DSX Options History — June 2012

In June 2012, DSX traded between $7.07 and $7.78. ATM implied volatility averaged 38.1%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 0.1% (HV 20d: 38.2%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.39.

Notable Days

  • 2012-06-05: Highest Volume — 4,343 contracts
  • 2012-06-11: Largest IV spike — 38.6% change
  • 2012-06-04: Highest IV Rank — 62.3%
  • 2012-06-05: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.34$7.07$7.78$7.70$7.78
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV38.1%22.0%51.2%43.0%22.0%
Expected Move11.6%6.3%14.1%12.3%6.3%
HV 20d38.2%24.1%45.2%42.4%30.7%
HV 60d37.7%36.4%39.1%38.1%37.6%
IV Rank38.4%8.8%62.3%47.3%8.8%
IV Percentile45.0%2.8%87.3%65.1%2.8%
Term Structure4.5%-2.4%18.5%-1.1%18.5%
VWIV37.3%19.2%71.5%71.5%19.2%
Skew 25d8.7%-4.7%18.3%-3.0%7.7%
Skew 10d14.2%1.9%32.1%14.1%7.1%
Call IV 25d30.9%19.4%41.0%38.8%20.6%
Put IV 25d39.6%28.3%50.8%35.8%28.3%
Bid-Ask Spread %58.8034.1185.1880.8263.27
Gamma HHI0.530.350.660.370.46
Net GEX-31.3K-53.3K-11.8K-11.8K-19.0K
Net DEX2.9M1.4M4.2M1.8M1.4M
Net VEX-17.3K-20.1K-11.2K-13.9K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.0953.972.720.11
Total Volume467.238704,343134324
Total OI18,654.09514,42723,67518,68714,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$7.70$8.0043.0%12.3%42.4%47.3%71.5%-3.0%-1.1%-11.8K1.8M-13.9K2.7280.82N/AN/A369811,8336,854
2012-06-04$7.41$8.0051.2%14.0%44.1%62.3%0.0%8.8%-1.1%-19.2K2.4M-11.8K3.1277.68N/AN/A11937111,8596,903
2012-06-05$7.31$8.0049.1%14.1%44.2%58.5%45.7%12.5%-2.4%-14.9K2.8M-11.2K53.9763.77N/AN/A794,26411,8667,048
2012-06-06$7.48$8.0038.3%13.0%45.0%38.6%46.4%14.7%0.8%-53.3K3.8M-20.1K0.4570.16N/AN/A1577111,91011,176
2012-06-07$7.40$8.0031.1%13.5%45.1%25.4%42.8%6.0%-0.5%-39.5K4.0M-19.0K0.7053.01N/AN/A23616511,92811,106
2012-06-08$7.32$8.0028.6%12.6%45.2%20.9%37.9%11.9%3.9%-37.6K4.2M-18.4K0.7871.02N/AN/A13710712,05711,263
2012-06-11$7.29$8.0039.6%13.2%45.0%41.1%40.2%2.0%5.0%-41.3K4.2M-18.5K0.0968.29N/AN/A3473012,14011,370
2012-06-12$7.22$8.0043.6%12.8%44.3%48.4%41.8%-0.7%2.9%-40.1K4.2M-18.4K0.8436.27N/AN/A17714912,32311,253
2012-06-13$7.07$8.0039.6%12.6%44.8%41.1%40.9%-4.7%3.2%-40.7K4.2M-17.8K0.2065.16N/AN/A2635312,42911,141
2012-06-14$7.13$8.0041.2%11.8%44.9%44.0%39.5%9.0%5.1%-42.7K4.1M-18.0K0.7057.63N/AN/A15811112,50711,118
2012-06-15$7.25$8.0041.9%12.0%45.1%45.2%42.8%0.9%3.6%-32.6K3.9M-18.6K0.1185.18N/AN/A3183412,60211,073
2012-06-18$7.20$8.0039.8%11.4%45.2%41.5%38.4%2.2%4.0%-32.4K2.3M-17.7K0.3344.69N/AN/A3381106,0928,335
2012-06-19$7.40$8.0036.5%10.5%35.7%35.4%34.0%5.1%5.1%-29.8K2.1M-18.2K0.4034.11N/AN/A3101256,2238,425
2012-06-20$7.31$8.0037.3%10.7%35.8%36.8%28.3%16.6%6.8%-28.3K2.2M-17.6K0.7043.75N/AN/A108766,3668,413
2012-06-21$7.25$8.0035.8%10.3%31.0%34.1%35.8%17.0%6.2%-31.8K2.3M-17.2K1.4954.15N/AN/A811216,4218,444
2012-06-22$7.28$8.0036.3%10.4%30.9%35.0%0.0%17.1%7.4%-30.1K2.2M-17.6K0.6342.18N/AN/A43276,3778,376
2012-06-25$7.32$8.0038.1%10.9%27.8%38.4%38.1%16.4%7.0%-28.4K2.2M-17.5K2.2261.53N/AN/A541206,4048,403
2012-06-26$7.37$8.0038.4%11.0%27.7%38.9%23.7%18.3%5.3%-25.3K2.0M-18.2K0.1544.93N/AN/A84136,4058,483
2012-06-27$7.35$8.0037.0%10.6%24.1%36.3%21.3%14.9%5.0%-27.1K2.1M-17.7K0.7967.45N/AN/A1491176,4618,480
2012-06-28$7.39$8.0032.6%9.3%24.1%28.2%20.8%10.1%9.7%-31.6K2.2M-17.4K0.6149.85N/AN/A82506,3618,545
2012-06-29$7.78$8.0022.0%6.3%30.7%8.8%19.2%7.7%18.5%-19.0K1.4M-18.7K0.1163.27N/AN/A293316,4188,545