DSX Options History — July 2012

In July 2012, DSX traded between $6.31 and $8.09. ATM implied volatility averaged 37.9%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.2% (HV 20d: 38.1%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-07-25: Highest Volume — 782 contracts
  • 2012-07-10: Largest IV spike — 87.2% change
  • 2012-07-24: Highest IV Rank — 65.8%
  • 2012-07-24: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.08$6.31$8.09$7.79$6.68
Max Pain$7.48$7.00$8.00$8.00$7.00
ATM IV37.9%17.3%53.1%22.5%44.9%
Expected Move11.5%6.4%15.2%6.4%12.9%
HV 20d38.1%27.0%50.6%27.0%46.0%
HV 60d37.0%34.5%40.6%37.3%39.9%
IV Rank37.9%0.2%65.8%9.7%50.8%
IV Percentile45.0%0.4%92.5%4.0%69.0%
Term Structure0.1%-6.2%20.5%20.5%-3.7%
VWIV38.0%23.2%47.4%28.2%43.2%
Skew 25d10.1%-4.8%25.7%11.7%-4.8%
Skew 10d15.9%-1.3%36.7%9.0%4.6%
Call IV 25d33.3%19.4%47.1%19.4%43.1%
Put IV 25d43.5%30.1%55.3%31.1%38.2%
Bid-Ask Spread %63.0932.07125.4675.3160.03
Gamma HHI0.620.380.770.430.66
Net GEX-38.2K-49.9K-10.5K-17.2K-41.8K
Net DEX2.7M775.8K3.6M1.3M3.2M
Net VEX-15.6K-19.2K-11.9K-18.9K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.118.501.180.96
Total Volume279.47644782124761
Total OI16,038.42915,20616,72715,20616,727

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$7.79$8.0022.5%6.4%27.0%9.7%28.2%11.7%20.5%-17.2K1.3M-18.9K1.1875.31N/AN/A57676,6108,596
2012-07-03$8.09$8.0031.2%8.9%29.1%25.7%31.0%5.9%6.2%-10.5K775.8K-19.2K0.2335.66N/AN/A203476,6198,657
2012-07-05$7.85$8.0028.6%8.2%30.8%21.0%28.7%-0.2%9.5%-14.8K1.2M-18.6K1.03113.24N/AN/A1821876,6988,701
2012-07-06$7.72$7.0023.8%11.0%31.2%12.2%24.5%12.3%-1.4%-22.4K1.6M-18.4K8.5033.97N/AN/A221876,6948,845
2012-07-09$7.54$7.0017.3%10.4%32.2%0.2%38.2%13.9%1.0%-30.4K1.9M-17.9K0.4732.07N/AN/A2531206,6919,010
2012-07-10$7.26$8.0032.4%13.0%35.1%27.8%23.2%4.1%-2.8%-39.4K2.4M-17.0K0.4934.63N/AN/A89446,8669,067
2012-07-11$7.21$8.0038.5%11.9%35.0%39.0%0.0%-0.3%-0.3%-40.8K2.6M-16.8K0.1646.56N/AN/A5086,8909,083
2012-07-12$7.07$8.0043.2%12.4%34.9%47.6%0.0%-1.6%0.2%-43.6K2.8M-16.0K0.3849.99N/AN/A32126,9079,083
2012-07-13$7.08$8.0039.4%11.3%34.8%40.6%39.7%0.3%0.7%-44.0K2.8M-15.8K0.32125.46N/AN/A149476,8909,044
2012-07-16$6.99$8.0043.1%12.4%34.4%47.5%36.1%25.6%-2.5%-48.5K3.0M-15.1K0.7455.98N/AN/A2331737,0129,091
2012-07-17$6.88$8.0042.4%12.1%34.7%46.1%42.4%20.5%-3.9%-49.9K3.2M-14.7K0.5062.38N/AN/A163817,1039,243
2012-07-18$6.91$8.0040.0%11.5%33.0%41.8%40.0%21.8%-2.0%-49.1K3.2M-14.8K0.2561.12N/AN/A170437,1999,292
2012-07-19$7.10$7.0038.2%11.0%34.6%38.5%38.8%25.7%-0.1%-49.4K2.9M-15.4K0.78119.86N/AN/A94737,2249,290
2012-07-20$6.87$7.0038.0%10.9%36.3%38.1%38.0%5.6%-0.3%-48.3K3.2M-14.6K0.5458.80N/AN/A158867,2399,318
2012-07-23$6.31$7.0049.7%14.2%46.4%59.6%47.4%1.5%-0.8%-42.6K3.6M-11.9K1.6161.07N/AN/A1492406,6128,964
2012-07-24$6.44$7.0053.1%15.2%47.3%65.8%44.6%10.9%-5.2%-43.4K3.5M-12.7K0.8869.99N/AN/A2071826,7409,129
2012-07-25$6.71$7.0045.1%12.9%50.0%51.2%46.0%13.2%-6.2%-44.3K3.2M-14.0K0.1161.70N/AN/A703796,9029,282
2012-07-26$6.65$7.0041.2%11.8%50.0%44.0%41.3%13.2%-0.3%-39.4K3.2M-14.1K2.0663.19N/AN/A34707,1619,272
2012-07-27$6.77$7.0042.5%12.2%50.6%46.4%46.5%17.5%-4.2%-40.8K3.1M-14.5K0.9463.84N/AN/A1381307,1569,302
2012-07-30$6.75$7.0040.7%11.7%46.1%43.1%43.7%16.0%-1.9%-40.9K3.2M-13.9K1.2140.00N/AN/A66807,2419,357
2012-07-31$6.68$7.0044.9%12.9%46.0%50.8%43.2%-4.8%-3.7%-41.8K3.2M-14.1K0.9660.03N/AN/A3883737,2909,437