DSX Options History — July 2011

In July 2011, DSX traded between $9.73 and $11.13. ATM implied volatility averaged 28.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.1% (HV 20d: 25.9%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-07-22: Highest Volume — 1,379 contracts
  • 2011-07-14: Largest IV spike — 25.2% change
  • 2011-07-29: Highest IV Rank — 76.1%
  • 2011-07-29: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.48$9.73$11.13$11.13$9.80
Max Pain$10.85$10.00$11.00$11.00$11.00
ATM IV28.0%20.1%39.0%20.1%39.0%
Expected Move8.8%5.8%11.2%5.8%11.2%
HV 20d25.9%21.4%29.3%27.6%28.2%
HV 60d22.2%20.6%24.8%20.6%24.7%
IV Rank35.2%5.8%76.1%5.8%76.1%
IV Percentile39.4%1.6%92.5%1.6%92.5%
Term Structure0.9%-4.8%8.5%8.5%-4.8%
VWIV30.5%20.1%38.3%20.1%38.3%
Skew 25d5.8%-7.8%13.8%4.6%11.6%
Skew 10d9.2%-7.0%21.3%8.1%21.3%
Call IV 25d26.6%17.9%35.5%17.9%27.8%
Put IV 25d32.4%22.5%39.4%22.5%39.4%
Bid-Ask Spread %35.7819.7671.9750.1634.99
Gamma HHI0.200.170.230.200.21
Net GEX84.9K46.0K123.0K119.0K58.2K
Net DEX-244.6K-1.9M1.4M-1.9M1.0M
Net VEX-25.5K-29.9K-21.3K-29.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.0310.190.510.13
Total Volume332.75891,379422168
Total OI21,740.9521,03522,78421,03522,784

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$11.13$11.0020.1%5.8%27.6%5.8%20.1%4.6%8.5%119.0K-1.9M-29.9K0.5150.16N/AN/A28014216,1674,868
2011-07-05$10.95$11.0022.8%8.7%27.1%14.0%31.8%2.7%-0.0%123.0K-1.7M-29.5K1.3837.27N/AN/A618416,3384,865
2011-07-06$11.01$11.0022.1%8.3%26.8%11.8%27.1%4.3%0.6%120.9K-1.6M-28.5K1.2932.05N/AN/A709016,3624,798
2011-07-07$11.08$11.0020.7%7.9%25.4%8.0%27.6%6.1%0.7%119.1K-1.8M-27.4K0.8837.44N/AN/A25222116,3804,837
2011-07-08$11.00$11.0022.4%8.3%25.0%13.5%28.5%2.1%1.0%120.4K-1.5M-28.6K0.0632.89N/AN/A144816,6005,032
2011-07-11$10.69$10.0021.0%8.9%26.2%9.0%31.8%-0.5%0.6%106.6K-713.8K-27.3K1.1922.46N/AN/A647616,7385,040
2011-07-12$10.61$10.0024.5%8.9%26.2%20.0%32.1%7.6%0.6%101.1K-524.5K-27.1K0.0826.45N/AN/A1371116,7305,093
2011-07-13$10.70$10.0023.8%8.9%25.0%20.6%24.9%13.8%-1.4%98.9K-561.8K-26.6K2.6819.76N/AN/A3810216,7605,096
2011-07-14$10.60$11.0029.8%8.5%24.6%42.6%29.8%8.6%2.3%94.5K-378.0K-25.8K10.1925.64N/AN/A4848916,7685,119
2011-07-15$10.77$11.0028.3%8.1%25.1%37.3%28.5%11.7%2.0%77.1K-287.6K-26.7K0.0431.19N/AN/A3171316,7655,600
2011-07-18$10.48$11.0032.6%9.3%22.5%52.8%31.0%2.7%3.1%74.9K-261.2K-25.8K0.2371.97N/AN/A2846416,0615,033
2011-07-19$10.55$11.0028.9%8.3%22.5%39.5%30.0%7.9%-0.4%73.7K-202.7K-25.1K0.0530.03N/AN/A4042116,1005,024
2011-07-20$10.51$11.0026.8%7.7%21.8%31.7%0.0%5.8%1.8%73.1K-117.7K-24.1K0.0333.75N/AN/A91316,1395,038
2011-07-21$10.46$11.0030.7%8.8%21.4%46.0%28.0%4.9%1.7%75.9K-85.8K-24.6K0.0964.19N/AN/A3052816,1905,028
2011-07-22$9.93$11.0031.1%8.9%27.5%47.2%30.9%-7.8%4.0%55.0K1.0M-21.8K1.1621.76N/AN/A63974016,4085,056
2011-07-25$9.73$11.0031.3%9.0%27.8%48.2%34.7%11.6%3.1%46.0K1.4M-21.3K0.2021.62N/AN/A50310316,9315,256
2011-07-26$9.94$11.0033.4%9.6%29.3%55.6%32.8%0.1%-1.2%54.5K991.4K-22.9K0.2234.67N/AN/A3237117,1555,309
2011-07-27$9.77$11.0034.7%9.9%29.3%60.4%35.6%8.0%-1.3%53.3K1.2M-22.3K0.2551.58N/AN/A711817,3175,358
2011-07-28$9.81$11.0035.8%10.3%28.2%64.5%36.0%10.2%-2.6%53.5K1.1M-22.7K0.1035.66N/AN/A1571517,3115,365
2011-07-29$9.80$11.0039.0%11.2%28.2%76.1%38.3%11.6%-4.8%58.2K1.0M-22.6K0.1334.99N/AN/A1491917,4305,354