DSX Options History — January 2012

In January 2012, DSX traded between $7.80 and $8.44. ATM implied volatility averaged 29.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.2% (HV 20d: 25.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-01-31: Highest Volume — 5,118 contracts
  • 2012-01-12: Largest IV spike — 50.7% change
  • 2012-01-03: Highest IV Rank — 37.2%
  • 2012-01-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.10$7.80$8.44$7.80$8.34
Max Pain$8.15$8.00$9.00$9.00$8.00
ATM IV29.9%17.7%37.5%37.5%28.3%
Expected Move9.0%5.1%10.7%10.7%8.1%
HV 20d25.7%23.0%27.5%27.3%23.0%
HV 60d30.9%28.5%37.3%37.3%28.5%
IV Rank23.3%0.9%37.2%37.2%20.5%
IV Percentile42.2%0.4%63.5%63.5%34.9%
Term Structure4.8%2.0%22.2%2.1%9.2%
VWIV29.7%14.4%35.2%34.5%26.6%
Skew 25d9.3%1.3%17.5%11.2%11.7%
Skew 10d14.2%-2.1%28.1%25.5%13.7%
Call IV 25d24.9%17.7%36.3%29.3%19.1%
Put IV 25d34.2%23.2%41.4%40.5%30.7%
Bid-Ask Spread %40.4817.3266.5135.7554.25
Gamma HHI0.330.240.430.240.41
Net GEX82.0K51.9K115.4K51.9K115.4K
Net DEX-1.1M-1.7M-282.1K-282.1K-1.6M
Net VEX-8.4K-9.5K-7.1K-8.7K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.750.281.05
Total Volume550.5325,1185565,118
Total OI16,083.6510,25919,41417,82611,704

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$7.80$9.0037.5%10.7%27.3%37.2%34.5%11.2%2.1%51.9K-282.1K-8.7K0.2835.75N/AN/A43612013,2714,555
2012-01-04$7.94$9.0035.7%10.2%27.5%33.9%35.2%9.4%2.1%67.7K-678.1K-9.3K0.0118.23N/AN/A305313,6634,579
2012-01-05$7.96$9.0017.7%5.1%27.3%0.9%14.4%1.3%22.2%62.6K-954.2K-8.8K0.4650.49N/AN/A21710013,9264,576
2012-01-06$7.94$8.0026.5%9.8%27.1%17.0%33.8%4.6%3.3%68.7K-772.5K-9.4K0.0217.32N/AN/A227513,9894,676
2012-01-09$7.89$8.0037.0%10.1%27.0%36.3%32.8%2.2%2.2%70.3K-664.6K-8.9K0.1434.77N/AN/A28414,1274,681
2012-01-10$7.95$8.0021.8%9.6%27.2%8.4%34.3%4.3%2.0%63.1K-869.9K-8.0K1.6832.35N/AN/A345714,1444,685
2012-01-11$7.95$8.0022.8%9.8%27.0%10.4%32.7%14.9%2.8%70.0K-913.7K-8.0K4.7541.05N/AN/A3215214,1784,644
2012-01-12$7.89$8.0034.4%9.9%27.0%31.6%24.7%13.6%3.4%67.6K-801.8K-8.5K0.0048.32N/AN/A63014,2104,775
2012-01-13$7.87$8.0034.1%9.8%27.0%31.0%34.1%12.3%2.8%66.1K-791.6K-7.9K1.2166.51N/AN/A637614,2224,745
2012-01-17$7.86$8.0032.9%9.4%26.8%28.8%32.8%16.1%2.3%67.6K-814.6K-7.3K0.3041.26N/AN/A1193614,2374,766
2012-01-18$7.95$8.0032.3%9.2%27.0%27.6%32.3%17.5%4.0%71.7K-925.4K-7.5K0.0953.94N/AN/A5995614,2814,800
2012-01-19$8.15$8.0030.6%8.8%23.1%24.5%22.0%7.6%3.5%77.3K-1.4M-7.1K0.0128.72N/AN/A499314,6024,812
2012-01-20$8.44$8.0031.0%8.9%24.4%25.4%29.0%3.6%4.3%96.5K-1.7M-9.5K0.5653.93N/AN/A35219814,2854,792
2012-01-23$8.40$8.0030.9%8.9%24.2%25.1%30.8%11.7%4.5%92.3K-1.6M-8.1K0.1259.84N/AN/A508607,4812,778
2012-01-24$8.36$8.0029.4%8.4%24.3%22.5%29.3%8.8%6.6%104.1K-1.7M-8.3K1.0737.41N/AN/A30327,8852,835
2012-01-25$8.31$8.0027.8%8.0%24.6%19.4%27.9%7.6%5.3%101.7K-1.6M-8.1K1.3442.55N/AN/A2072777,9022,866
2012-01-26$8.38$8.0028.8%8.3%24.6%21.3%28.4%9.0%3.8%104.0K-1.7M-8.5K0.6818.87N/AN/A2771878,0203,069
2012-01-27$8.34$8.0028.9%8.3%23.6%21.5%28.9%11.5%3.8%108.0K-1.6M-8.8K0.0650.84N/AN/A200128,2063,180
2012-01-30$8.26$8.0029.2%8.4%23.4%22.1%29.2%7.7%6.5%113.9K-1.5M-8.8K1.2923.24N/AN/A1391798,3403,186
2012-01-31$8.34$8.0028.3%8.1%23.0%20.5%26.6%11.7%9.2%115.4K-1.6M-9.1K1.0554.25N/AN/A2,4932,6258,3913,313