DSX Options History — May 2011

In May 2011, DSX traded between $11.08 and $11.53. ATM implied volatility averaged 26.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.3% (HV 20d: 15.6%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-05-23: Highest Volume — 1,271 contracts
  • 2011-05-06: Largest IV drop — 33.1% change
  • 2011-05-05: Highest IV Rank — 39.4%
  • 2011-05-05: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.31$11.08$11.53$11.33$11.49
Max Pain$11.19$11.00$12.00$12.00$11.00
ATM IV26.9%18.2%34.5%29.1%20.7%
Expected Move7.8%5.2%9.9%8.4%5.9%
HV 20d15.6%14.6%16.5%15.5%15.6%
HV 60d21.1%19.4%22.4%22.0%19.4%
IV Rank21.0%0.0%39.4%26.2%6.9%
IV Percentile21.4%0.0%55.2%29.0%1.6%
Term Structure2.1%-3.7%6.7%0.9%6.7%
VWIV24.7%15.5%33.1%26.6%24.6%
Skew 25d3.5%-9.8%15.2%3.3%-9.8%
Skew 10d7.6%-1.2%28.8%7.0%4.5%
Call IV 25d23.5%13.1%30.0%26.6%27.0%
Put IV 25d27.0%17.2%33.0%29.9%17.2%
Bid-Ask Spread %42.0420.3996.6854.6933.05
Gamma HHI0.200.160.240.240.23
Net GEX141.9K90.3K183.9K182.2K176.9K
Net DEX-1.2M-2.8M-487.3K-1.4M-2.7M
Net VEX-32.0K-35.6K-30.5K-33.1K-33.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.001.540.110.92
Total Volume405.381741,271224995
Total OI22,461.76220,02523,78122,05522,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$11.33$12.0029.1%8.4%15.5%26.2%26.6%3.3%0.9%182.2K-1.4M-33.1K0.1154.69N/AN/A2022216,8085,247
2011-05-03$11.25$12.0026.5%7.6%15.0%19.8%26.7%-0.9%4.2%163.7K-963.4K-32.2K0.1820.72N/AN/A1743216,8605,267
2011-05-04$11.08$12.0031.2%8.9%15.5%31.4%23.4%6.8%-2.3%145.4K-518.3K-31.9K0.1282.27N/AN/A4525317,0095,264
2011-05-05$11.12$12.0034.5%9.9%14.6%39.4%33.1%9.2%-3.7%149.5K-634.4K-32.1K0.5925.69N/AN/A1237216,9745,306
2011-05-06$11.19$11.0023.1%7.4%15.0%11.2%25.5%-2.1%4.5%130.4K-487.3K-31.4K0.1825.51N/AN/A1522817,0285,378
2011-05-09$11.19$11.0028.0%7.9%15.0%23.5%27.1%4.7%2.9%133.3K-527.1K-31.0K1.5231.86N/AN/A7110817,1095,405
2011-05-10$11.41$11.0025.8%8.0%16.0%17.9%28.0%0.3%2.1%166.8K-1.2M-31.8K1.2024.15N/AN/A33940817,1595,429
2011-05-11$11.24$11.0027.8%7.9%16.4%22.9%27.7%0.4%3.2%141.5K-948.5K-33.1K0.8896.68N/AN/A857517,4565,684
2011-05-12$11.25$11.0028.4%8.1%16.4%24.4%28.4%2.5%2.8%124.9K-652.0K-32.0K1.5428.91N/AN/A9414517,4805,742
2011-05-13$11.31$11.0027.9%8.0%16.5%23.2%25.1%5.7%3.1%108.7K-808.7K-31.3K0.0321.12N/AN/A177617,5235,759
2011-05-16$11.19$11.0029.4%8.4%16.5%26.8%21.7%-0.5%2.4%113.6K-646.0K-30.6K0.0033.86N/AN/A105017,6485,754
2011-05-17$11.14$11.0028.2%8.1%15.7%23.9%26.4%3.0%2.9%90.3K-583.0K-31.0K1.2420.98N/AN/A9011217,7045,623
2011-05-18$11.32$11.0028.4%8.1%14.8%24.5%24.2%1.1%2.6%101.7K-1.1M-30.6K0.3234.71N/AN/A561817,7285,639
2011-05-19$11.48$11.0027.5%7.9%15.5%22.2%25.3%5.2%1.9%148.1K-1.6M-31.8K0.1269.60N/AN/A5466617,7045,583
2011-05-20$11.40$11.0025.3%7.2%15.6%16.6%24.8%1.9%3.3%130.9K-1.6M-31.9K0.5924.01N/AN/A1388218,1945,587
2011-05-23$11.43$11.0027.4%7.9%15.4%21.9%24.8%2.9%0.8%133.4K-1.6M-30.9K0.4129.87N/AN/A90436715,2904,735
2011-05-24$11.32$11.0028.5%8.2%15.8%25.0%25.9%15.2%-1.7%147.2K-1.7M-32.7K0.2884.61N/AN/A2206116,0564,921
2011-05-25$11.38$11.0024.0%6.9%15.9%14.6%17.3%9.9%2.8%145.8K-1.5M-30.5K0.0434.69N/AN/A4241616,2684,962
2011-05-26$11.42$11.0025.3%7.3%15.6%18.9%15.7%12.6%2.8%161.3K-2.0M-32.8K0.7220.39N/AN/A71451316,4994,952
2011-05-27$11.53$11.0018.2%5.2%15.7%0.0%15.5%3.0%1.9%183.9K-2.8M-35.6K0.6485.55N/AN/A16310517,1435,284
2011-05-31$11.49$11.0020.7%5.9%15.6%6.9%24.6%-9.8%6.7%176.9K-2.7M-33.4K0.9233.05N/AN/A51947617,2505,286