DSX Options History — November 2011

In November 2011, DSX traded between $7.25 and $8.54. ATM implied volatility averaged 47.9%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 10.2% (HV 20d: 37.6%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-11-23: Highest Volume — 1,236 contracts
  • 2011-11-23: Largest IV spike — 15.5% change
  • 2011-11-23: Highest IV Rank — 67.2%
  • 2011-11-23: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.99$7.25$8.54$8.13$7.49
Max Pain$8.71$7.00$9.00$7.00$9.00
ATM IV47.9%40.6%54.2%48.6%46.2%
Expected Move13.7%11.6%15.5%13.9%13.2%
HV 20d37.6%31.1%45.9%45.5%37.7%
HV 60d50.6%47.9%54.1%53.9%47.9%
IV Rank55.4%41.9%67.2%56.7%52.2%
IV Percentile84.3%73.0%95.6%87.3%77.4%
Term Structure-0.6%-7.4%8.4%-1.0%-2.7%
VWIV45.0%36.4%52.3%47.8%36.4%
Skew 25d9.0%-8.3%18.8%-8.3%7.2%
Skew 10d17.6%-7.1%31.5%-7.1%17.3%
Call IV 25d41.8%33.2%51.5%51.5%36.8%
Put IV 25d50.8%43.2%58.1%43.2%44.0%
Bid-Ask Spread %33.2818.8652.5139.3834.43
Gamma HHI0.470.290.750.360.75
Net GEX-59.2K-240.9K49.1K-5.1K-240.9K
Net DEX3.4M-32.8K7.5M2.3M7.3M
Net VEX-25.8K-33.4K-15.4K-32.7K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.003.770.080.18
Total Volume395.619331,236128136
Total OI35,689.23831,47038,21536,44533,246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$8.13$7.0048.6%13.9%45.5%56.7%47.8%-8.3%-1.0%-5.1K2.3M-32.7K0.0839.38N/AN/A1181019,95716,488
2011-11-02$8.35$7.0049.2%14.1%45.9%57.9%48.6%4.5%0.2%35.3K1.0M-33.4K0.6633.02N/AN/A58938719,99716,488
2011-11-03$8.32$7.0049.8%14.3%45.6%58.9%0.0%0.9%-5.1%35.7K1.0M-33.4K0.1830.85N/AN/A1332420,28516,749
2011-11-04$8.30$9.0047.3%13.8%41.8%54.4%44.5%15.0%-4.9%39.8K1.3M-32.8K0.0052.27N/AN/A56020,38916,740
2011-11-07$8.22$9.0049.1%13.8%34.9%57.6%48.0%14.1%2.8%14.0K1.8M-31.2K0.3345.72N/AN/A76325320,40016,740
2011-11-08$8.36$9.0045.8%13.6%31.1%51.5%39.4%17.0%-7.1%42.5K1.1M-31.5K0.0233.03N/AN/A168320,94416,764
2011-11-09$7.99$9.0051.8%13.6%34.8%62.7%49.1%8.1%3.1%-43.4K3.2M-28.9K3.7730.46N/AN/A228320,56416,764
2011-11-10$8.17$9.0048.1%13.8%35.3%55.8%44.9%12.9%2.4%-10.2K2.3M-28.8K0.3726.78N/AN/A953520,57116,810
2011-11-11$8.41$9.0044.2%12.7%35.8%48.6%41.1%13.0%-5.0%4.2K953.9K-28.8K0.4052.51N/AN/A1877520,60416,810
2011-11-14$8.54$9.0040.6%11.6%32.7%41.9%41.1%14.7%0.8%49.1K-32.8K-28.4K0.2620.03N/AN/A45611720,66416,810
2011-11-15$8.27$9.0044.1%12.6%35.0%48.4%44.0%6.9%-0.3%-73.5K1.7M-27.1K0.4826.45N/AN/A35016820,81216,875
2011-11-16$8.20$9.0047.0%13.5%34.1%53.7%41.0%7.5%2.6%-62.7K2.3M-26.7K0.2826.95N/AN/A1815020,74316,999
2011-11-17$7.94$9.0046.5%13.3%36.0%52.9%52.3%9.2%3.6%-14.8K4.0M-24.9K0.3832.51N/AN/A37214220,82717,022
2011-11-18$8.09$9.0044.0%12.6%36.4%48.2%44.3%8.4%8.4%15.5K2.6M-25.4K0.1720.62N/AN/A4697821,09917,116
2011-11-21$7.90$9.0047.0%13.5%36.7%53.8%47.0%10.8%5.3%-173.7K4.8M-23.1K0.7446.79N/AN/A191415,07716,393
2011-11-22$7.61$9.0046.9%13.5%38.6%53.6%50.8%18.8%5.4%-177.9K6.0M-20.6K1.0431.12N/AN/A32133315,09016,406
2011-11-23$7.38$9.0054.2%15.5%39.9%67.2%46.3%7.0%-5.6%-164.7K7.0M-18.2K0.3127.47N/AN/A94329315,29816,545
2011-11-25$7.25$9.0051.7%14.8%37.6%62.6%39.6%1.6%-3.0%-129.3K6.8M-18.9K0.8919.98N/AN/A1089615,95416,754
2011-11-28$7.41$9.0053.5%15.3%37.7%65.9%45.0%11.6%-7.4%-184.9K7.3M-16.4K0.1318.86N/AN/A771016,05016,765
2011-11-29$7.40$9.0049.9%14.3%37.3%59.3%49.1%8.8%-4.5%-198.5K7.5M-15.4K3.6749.59N/AN/A12345116,09116,774
2011-11-30$7.49$9.0046.2%13.2%37.7%52.2%36.4%7.2%-2.7%-240.9K7.3M-15.9K0.1834.43N/AN/A1152116,15517,091