DSX Options History — December 2011

In December 2011, DSX traded between $7.48 and $8.07. ATM implied volatility averaged 33.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 4.1% (HV 20d: 29.5%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-12-06: Highest Volume — 1,033 contracts
  • 2011-12-15: Largest IV spike — 138.4% change
  • 2011-12-01: Highest IV Rank — 49.8%
  • 2011-12-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.76$7.48$8.07$7.49$7.48
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV33.7%17.2%44.9%44.9%34.0%
Expected Move11.2%8.5%12.9%12.9%9.7%
HV 20d29.5%22.1%37.6%36.0%23.4%
HV 60d43.7%36.6%47.6%47.5%36.6%
IV Rank29.7%0.0%49.8%49.8%30.8%
IV Percentile53.7%0.0%75.0%75.0%59.5%
Term Structure3.4%0.3%10.6%1.9%10.6%
VWIV37.8%29.6%43.1%37.4%34.0%
Skew 25d8.0%0.2%18.1%7.0%3.4%
Skew 10d13.3%0.6%22.7%17.4%5.3%
Call IV 25d32.1%22.1%39.5%37.7%30.9%
Put IV 25d40.1%34.3%44.8%44.8%34.3%
Bid-Ask Spread %27.4111.1650.6250.6213.80
Gamma HHI0.590.210.970.750.21
Net GEX-570.4K-3.7M44.8K-248.3K35.1K
Net DEX3.2M-207.4K7.3M7.3M243.2K
Net VEX-12.1K-16.1K-8.2K-15.6K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.001.520.001.25
Total Volume391.6671011,033138281
Total OI26,348.66715,72433,95033,20717,622

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$7.49$9.0044.9%12.9%36.0%49.8%37.4%7.0%1.9%-248.3K7.3M-15.6K0.0050.62N/AN/A138016,23816,969
2011-12-02$7.60$9.0029.5%8.5%36.7%21.2%29.6%8.4%10.2%-293.3K7.1M-15.6K0.2029.88N/AN/A3827716,35116,969
2011-12-05$7.72$9.0028.5%12.3%37.4%19.3%35.3%0.2%0.3%-353.9K6.6M-15.5K0.8831.74N/AN/A14512816,47216,969
2011-12-06$7.80$9.0033.1%11.7%37.6%27.8%40.9%15.4%4.0%-422.3K6.1M-16.1K0.1713.15N/AN/A88215116,57917,001
2011-12-07$7.87$9.0031.0%11.6%37.2%23.9%0.0%3.7%4.2%-504.8K5.8M-15.7K0.4220.53N/AN/A773216,64917,015
2011-12-08$7.94$9.0031.8%12.2%33.8%25.4%42.6%6.2%2.3%-547.6K5.1M-15.9K0.9841.01N/AN/A515016,66417,032
2011-12-09$7.97$9.0029.0%11.8%32.8%20.2%38.6%6.3%3.0%-652.2K4.7M-15.7K1.4532.33N/AN/A25136416,70917,046
2011-12-12$8.03$9.0026.2%11.4%31.0%15.0%0.0%18.1%4.4%-1.0M4.3M-14.1K1.2541.50N/AN/A486016,85617,047
2011-12-13$8.07$9.0022.5%11.5%30.5%8.0%39.1%2.6%3.9%-1.0M3.2M-13.7K0.1234.43N/AN/A4495616,87617,074
2011-12-14$8.02$9.0017.2%12.3%28.5%0.0%43.1%6.2%1.3%-1.9M3.9M-13.1K0.3630.08N/AN/A47216816,75017,066
2011-12-15$7.94$9.0040.9%11.7%28.5%43.5%37.5%2.8%4.0%-1.7M6.2M-12.0K1.5242.56N/AN/A18628216,70817,045
2011-12-16$7.99$9.0040.4%11.6%26.2%42.6%36.8%3.0%3.7%-3.7M5.2M-11.6K1.3419.36N/AN/A21228416,77117,148
2011-12-19$7.65$9.0039.1%11.2%29.5%40.2%39.1%10.3%4.2%28.0K228.2K-8.7K1.0623.02N/AN/A25627211,2564,468
2011-12-20$7.52$9.0038.0%10.9%29.0%38.2%38.0%10.1%0.7%26.9K339.8K-8.4K0.2713.06N/AN/A1804811,4784,430
2011-12-21$7.66$9.0037.4%10.7%26.8%37.0%37.4%12.8%3.8%32.9K54.2K-9.0K0.0025.72N/AN/A422011,6174,364
2011-12-22$7.65$9.0036.8%10.6%24.2%36.0%0.0%12.2%1.7%36.7K28.2K-8.9K0.0047.41N/AN/A144011,9764,364
2011-12-23$7.71$9.0036.0%10.3%23.1%34.5%0.0%13.1%2.9%39.9K-93.4K-9.1K0.0012.75N/AN/A439212,0974,364
2011-12-27$7.76$9.0036.6%10.5%22.1%35.6%36.6%13.1%2.2%44.8K-207.4K-9.1K1.3823.55N/AN/A11716112,4644,364
2011-12-28$7.63$9.0038.3%11.0%23.1%38.7%38.3%7.9%1.2%38.4K81.7K-8.7K0.0211.16N/AN/A7691512,5664,406
2011-12-29$7.54$9.0036.4%10.4%23.2%35.2%0.0%4.6%0.8%39.0K159.2K-8.4K0.3218.00N/AN/A1324213,0944,388
2011-12-30$7.48$9.0034.0%9.7%23.4%30.8%34.0%3.4%10.6%35.1K243.2K-8.2K1.2513.80N/AN/A12515613,2114,411