DSX Options History — August 2011

In August 2011, DSX traded between $7.69 and $9.73. ATM implied volatility averaged 48.0%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 7.2% (HV 20d: 55.2%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 3.77.

Notable Days

  • 2011-08-19: Highest Volume — 6,724 contracts
  • 2011-08-08: Largest IV spike — 53.2% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.47$7.69$9.73$9.73$9.14
Max Pain$11.04$10.00$12.00$11.00$10.00
ATM IV48.0%38.4%71.8%38.4%41.1%
Expected Move13.3%11.0%16.7%11.0%11.8%
HV 20d55.2%27.1%71.7%27.1%71.6%
HV 60d38.4%24.7%47.3%24.7%47.2%
IV Rank64.9%41.1%100.0%75.0%42.7%
IV Percentile96.7%91.3%100.0%91.3%92.9%
Term Structure-2.9%-8.1%2.1%-5.3%0.1%
VWIV43.6%25.1%63.4%38.8%25.1%
Skew 25d6.4%-12.0%18.8%-4.5%8.1%
Skew 10d16.8%-3.3%42.5%12.2%6.3%
Call IV 25d40.3%28.5%55.8%30.7%28.5%
Put IV 25d46.7%26.2%69.3%26.2%36.6%
Bid-Ask Spread %32.0814.2646.6814.2631.45
Gamma HHI0.340.200.530.210.32
Net GEX-1.5K-86.6K56.8K56.8K-11.0K
Net DEX2.3M308.8K4.7M1.1M308.8K
Net VEX-27.9K-48.6K-14.3K-21.8K-48.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.770.0046.530.000.19
Total Volume1,135.4351006,724138418
Total OI30,718.08722,81341,97822,81341,978

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$9.73$11.0038.4%11.0%27.1%75.0%38.8%-4.5%-5.3%56.8K1.1M-21.8K0.0014.26N/AN/A138017,4455,368
2011-08-02$9.27$11.0042.9%12.3%30.8%91.8%35.8%5.4%2.0%44.2K1.9M-18.7K0.6135.07N/AN/A623817,5065,368
2011-08-03$9.16$11.0040.7%11.7%30.3%83.7%41.2%-2.0%-3.6%32.6K2.3M-17.2K0.4544.90N/AN/A1757817,5345,358
2011-08-04$8.53$11.0038.9%11.2%36.9%81.4%41.3%-12.0%-1.2%23.6K2.7M-14.3K0.1036.65N/AN/A1,84519117,5735,397
2011-08-05$8.51$12.0046.9%12.6%37.0%100.0%43.5%18.8%-2.5%38.2K2.1M-19.3K0.1342.54N/AN/A81610919,1535,427
2011-08-08$7.69$12.0071.8%16.7%48.4%100.0%63.4%13.5%-5.2%30.3K2.2M-16.0K0.8729.82N/AN/A62954519,6275,512
2011-08-09$7.99$11.0063.0%14.4%52.1%83.5%50.0%9.5%-1.9%31.8K2.1M-17.6K0.0842.96N/AN/A8156420,1435,791
2011-08-10$7.84$11.0063.0%15.4%51.4%83.6%53.7%10.4%-5.0%36.6K1.8M-18.6K0.1333.67N/AN/A6308220,6625,842
2011-08-11$8.02$11.0051.6%14.8%53.2%62.3%53.6%9.8%-2.7%41.5K1.7M-19.6K0.8134.45N/AN/A957721,1595,852
2011-08-12$8.06$11.0050.7%14.5%52.5%60.6%50.6%12.5%-4.0%43.0K1.6M-20.1K0.2046.68N/AN/A3186421,1865,850
2011-08-15$8.21$11.0047.8%13.7%53.5%55.2%42.3%13.4%-0.4%46.1K1.5M-20.0K0.0225.22N/AN/A278521,3965,900
2011-08-16$8.17$11.0045.2%13.0%53.1%50.4%43.2%8.3%-1.9%48.8K1.5M-20.1K46.5325.08N/AN/A361,67521,6555,892
2011-08-17$8.78$11.0040.8%11.7%61.0%42.2%36.1%11.9%-4.4%35.5K1.1M-27.1K5.6425.58N/AN/A5743,24021,6747,558
2011-08-18$8.16$11.0052.3%15.0%65.1%63.7%48.4%-3.9%-5.6%-2.0K2.7M-28.3K3.1619.78N/AN/A319822,02710,713
2011-08-19$8.04$11.0048.4%13.9%63.4%56.4%44.1%11.3%-6.6%-8.0K3.0M-26.9K11.9124.69N/AN/A5216,20322,03210,778
2011-08-22$8.07$11.0046.7%13.4%63.5%53.1%46.9%6.9%-0.5%-81.4K4.7M-37.7K4.4235.00N/AN/A20992420,87316,142
2011-08-23$8.60$11.0042.9%12.3%67.9%46.2%46.5%10.1%1.6%-86.6K3.3M-41.2K1.3430.89N/AN/A44659820,98716,568
2011-08-24$8.24$11.0051.0%14.6%68.9%61.3%39.2%2.4%-6.3%-82.3K4.1M-40.5K0.0838.75N/AN/A1401121,30616,825
2011-08-25$8.35$11.0048.9%14.0%69.2%57.4%46.4%2.4%-4.8%-79.2K4.0M-40.8K4.7519.04N/AN/A2411421,43116,826
2011-08-26$8.40$11.0048.4%13.9%69.4%56.4%33.9%4.9%-8.1%-75.6K3.8M-41.7K4.8628.06N/AN/A9445721,43516,896
2011-08-29$8.76$11.0040.2%11.5%71.6%41.1%39.8%14.4%2.1%-70.9K2.5M-42.8K0.0232.33N/AN/A401721,47217,308
2011-08-30$9.15$11.0042.4%12.2%71.7%45.3%40.0%-3.3%-2.5%-47.8K1.2M-43.7K0.3041.02N/AN/A2,18965121,78317,308
2011-08-31$9.14$10.0041.1%11.8%71.6%42.7%25.1%8.1%0.1%-11.0K308.8K-48.6K0.1931.45N/AN/A3506824,24917,729