DSX Options History — September 2011

In September 2011, DSX traded between $7.42 and $9.15. ATM implied volatility averaged 47.3%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 6.0% (HV 20d: 53.3%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-09-27: Highest Volume — 1,161 contracts
  • 2011-09-30: Largest IV spike — 33.8% change
  • 2011-09-30: Highest IV Rank — 90.4%
  • 2011-09-30: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.40$7.42$9.15$9.09$7.42
Max Pain$8.81$8.00$10.00$10.00$8.00
ATM IV47.3%39.6%66.6%40.7%66.6%
Expected Move13.3%11.5%19.1%11.7%19.1%
HV 20d53.3%45.1%67.6%66.5%52.7%
HV 60d49.2%47.0%53.7%47.0%53.7%
IV Rank54.3%40.0%90.4%42.0%90.4%
IV Percentile94.3%89.3%99.6%91.7%99.6%
Term Structure0.9%-8.0%5.5%-0.6%0.6%
VWIV46.3%38.0%64.6%40.7%64.6%
Skew 25d8.3%-20.9%18.4%7.6%4.2%
Skew 10d17.0%-11.8%32.0%7.1%-11.8%
Call IV 25d41.5%29.0%56.3%29.0%56.3%
Put IV 25d49.9%25.2%60.5%36.7%60.5%
Bid-Ask Spread %42.5318.8491.2686.6549.10
Gamma HHI0.390.290.480.330.47
Net GEX-44.3K-81.6K17.0K-10.6K-69.7K
Net DEX2.7M454.7K4.7M454.7K4.7M
Net VEX-39.8K-47.8K-33.1K-47.8K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.013.430.083.43
Total Volume367.429701,161281164
Total OI35,607.14327,78942,14841,89930,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$9.09$10.0040.7%11.7%66.5%42.0%40.7%7.6%-0.6%-10.6K454.7K-47.8K0.0886.65N/AN/A2612024,16917,730
2011-09-02$8.81$10.0040.1%11.5%67.6%40.8%40.0%0.7%1.0%-28.4K1.6M-47.0K0.1023.30N/AN/A2973024,40317,745
2011-09-06$8.57$9.0052.1%12.6%56.9%63.3%0.0%7.8%2.1%-52.9K3.0M-42.9K3.0231.51N/AN/A6218723,36817,648
2011-09-07$8.83$9.0045.4%12.0%56.4%50.8%42.4%12.2%0.5%-31.6K2.1M-43.5K0.3433.48N/AN/A33411323,43017,670
2011-09-08$8.73$9.0039.6%11.7%56.0%40.0%38.0%9.8%2.4%-43.2K2.4M-42.8K2.5038.65N/AN/A205023,47617,743
2011-09-09$8.55$9.0045.8%12.6%56.3%51.5%41.1%10.1%-1.0%-53.8K3.0M-42.1K1.2132.11N/AN/A344123,48217,793
2011-09-12$8.62$9.0050.4%12.9%56.4%60.2%51.9%10.1%-1.4%-54.5K3.0M-41.8K2.5642.20N/AN/A5213323,49217,803
2011-09-13$9.00$9.0043.1%12.2%57.9%46.5%42.6%9.4%2.5%-7.4K1.5M-42.6K0.0539.01N/AN/A3621823,50517,881
2011-09-14$9.10$9.0040.7%11.9%57.8%42.1%38.6%11.8%2.9%2.1K949.4K-42.3K0.0718.84N/AN/A5143723,56217,870
2011-09-15$9.15$9.0041.9%12.0%52.2%44.2%42.1%10.5%0.7%17.0K583.9K-43.0K0.0930.75N/AN/A1091023,76217,882
2011-09-16$8.75$9.0041.8%12.0%47.5%44.1%40.4%7.3%1.8%-20.6K2.3M-41.1K0.6120.98N/AN/A21913323,74717,883
2011-09-19$8.43$9.0053.5%15.4%49.3%66.0%45.8%18.4%-8.0%-49.4K2.1M-38.7K0.3333.09N/AN/A38112612,78115,008
2011-09-20$8.21$9.0045.6%13.1%50.4%51.1%42.1%9.6%4.9%-60.8K2.8M-37.3K0.0191.26N/AN/A399512,90515,125
2011-09-21$7.70$9.0046.4%13.3%49.7%52.6%42.7%-20.9%0.5%-81.6K4.0M-34.0K0.5886.25N/AN/A42524612,88415,130
2011-09-22$7.66$8.0049.9%14.3%47.7%59.2%45.7%11.4%1.3%-71.3K4.3M-33.7K0.6762.52N/AN/A53535713,17215,205
2011-09-23$7.94$9.0050.0%14.3%49.4%59.4%53.6%14.1%2.2%-66.0K3.7M-36.1K0.3341.66N/AN/A1625313,65415,447
2011-09-26$7.89$8.0047.1%13.5%49.3%53.9%0.0%11.3%5.5%-66.3K3.7M-35.4K1.5020.69N/AN/A8012013,80415,489
2011-09-27$8.11$8.0050.2%14.4%47.8%59.8%58.0%7.3%-2.1%-57.0K2.8M-37.2K0.8553.40N/AN/A62753413,86915,584
2011-09-28$7.88$8.0051.9%14.9%45.1%62.9%51.2%9.3%0.2%-65.8K3.8M-36.7K0.0325.26N/AN/A3051014,27816,069
2011-09-29$8.03$8.0049.8%14.3%46.0%59.0%57.6%13.2%3.4%-57.4K3.5M-37.2K2.3632.48N/AN/A4510614,50916,079
2011-09-30$7.42$8.0066.6%19.1%52.7%90.4%64.6%4.2%0.6%-69.7K4.7M-33.1K3.4349.10N/AN/A3712714,53216,182