DSX Options History — April 2012

In April 2012, DSX traded between $7.52 and $8.90. ATM implied volatility averaged 39.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.3% (HV 20d: 39.4%). 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 8 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2012-04-09: Highest Volume — 716 contracts
  • 2012-04-09: Largest IV spike — 13.9% change
  • 2012-04-16: Highest IV Rank — 48.6%
  • 2012-04-16: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$7.52$8.90$8.90$7.86
Max Pain$8.20$8.00$9.00$9.00$8.00
ATM IV39.1%33.8%43.7%38.1%41.0%
Expected Move11.3%9.7%12.5%10.9%11.7%
HV 20d39.4%30.6%44.4%34.2%38.7%
HV 60d44.6%41.2%45.9%41.2%45.8%
IV Rank40.1%30.4%48.6%38.3%43.6%
IV Percentile56.8%44.0%68.7%56.0%62.3%
Term Structure-0.5%-5.3%6.6%1.0%-3.7%
VWIV39.2%33.4%44.8%36.9%41.0%
Skew 25d5.7%-13.5%19.0%2.3%1.5%
Skew 10d10.6%-8.8%30.1%9.3%9.7%
Call IV 25d35.0%27.8%44.7%27.9%31.6%
Put IV 25d40.7%22.7%48.5%30.2%33.1%
Bid-Ask Spread %50.8220.9373.7149.3558.75
Gamma HHI0.310.280.360.340.32
Net GEX43.3K8.9K170.9K160.6K8.9K
Net DEX1.2M-2.0M2.3M-2.0M1.7M
Net VEX-18.7K-28.1K-15.4K-28.1K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.068.140.550.21
Total Volume251.756716681117
Total OI20,067.317,48921,57520,52617,634

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$8.90$9.0038.1%10.9%34.2%38.3%36.9%2.3%1.0%160.6K-2.0M-28.1K0.5549.35N/AN/A43924213,9266,600
2012-04-03$8.87$9.0033.8%9.7%30.6%30.4%33.4%-0.2%3.5%170.9K-1.9M-28.0K0.0673.71N/AN/A3572314,1696,625
2012-04-04$8.60$9.0038.0%10.9%32.5%38.1%38.0%-13.5%-0.1%137.3K-857.3K-26.2K0.6559.44N/AN/A24816114,2686,627
2012-04-05$8.39$9.0033.8%9.7%33.5%30.4%33.6%-2.1%6.6%107.7K173.7K-23.4K1.0539.89N/AN/A10511014,3796,714
2012-04-09$7.89$8.0038.4%12.3%39.6%38.9%41.8%3.2%-1.8%41.5K1.5M-19.3K0.1720.93N/AN/A61310314,3446,721
2012-04-10$7.52$8.0042.7%12.4%42.4%46.7%43.8%0.6%-2.8%18.0K2.2M-16.4K0.5727.98N/AN/A31217714,3256,736
2012-04-11$7.70$8.0041.5%11.8%43.5%44.5%41.9%16.7%-2.0%22.8K2.0M-16.9K0.1943.40N/AN/A1222314,4016,731
2012-04-12$7.86$8.0041.8%12.0%44.4%45.1%42.2%7.5%-1.1%33.2K1.5M-18.8K1.3127.01N/AN/A364714,4606,749
2012-04-13$7.76$8.0041.8%12.0%39.8%45.1%41.8%3.0%-1.3%23.8K1.9M-17.6K0.4548.27N/AN/A1004514,4806,768
2012-04-16$7.74$8.0043.7%12.5%38.5%48.6%44.8%3.2%-3.4%21.7K1.9M-17.0K1.7553.16N/AN/A518914,5556,771
2012-04-17$7.81$8.0040.9%11.7%39.0%43.4%43.1%5.0%0.0%26.1K1.7M-17.5K8.1441.95N/AN/A2217914,5246,770
2012-04-18$7.56$8.0043.2%12.4%39.6%47.7%36.2%10.6%-5.3%9.0K2.3M-15.5K0.5642.77N/AN/A452514,5316,856
2012-04-19$7.72$8.0039.9%11.4%40.6%41.7%40.6%17.5%-2.3%10.4K2.2M-15.9K2.8070.07N/AN/A5916514,5256,877
2012-04-20$7.98$8.0036.1%10.4%41.9%34.7%35.4%5.8%1.6%18.8K1.6M-17.7K0.4747.18N/AN/A27613114,5537,022
2012-04-23$7.86$8.0037.8%10.8%41.8%37.7%37.8%16.6%0.1%11.2K1.6M-16.2K1.0048.14N/AN/A363611,0936,396
2012-04-24$7.88$8.0037.3%10.7%41.9%36.9%37.7%19.0%-0.9%10.9K1.6M-16.0K0.6467.80N/AN/A1026511,0976,398
2012-04-25$7.89$8.0036.5%10.5%41.8%35.4%38.5%15.6%0.3%9.2K1.6M-15.8K7.3267.20N/AN/A2216111,0996,409
2012-04-26$7.88$8.0038.8%11.1%41.5%39.5%38.8%0.3%-1.0%10.2K1.6M-15.8K0.2066.67N/AN/A5111,1166,504
2012-04-27$7.98$8.0036.7%10.5%41.9%35.7%36.7%1.4%1.8%13.2K1.5M-16.0K1.4362.82N/AN/A7610911,0926,501
2012-04-30$7.86$8.0041.0%11.7%38.7%43.6%41.0%1.5%-3.7%8.9K1.7M-15.4K0.2158.75N/AN/A972011,1326,502