DSX Options History — June 2011

In June 2011, DSX traded between $10.70 and $11.35. ATM implied volatility averaged 27.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.0% (HV 20d: 23.3%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-06-21: Highest Volume — 794 contracts
  • 2011-06-02: Largest IV spike — 28.5% change
  • 2011-06-16: Highest IV Rank — 34.5%
  • 2011-06-16: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.95$10.70$11.35$11.31$10.96
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV27.3%22.2%30.7%22.2%25.8%
Expected Move7.8%6.4%8.8%6.4%7.4%
HV 20d23.3%15.5%28.3%16.5%28.2%
HV 60d19.4%17.8%20.5%19.3%20.5%
IV Rank25.2%11.2%34.5%11.2%22.9%
IV Percentile26.8%2.8%52.0%2.8%17.1%
Term Structure3.3%-0.0%13.9%13.9%3.3%
VWIV27.3%24.1%30.2%28.7%25.8%
Skew 25d4.4%-4.3%14.4%3.0%3.0%
Skew 10d8.2%-5.4%33.6%7.3%4.9%
Call IV 25d23.2%16.9%28.4%26.0%21.7%
Put IV 25d27.7%20.1%33.6%29.1%24.7%
Bid-Ask Spread %32.6913.2792.4737.6713.27
Gamma HHI0.180.160.220.220.20
Net GEX112.2K66.3K170.3K170.3K104.2K
Net DEX-973.0K-2.5M260.7K-2.5M-1.4M
Net VEX-30.5K-35.7K-28.6K-35.1K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.004.610.820.00
Total Volume352.18264794166250
Total OI22,431.81819,53923,97323,27820,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$11.31$11.0022.2%6.4%16.5%11.2%28.7%3.0%13.9%170.3K-2.5M-35.1K0.8237.67N/AN/A917517,5315,747
2011-06-02$11.35$11.0028.5%8.2%15.5%28.6%26.0%1.5%0.1%166.9K-2.4M-35.7K0.0836.03N/AN/A2502017,5685,795
2011-06-03$11.09$11.0026.3%8.0%17.7%22.4%28.2%-3.8%2.7%132.6K-1.1M-32.2K4.6179.13N/AN/A5123517,7165,775
2011-06-06$10.85$11.0030.6%8.6%19.1%34.2%29.6%2.3%1.3%114.4K-473.0K-31.4K4.2226.92N/AN/A7230417,7125,809
2011-06-07$10.99$11.0029.5%7.7%19.7%31.2%25.6%14.4%2.6%110.5K-530.5K-30.8K0.3227.60N/AN/A50516117,7566,002
2011-06-08$10.74$11.0028.5%8.5%19.7%28.4%29.6%11.5%-0.0%96.7K60.5K-30.1K4.5525.47N/AN/A7835517,9155,950
2011-06-09$10.91$11.0028.6%8.2%20.2%28.6%28.8%13.9%1.2%105.7K-259.6K-29.6K0.0720.36N/AN/A80617,9155,881
2011-06-10$10.70$11.0029.8%8.6%21.2%32.1%30.2%9.5%1.1%94.8K260.7K-28.8K0.5426.82N/AN/A1467917,9375,814
2011-06-13$10.75$11.0027.7%7.9%21.1%26.1%27.7%8.0%3.1%101.4K-49.8K-29.0K0.4314.45N/AN/A35515117,9845,811
2011-06-14$11.00$11.0026.9%7.7%22.7%24.2%26.9%12.2%2.6%138.9K-724.3K-29.6K0.0317.98N/AN/A7412118,0365,886
2011-06-15$11.13$11.0028.8%8.2%23.1%29.2%29.0%7.1%2.6%136.8K-1.4M-31.5K0.8323.08N/AN/A15012418,0965,877
2011-06-16$11.24$11.0030.7%8.8%22.7%34.5%29.0%-0.3%1.5%138.2K-2.0M-31.4K0.7218.36N/AN/A987117,9655,827
2011-06-17$10.78$11.0028.6%8.2%26.3%28.7%28.1%9.0%3.3%104.1K-77.2K-29.3K0.4235.50N/AN/A47219618,0195,849
2011-06-20$10.85$11.0029.3%8.4%26.5%30.6%28.8%8.4%2.5%66.3K-556.0K-28.7K0.1836.93N/AN/A63011614,6374,902
2011-06-21$11.00$11.0025.0%7.2%27.1%18.7%24.8%0.5%4.6%86.2K-1.1M-29.6K0.3432.74N/AN/A59420015,1634,996
2011-06-22$11.09$11.0025.3%7.2%27.1%19.5%25.3%5.2%3.8%103.0K-1.6M-30.8K0.0492.47N/AN/A4531815,6024,916
2011-06-23$10.95$11.0024.9%7.1%27.3%18.6%24.9%-0.1%5.8%101.8K-1.3M-30.9K0.0128.53N/AN/A151115,7594,932
2011-06-24$10.78$11.0025.9%7.4%27.7%21.2%25.9%-3.3%3.6%100.8K-1.2M-30.2K0.0527.64N/AN/A98515,8754,932
2011-06-27$10.70$11.0026.5%7.6%27.3%23.0%27.5%-4.3%4.6%92.4K-826.4K-29.0K0.2635.03N/AN/A772015,9014,937
2011-06-28$10.80$11.0024.3%7.0%27.7%16.9%24.1%-3.9%6.1%93.1K-795.5K-28.9K0.0042.69N/AN/A64015,9654,937
2011-06-29$11.00$11.0026.4%7.6%28.3%22.7%26.2%3.6%2.4%108.3K-1.4M-29.4K0.9620.56N/AN/A949016,0014,937
2011-06-30$10.96$11.0025.8%7.4%28.2%22.9%25.8%3.0%3.3%104.2K-1.4M-28.6K0.0013.27N/AN/A250016,0674,868