DSX Options History — May 2012

In May 2012, DSX traded between $7.20 and $8.25. ATM implied volatility averaged 38.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.2% (HV 20d: 34.3%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-05-23: Highest Volume — 1,101 contracts
  • 2012-05-08: Largest IV drop — 32.6% change
  • 2012-05-17: Highest IV Rank — 50.0%
  • 2012-05-17: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.72$7.20$8.25$7.97$7.70
Max Pain$8.73$8.00$9.00$8.00$8.00
ATM IV38.5%28.0%44.5%37.0%41.6%
Expected Move11.1%9.4%12.8%10.6%11.9%
HV 20d34.3%20.5%44.4%39.4%44.4%
HV 60d38.7%34.1%45.7%45.7%38.3%
IV Rank39.1%19.8%50.0%36.4%44.8%
IV Percentile51.3%16.3%70.2%48.8%61.1%
Term Structure1.4%-3.0%4.7%-1.6%-0.4%
VWIV37.6%22.9%44.3%37.0%41.0%
Skew 25d6.4%-4.7%17.0%4.6%-3.0%
Skew 10d12.3%-0.0%21.9%7.3%13.5%
Call IV 25d31.8%24.3%39.6%29.2%37.6%
Put IV 25d38.2%26.4%43.4%33.9%34.7%
Bid-Ask Spread %50.8819.6285.6565.3740.09
Gamma HHI0.390.310.510.320.38
Net GEX-6.8K-24.8K15.9K9.6K-13.7K
Net DEX1.9M550.6K2.8M1.5M1.8M
Net VEX-13.5K-16.2K-10.2K-15.4K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.160.860.00
Total Volume257.773321,101271148
Total OI18,133.09117,14018,57017,64518,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$7.97$8.0037.0%10.6%39.4%36.4%37.0%4.6%-1.6%9.6K1.5M-15.4K0.8665.37N/AN/A14612511,1676,478
2012-05-02$7.98$8.0039.8%11.4%39.5%41.3%39.7%4.0%-1.6%12.5K1.5M-15.0K0.3868.68N/AN/A1044011,2406,389
2012-05-03$7.69$8.0032.8%9.4%40.0%28.5%32.8%1.0%2.1%-3.6K2.1M-12.9K1.4083.35N/AN/A9212911,2126,429
2012-05-04$7.80$9.0036.9%10.4%40.0%36.1%37.0%17.0%2.7%2.5K1.8M-14.3K0.4947.61N/AN/A67333111,2426,551
2012-05-07$7.71$9.0041.5%10.3%33.8%44.6%22.9%12.8%3.9%-1.9K2.0M-14.3K0.1231.92N/AN/A1361611,7486,717
2012-05-08$7.76$9.0028.0%10.1%29.0%19.8%34.8%14.0%3.2%402.1M-14.2K0.1819.62N/AN/A1522811,7906,731
2012-05-09$7.76$9.0031.9%10.2%27.8%27.0%42.4%14.0%3.1%-1.3K1.9M-14.2K1.7165.38N/AN/A284811,7486,580
2012-05-10$7.70$9.0034.5%9.9%26.9%31.8%35.6%15.9%4.7%-2.0K2.0M-14.0K0.4535.14N/AN/A221011,7736,618
2012-05-11$7.60$9.0034.6%9.9%26.9%32.0%35.7%11.0%3.9%-9.5K2.3M-12.8K1.5932.72N/AN/A6410211,7876,623
2012-05-14$7.41$9.0044.1%12.6%28.3%49.3%44.3%7.4%-3.0%-17.3K2.5M-11.7K0.8422.56N/AN/A12810811,7816,612
2012-05-15$7.37$9.0040.8%11.7%28.0%43.2%35.3%4.1%1.6%-24.1K2.8M-10.9K0.9555.28N/AN/A413911,8306,720
2012-05-16$7.30$9.0043.8%12.6%25.8%48.8%39.0%4.7%0.1%-21.4K2.7M-11.2K2.1632.08N/AN/A6213411,8336,703
2012-05-17$7.22$9.0044.5%12.8%24.6%50.0%37.8%3.5%1.0%-19.5K2.8M-10.4K1.2776.29N/AN/A374711,8396,673
2012-05-18$7.20$9.0042.7%12.2%20.5%46.7%37.4%0.9%3.5%-20.2K2.8M-10.2K0.5029.86N/AN/A864311,8736,602
2012-05-21$7.80$9.0034.5%9.9%36.2%31.8%36.3%11.8%2.8%-24.8K2.1M-12.7K0.3340.20N/AN/A2106910,6956,445
2012-05-22$7.75$9.0039.4%11.3%36.2%40.7%40.4%-4.7%-0.1%-14.0K1.9M-13.2K0.2185.65N/AN/A2705610,7786,498
2012-05-23$8.11$9.0039.1%11.2%39.8%40.1%38.8%9.7%1.8%-8111.2M-14.7K0.2240.11N/AN/A90319810,9476,544
2012-05-24$7.98$9.0039.0%11.2%40.3%40.0%39.0%4.0%1.8%-2.5K1.2M-15.8K0.1847.25N/AN/A2023611,5416,683
2012-05-25$8.25$9.0038.6%11.1%41.7%39.2%38.1%-0.2%2.6%15.9K550.6K-16.2K0.4270.40N/AN/A1807511,5466,701
2012-05-29$8.10$8.0038.2%10.9%41.9%38.5%38.2%7.9%2.8%-6.5K993.4K-15.1K0.1163.28N/AN/A35411,6006,735
2012-05-30$7.77$8.0044.0%12.6%44.3%49.1%44.0%-0.7%-2.8%-7.6K1.7M-13.9K2.1466.52N/AN/A10021411,6216,735
2012-05-31$7.70$8.0041.6%11.9%44.4%44.8%41.0%-3.0%-0.4%-13.7K1.8M-13.8K0.0040.09N/AN/A148011,7046,866