DSX Options History — April 2011

In April 2011, DSX traded between $11.09 and $12.13. ATM implied volatility averaged 25.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.5% (HV 20d: 19.2%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2011-04-05: Highest Volume — 5,548 contracts
  • 2011-04-12: Largest IV spike — 29.0% change
  • 2011-04-18: Highest IV Rank — 26.3%
  • 2011-04-18: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.57$11.09$12.13$11.86$11.26
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV25.7%18.5%29.1%22.4%29.0%
Expected Move7.8%6.4%8.4%6.4%8.3%
HV 20d19.2%14.7%25.9%25.9%15.2%
HV 60d24.3%22.0%25.5%25.3%22.0%
IV Rank17.1%0.0%26.3%7.6%25.9%
IV Percentile13.7%0.0%27.8%1.2%27.8%
Term Structure2.2%-1.5%5.4%5.4%-1.5%
VWIV25.9%16.3%29.3%22.4%29.3%
Skew 25d2.1%-3.4%10.7%0.4%1.7%
Skew 10d2.8%-5.3%10.2%1.4%1.8%
Call IV 25d25.6%20.9%28.2%20.9%27.2%
Put IV 25d27.6%21.4%32.0%21.4%28.9%
Bid-Ask Spread %41.5622.7588.5059.0750.42
Gamma HHI0.230.170.300.220.23
Net GEX223.4K146.7K357.0K235.5K169.8K
Net DEX-2.1M-5.2M-544.7K-2.2M-1.1M
Net VEX-36.3K-50.6K-31.4K-36.1K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.830.260.19
Total Volume680.8995,548146284
Total OI20,409.4518,00423,99318,00421,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$11.86$12.0022.4%6.4%25.9%7.6%22.4%0.4%5.4%235.5K-2.2M-36.1K0.2659.07N/AN/A1163013,7004,304
2011-04-04$11.96$12.0025.8%7.3%25.3%16.2%25.3%4.9%3.9%246.7K-2.6M-37.2K0.0227.96N/AN/A6171113,8014,330
2011-04-05$11.98$12.0024.0%7.8%24.8%11.7%27.0%4.4%2.7%262.5K-3.3M-37.8K0.0226.84N/AN/A5,4569214,2904,328
2011-04-06$12.13$12.0024.3%7.8%25.2%12.5%27.5%2.1%2.3%357.0K-5.2M-50.6K0.0024.28N/AN/A393019,6034,390
2011-04-07$12.12$12.0022.2%7.5%24.4%7.2%26.2%1.2%2.8%299.3K-4.2M-41.2K0.0729.50N/AN/A1481014,8904,390
2011-04-08$12.01$12.0021.1%7.8%24.6%4.3%27.2%3.6%2.2%303.2K-3.6M-38.9K0.0465.70N/AN/A7923214,9964,380
2011-04-11$11.79$12.0018.5%7.7%25.0%0.0%26.5%0.8%3.1%304.0K-2.6M-37.4K0.6034.81N/AN/A935615,4814,410
2011-04-12$11.67$12.0023.9%7.6%17.6%13.2%26.4%3.1%3.6%254.1K-1.9M-35.4K0.1031.39N/AN/A7377715,5334,424
2011-04-13$11.61$12.0025.9%7.7%17.5%18.1%26.7%1.9%1.8%248.3K-2.6M-38.3K0.1030.35N/AN/A4254316,2754,424
2011-04-14$11.63$12.0025.9%7.4%16.2%18.2%16.3%10.7%4.3%254.4K-2.5M-38.2K0.0125.64N/AN/A98116,1824,465
2011-04-15$11.50$12.0028.6%8.2%15.4%24.8%28.2%3.3%2.7%194.5K-1.8M-35.7K0.4131.50N/AN/A44118216,2214,465
2011-04-18$11.33$12.0029.1%8.4%15.6%26.3%26.7%0.6%1.1%176.7K-1.6M-34.7K0.4750.69N/AN/A46421715,3354,255
2011-04-19$11.09$12.0026.6%7.6%17.0%20.1%26.4%-2.8%2.5%159.6K-801.0K-31.4K1.6375.18N/AN/A21735415,7514,407
2011-04-20$11.09$12.0025.2%7.2%17.0%16.4%25.5%-3.4%3.0%146.7K-544.7K-31.7K0.5140.43N/AN/A29114915,8444,761
2011-04-21$11.19$12.0028.3%8.1%15.7%24.1%27.0%2.4%1.2%167.5K-1.0M-33.6K0.7188.50N/AN/A25017816,0184,908
2011-04-25$11.27$12.0028.7%8.2%15.7%25.1%28.7%2.1%0.4%167.0K-1.0M-33.6K0.0453.13N/AN/A5122016,0245,002
2011-04-26$11.28$12.0029.0%8.3%15.6%25.9%28.0%3.1%0.2%176.4K-1.2M-33.7K1.1533.41N/AN/A677716,4655,022
2011-04-27$11.25$12.0027.1%7.8%14.7%21.2%22.9%0.1%1.7%167.1K-1.0M-33.1K1.8322.75N/AN/A14927316,5215,001
2011-04-28$11.35$12.0028.0%8.0%15.2%23.3%24.7%1.0%0.6%178.1K-1.2M-33.9K0.0729.67N/AN/A2461816,5485,194
2011-04-29$11.26$12.0029.0%8.3%15.2%25.9%29.3%1.7%-1.5%169.8K-1.1M-33.1K0.1950.42N/AN/A2384616,6485,203