DSX Options History — October 2011

In October 2011, DSX traded between $6.93 and $8.45. ATM implied volatility averaged 51.6%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 8.6% (HV 20d: 60.2%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-10-12: Highest Volume — 4,515 contracts
  • 2011-10-12: Largest IV spike — 48.4% change
  • 2011-10-03: Highest IV Rank — 91.0%
  • 2011-10-03: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.86$6.93$8.45$6.93$8.23
Max Pain$7.29$7.00$8.00$8.00$7.00
ATM IV51.6%31.1%66.9%66.9%47.6%
Expected Move15.4%12.8%19.2%19.2%13.7%
HV 20d60.2%45.3%66.4%56.2%45.3%
HV 60d58.3%55.2%59.9%55.2%57.8%
IV Rank62.4%24.2%91.0%91.0%54.9%
IV Percentile91.2%59.9%99.6%99.6%86.1%
Term Structure-1.7%-5.3%9.1%-1.0%-4.1%
VWIV52.9%43.3%66.5%66.5%47.0%
Skew 25d10.9%-16.5%35.3%-16.5%-5.0%
Skew 10d16.6%-3.4%46.6%4.1%-3.4%
Call IV 25d46.8%36.2%64.1%64.1%46.5%
Put IV 25d57.7%41.0%71.7%47.6%41.5%
Bid-Ask Spread %28.4517.7350.5528.4838.63
Gamma HHI0.400.340.510.480.37
Net GEX-28.4K-96.4K38.5K-66.5K7.8K
Net DEX3.1M268.2K6.2M5.9M1.5M
Net VEX-33.4K-40.1K-26.6K-27.5K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.200.370.39
Total Volume643.048824,515403456
Total OI34,497.71430,76337,83430,76336,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$6.93$8.0066.9%19.2%56.2%91.0%66.5%-16.5%-1.0%-66.5K5.9M-27.5K0.3728.48N/AN/A29510814,54916,214
2011-10-04$7.09$8.0063.8%18.3%57.2%85.1%61.0%35.3%2.3%-72.8K6.0M-27.8K2.2023.63N/AN/A28262014,69416,304
2011-10-05$7.22$8.0055.5%15.9%56.3%69.7%43.3%12.0%9.1%-87.7K6.0M-28.1K0.7019.92N/AN/A735114,86116,612
2011-10-06$7.40$8.0058.7%16.8%57.6%75.7%57.9%12.4%3.5%-87.0K5.5M-29.9K0.2521.46N/AN/A1614114,89116,640
2011-10-07$7.08$8.0052.1%17.1%58.9%63.4%59.7%16.5%-2.1%-88.1K6.2M-26.6K0.3221.15N/AN/A622014,98516,620
2011-10-10$7.60$8.0035.5%14.2%65.2%32.4%56.4%28.1%-0.2%-96.4K5.2M-30.1K0.2317.73N/AN/A58113215,04316,639
2011-10-11$7.98$7.0031.1%13.8%65.8%24.2%47.8%12.1%0.0%-84.6K3.5M-33.1K0.0331.14N/AN/A3871015,48616,675
2011-10-12$8.12$7.0046.2%15.1%66.1%52.2%52.6%13.9%-3.7%-62.0K2.6M-35.0K0.0821.68N/AN/A4,18233315,73116,685
2011-10-13$8.25$7.0052.1%14.9%66.4%63.2%50.0%7.2%-3.1%-8.0K1.3M-38.4K0.0725.88N/AN/A4713318,49616,890
2011-10-14$8.45$7.0053.0%15.2%65.4%64.9%48.4%18.0%-4.2%18.0K268.2K-40.1K0.0330.51N/AN/A1,5364218,84616,918
2011-10-17$8.11$7.0056.8%16.3%65.7%72.0%56.4%14.2%-5.3%6.9K1.8M-37.8K0.2021.20N/AN/A1382820,16016,957
2011-10-18$8.11$7.0053.8%15.4%65.1%66.4%53.8%12.0%-4.1%7.2K2.0M-36.8K0.0034.05N/AN/A324020,27416,980
2011-10-19$7.93$7.0056.6%16.2%61.3%71.7%55.6%9.6%-5.2%-4.7K2.5M-35.7K0.1719.35N/AN/A2724520,44316,980
2011-10-20$7.87$7.0054.9%15.7%61.3%68.6%56.4%8.0%-2.7%6.8K2.6M-35.7K0.3748.33N/AN/A1866920,66716,980
2011-10-21$7.95$7.0052.9%15.2%60.0%64.8%53.1%10.0%-3.2%17.3K2.5M-35.1K0.5026.56N/AN/A944720,84816,986
2011-10-24$8.11$7.0052.3%15.0%60.4%63.6%50.2%13.6%-3.4%-1.9K2.2M-34.8K0.0934.24N/AN/A4604119,03816,033
2011-10-25$7.98$7.0053.9%15.5%59.9%66.7%53.9%13.0%-4.2%-16.4K2.7M-33.3K1.2639.90N/AN/A8210319,29616,024
2011-10-26$7.97$7.0048.9%14.0%59.0%57.4%49.2%11.4%-1.8%-24.6K2.9M-32.5K0.3850.55N/AN/A2449319,32016,117
2011-10-27$8.24$7.0044.5%12.8%59.8%49.2%44.7%2.7%-1.2%8381.7M-33.6K0.8719.96N/AN/A35630919,31716,200
2011-10-28$8.41$7.0046.5%13.3%52.0%52.8%46.6%0.7%-1.0%38.5K489.5K-35.6K0.0023.19N/AN/A737019,51216,372
2011-10-31$8.23$7.0047.6%13.7%45.3%54.9%47.0%-5.0%-4.1%7.8K1.5M-33.5K0.3938.63N/AN/A32712919,79716,372