DSX Options History — March 2012

In March 2012, DSX traded between $8.41 and $9.24. ATM implied volatility averaged 37.1%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 7.4% (HV 20d: 44.6%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-03-16: Highest Volume — 1,854 contracts
  • 2012-03-13: Largest IV drop — 30.3% change
  • 2012-03-07: Highest IV Rank — 51.2%
  • 2012-03-06: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$8.41$9.24$9.24$8.95
Max Pain$8.91$8.00$9.00$8.00$9.00
ATM IV37.1%29.2%45.1%40.7%36.9%
Expected Move10.5%9.4%12.0%11.7%10.6%
HV 20d44.6%33.5%60.5%58.9%36.2%
HV 60d40.7%38.7%41.8%38.7%41.2%
IV Rank36.5%22.1%51.2%43.0%36.1%
IV Percentile54.8%35.7%71.4%64.3%54.4%
Term Structure2.2%-1.7%5.7%-1.7%2.5%
VWIV36.4%32.9%40.6%39.7%36.5%
Skew 25d3.4%-12.1%11.2%-4.6%0.3%
Skew 10d6.3%-17.9%18.5%-5.5%4.6%
Call IV 25d34.0%26.3%44.6%40.1%28.6%
Put IV 25d37.4%27.1%43.5%35.4%28.9%
Bid-Ask Spread %36.837.2668.9316.2937.83
Gamma HHI0.350.290.510.500.32
Net GEX136.4K62.3K297.7K297.7K127.7K
Net DEX-1.7M-5.1M-454.1K-5.1M-1.8M
Net VEX-28.3K-34.9K-25.4K-34.9K-28.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.021.430.470.03
Total Volume620.727721,8541,0691,678
Total OI25,898.22717,80032,76730,93819,216

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$9.24$8.0040.7%11.7%58.9%43.0%39.7%-4.6%-1.7%297.7K-5.1M-34.9K0.4716.29N/AN/A72734222,7028,236
2012-03-02$9.05$8.0039.1%11.2%59.4%40.1%39.3%-12.1%0.2%249.6K-4.0M-33.3K0.1918.95N/AN/A4769022,8758,387
2012-03-05$8.76$9.0044.1%11.4%60.5%49.3%39.6%-0.1%0.8%174.6K-2.5M-30.5K0.2024.15N/AN/A88918222,8458,394
2012-03-06$8.41$9.0043.4%12.0%55.7%48.1%40.6%-3.9%1.0%100.9K-763.0K-26.8K0.3329.72N/AN/A76225422,7348,438
2012-03-07$8.53$9.0045.1%11.5%55.8%51.2%40.6%4.5%-1.4%128.4K-1.3M-28.3K0.5433.77N/AN/A18610022,8678,537
2012-03-08$8.59$9.0040.4%11.1%55.9%42.5%37.8%2.9%-0.0%117.2K-1.4M-27.7K1.4326.00N/AN/A10815422,7878,581
2012-03-09$8.65$9.0038.9%10.7%51.9%39.8%38.1%2.0%0.9%119.6K-1.5M-28.0K0.4912.42N/AN/A34616922,8058,728
2012-03-12$8.53$9.0041.9%11.0%50.3%45.3%36.4%6.3%0.1%117.1K-977.0K-27.4K0.517.26N/AN/A31115923,0378,890
2012-03-13$8.59$9.0029.2%10.5%43.6%22.1%34.2%10.3%1.4%92.5K-1.1M-26.8K0.4434.21N/AN/A1808023,2199,039
2012-03-14$8.51$9.0034.3%9.7%40.8%31.4%34.4%9.6%4.4%62.3K-705.2K-26.0K0.1925.59N/AN/A3226023,2379,064
2012-03-15$8.94$9.0038.3%11.0%42.2%38.7%38.2%7.4%-1.0%252.4K-2.6M-28.6K0.4046.78N/AN/A93436923,3608,946
2012-03-16$9.12$9.0035.0%10.0%40.4%32.6%36.8%3.6%3.7%240.7K-4.2M-29.9K0.0249.32N/AN/A1,8262823,7349,033
2012-03-19$9.02$9.0034.5%9.9%40.5%31.8%32.9%-5.3%5.2%98.4K-1.9M-28.7K0.1253.36N/AN/A1,39716111,3666,434
2012-03-20$8.81$9.0035.1%10.1%36.4%32.8%33.9%11.2%3.7%108.9K-1.4M-29.2K0.3047.39N/AN/A1965812,3956,476
2012-03-21$8.87$9.0033.4%9.6%36.5%29.7%33.5%2.6%4.9%117.3K-1.7M-29.1K0.3068.93N/AN/A732212,4816,493
2012-03-22$8.60$9.0036.3%10.4%37.9%34.9%38.8%8.9%2.8%94.6K-734.8K-27.5K0.0541.48N/AN/A199912,5126,497
2012-03-23$8.68$9.0032.8%9.4%38.0%28.6%33.2%11.1%5.5%105.0K-896.2K-27.4K0.0759.65N/AN/A3342512,5886,501
2012-03-26$8.69$9.0034.8%10.0%37.6%32.2%33.8%8.4%4.9%100.6K-949.3K-27.3K0.0655.86N/AN/A68412,4776,522
2012-03-27$8.58$9.0033.5%9.6%34.7%29.9%33.7%4.5%5.7%94.2K-579.6K-26.2K0.1556.52N/AN/A981512,5216,524
2012-03-28$8.67$9.0034.3%9.8%33.8%31.4%34.3%2.9%3.7%102.0K-703.0K-26.3K0.0237.06N/AN/A173312,5756,539
2012-03-29$8.60$9.0035.0%10.0%33.5%32.6%35.0%3.4%1.1%98.1K-454.1K-25.4K0.2227.78N/AN/A731612,6306,539
2012-03-30$8.95$9.0036.9%10.6%36.2%36.1%36.5%0.3%2.5%127.7K-1.8M-28.0K0.0337.83N/AN/A1,6235512,6716,545