DSX Options History — February 2012

In February 2012, DSX traded between $8.11 and $9.87. ATM implied volatility averaged 41.2%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.7% (HV 20d: 44.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2012-02-14: Highest Volume — 20,098 contracts
  • 2012-02-14: Largest IV spike — 23.9% change
  • 2012-02-27: Highest IV Rank — 67.4%
  • 2012-02-27: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.08$8.11$9.87$8.19$9.14
Max Pain$7.85$7.00$8.00$8.00$8.00
ATM IV41.2%21.9%54.0%21.9%39.4%
Expected Move11.9%6.3%15.5%6.3%11.3%
HV 20d44.9%19.6%59.4%20.1%59.4%
HV 60d34.9%28.8%38.7%28.8%38.7%
IV Rank44.0%8.6%67.4%8.6%40.8%
IV Percentile67.3%4.8%95.2%4.8%62.3%
Term Structure-2.5%-9.4%5.3%5.3%1.2%
VWIV41.9%26.7%55.9%27.0%40.1%
Skew 25d0.6%-14.7%12.6%-0.6%-9.1%
Skew 10d5.7%-14.1%49.0%10.3%-14.1%
Call IV 25d41.1%22.3%56.6%22.3%41.8%
Put IV 25d41.7%21.7%57.2%21.7%32.7%
Bid-Ask Spread %37.8717.3199.8548.8524.16
Gamma HHI0.460.320.670.320.51
Net GEX248.1K109.9K480.9K109.9K255.6K
Net DEX-5.2M-10.6M-575.7K-827.3K-4.3M
Net VEX-30.5K-40.2K-18.0K-18.4K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.041.111.110.18
Total Volume2,623.9526020,098374931
Total OI25,261.716,72333,19116,72330,703

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$8.19$8.0021.9%6.3%20.1%8.6%27.0%-0.6%5.3%109.9K-827.3K-18.4K1.1148.85N/AN/A17719710,8515,872
2012-02-02$8.11$8.0026.7%7.7%19.6%17.5%26.7%6.6%4.4%110.2K-575.7K-18.0K0.5834.48N/AN/A1659510,9575,998
2012-02-03$8.29$7.0029.4%9.2%21.0%22.4%31.6%6.4%3.8%118.3K-994.5K-18.7K0.1357.85N/AN/A1,65821611,0156,070
2012-02-06$8.95$7.0030.0%10.1%33.7%23.4%29.8%11.0%-0.6%172.6K-3.7M-22.8K0.0961.43N/AN/A3,31230512,3816,252
2012-02-07$8.83$7.0030.7%9.1%34.1%24.8%35.3%3.2%-0.4%235.4K-4.0M-24.6K0.2039.54N/AN/A1,15923514,0706,365
2012-02-08$8.77$8.0033.1%9.4%34.4%29.2%36.3%12.6%0.1%230.2K-3.7M-24.3K0.0946.13N/AN/A2482314,2316,533
2012-02-09$9.27$8.0035.5%10.2%38.7%33.6%35.2%-5.1%-1.1%242.9K-6.1M-26.2K0.0958.96N/AN/A4,04135314,3456,550
2012-02-10$8.91$8.0035.4%10.2%41.9%33.5%35.4%7.1%1.1%189.4K-4.1M-26.3K0.1399.85N/AN/A1,27616614,8656,837
2012-02-13$9.52$8.0039.4%11.3%46.9%40.7%38.9%12.5%-2.1%182.6K-6.7M-27.9K0.0430.40N/AN/A5,41623514,6976,847
2012-02-14$9.87$8.0048.8%14.0%47.6%57.9%49.0%-5.1%-5.3%376.1K-9.8M-31.5K0.0432.31N/AN/A19,33176718,6697,004
2012-02-15$9.39$8.0049.3%14.1%52.3%58.8%47.5%-10.8%-5.6%289.9K-8.1M-37.5K0.1435.39N/AN/A2,46633724,2307,589
2012-02-16$9.75$8.0048.8%14.0%53.0%57.9%49.3%-0.8%-5.8%480.9K-10.6M-40.2K0.0929.61N/AN/A6705925,1687,788
2012-02-17$9.71$8.0046.4%13.3%52.3%53.5%46.9%1.0%-5.5%455.0K-10.2M-39.8K0.2320.16N/AN/A1,45533325,3817,810
2012-02-21$9.18$8.0053.2%15.3%56.8%66.0%53.1%1.7%-8.7%255.6K-5.2M-36.8K0.2422.62N/AN/A1,24629621,2127,475
2012-02-22$9.13$8.0053.7%15.4%56.8%66.9%53.9%-2.0%-9.4%243.2K-5.0M-37.2K0.6333.44N/AN/A29018321,3547,689
2012-02-23$9.17$8.0053.0%15.2%56.7%65.6%55.9%-3.0%-7.2%249.7K-5.3M-37.6K0.1522.36N/AN/A78511821,4337,721
2012-02-24$9.22$8.0052.0%14.9%56.7%63.8%48.0%-0.3%-7.8%263.7K-5.5M-37.3K0.0920.82N/AN/A1,37112921,4147,804
2012-02-27$9.34$8.0054.0%15.5%56.6%67.4%54.4%0.7%-4.7%291.4K-6.2M-37.3K0.4421.68N/AN/A75533521,8587,929
2012-02-28$8.94$8.0043.6%12.5%59.1%48.4%44.5%-14.7%-1.7%210.2K-3.4M-32.9K0.1317.31N/AN/A1,18915622,0898,178
2012-02-29$9.14$8.0039.4%11.3%59.4%40.8%40.1%-9.1%1.2%255.6K-4.3M-33.8K0.1824.16N/AN/A78614522,3698,334