-2.8M-36.6K0.0430.83N/AN/A5312112,6763,813
2011-03-28$12.02$12.0023.6%6.8%26.3%10.8%23.6%2.6%2.5%243.8K-2.9M-36.4K0.1636.83N/AN/A871413,1083,834
2011-03-29$11.81$12.0023.9%6.8%26.4%11.4%23.9%-0.9%0.7%228.1K-2.2M-35.0K0.9344.59N/AN/A22520913,1863,842
2011-03-30$11.82$12.0025.5%7.3%26.3%15.5%24.7%-2.0%2.2%217.8K-1.9M-34.9K3.2023.97N/AN/A6922113,3424,044
2011-03-31$11.84$12.0024.3%7.0%26.0%12.4%24.3%-0.2%4.9%214.7K-1.9M-35.1K0.1520.70N/AN/A3645513,3744,264