DSX Options History — August 2012

In August 2012, DSX traded between $6.50 and $7.22. ATM implied volatility averaged 34.2%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 9.2% (HV 20d: 43.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-08-15: Highest Volume — 1,635 contracts
  • 2012-08-15: Largest IV drop — 32.8% change
  • 2012-08-01: Highest IV Rank — 64.3%
  • 2012-08-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.91$6.50$7.22$6.55$6.61
Max Pain$7.87$7.00$8.00$7.00$8.00
ATM IV34.2%25.4%52.3%52.3%30.9%
Expected Move9.9%8.7%15.0%15.0%8.9%
HV 20d43.4%22.0%52.4%42.9%23.1%
HV 60d40.4%37.1%43.5%40.0%37.3%
IV Rank33.4%16.6%64.3%64.3%27.6%
IV Percentile25.4%4.0%90.5%90.5%14.3%
Term Structure3.1%-12.4%7.2%-12.4%7.0%
VWIV33.7%20.9%46.7%46.7%28.6%
Skew 25d3.3%-10.3%17.9%-10.3%-4.5%
Skew 10d5.1%-10.0%21.8%14.2%-4.1%
Call IV 25d28.3%21.4%47.3%47.3%31.5%
Put IV 25d31.6%26.6%40.7%36.9%27.0%
Bid-Ask Spread %43.1122.7579.4962.3929.93
Gamma HHI0.520.440.680.680.44
Net GEX-28.4K-47.2K17.5K-40.6K-25.8K
Net DEX2.7M2.2M3.4M3.4M3.3M
Net VEX-15.6K-17.5K-13.6K-13.7K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.000.240.26
Total Volume318.652281,63529939
Total OI18,910.43517,22320,35817,27119,642

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$6.55$7.0052.3%15.0%42.9%64.3%46.7%-10.3%-12.4%-40.6K3.4M-13.7K0.2462.39N/AN/A242577,5299,742
2012-08-02$7.08$7.0035.7%10.2%52.4%33.9%35.7%8.4%-2.5%-41.9K2.8M-14.6K1.4079.49N/AN/A3464857,4709,753
2012-08-03$7.00$7.0030.4%8.7%52.3%24.2%30.5%3.2%4.6%-47.2K2.8M-15.1K0.1466.00N/AN/A208297,66210,003
2012-08-06$7.08$8.0038.3%10.3%52.1%38.7%32.8%17.9%5.9%-45.8K2.7M-15.2K0.0251.85N/AN/A1,153277,6959,989
2012-08-07$7.01$8.0035.6%10.1%50.6%33.8%42.7%5.7%4.1%-37.0K2.6M-16.0K1.3443.18N/AN/A47638,5719,989
2012-08-08$7.03$8.0034.9%9.8%50.5%35.7%32.1%4.3%5.0%-36.4K2.7M-15.9K0.6337.86N/AN/A2261428,58610,029
2012-08-09$7.22$8.0034.3%9.9%51.0%34.4%0.0%-0.2%3.4%-35.7K2.3M-16.7K0.7134.61N/AN/A63458,69110,142
2012-08-10$7.13$8.0027.7%9.5%51.2%21.1%20.9%10.3%6.1%-33.4K2.5M-16.2K1.5550.63N/AN/A11178,69710,142
2012-08-13$7.00$8.0030.6%9.6%51.4%26.9%33.3%5.7%4.4%-33.6K2.8M-15.4K2.0039.18N/AN/A40808,70010,153
2012-08-14$7.04$8.0037.9%9.7%51.1%41.6%33.9%5.9%3.5%-33.6K2.6M-15.7K0.4549.39N/AN/A187848,74010,123
2012-08-15$7.18$8.0025.4%10.0%51.5%16.6%34.9%9.1%5.7%-31.9K2.2M-16.1K0.0150.40N/AN/A1,625108,89910,199
2012-08-16$7.03$8.0033.5%9.6%51.3%32.8%32.8%-6.8%7.2%17.5K2.3M-17.4K0.8437.72N/AN/A806710,16410,156
2012-08-17$7.03$8.0036.9%10.6%49.8%39.6%36.7%9.1%4.1%17.2K2.3M-17.5K0.1350.29N/AN/A5206610,19010,168
2012-08-20$7.07$8.0032.2%9.2%38.0%30.1%32.2%6.5%3.4%-29.1K2.4M-17.0K0.6750.96N/AN/A102689,1749,617
2012-08-21$6.97$8.0031.8%9.1%38.2%29.3%31.8%4.8%3.2%-28.4K2.6M-16.4K0.1439.56N/AN/A264389,2269,668
2012-08-22$6.86$8.0033.3%9.5%36.2%32.3%31.2%0.7%2.5%-25.8K2.7M-16.4K0.0522.75N/AN/A9959,4539,702
2012-08-23$6.93$8.0034.4%9.9%36.1%34.6%32.7%4.4%1.6%-26.3K2.6M-16.6K0.6923.35N/AN/A65459,4949,707
2012-08-24$6.77$8.0030.3%8.7%36.7%26.4%29.6%-0.3%4.6%-24.4K2.9M-15.6K0.3124.50N/AN/A64209,5449,720
2012-08-27$6.72$8.0034.7%9.9%36.7%35.2%32.3%-2.7%3.1%-25.2K3.0M-15.4K1.3837.68N/AN/A1081499,5849,730
2012-08-28$6.65$8.0032.5%9.3%36.7%30.8%0.0%-5.2%3.9%-27.6K3.2M-14.5K0.0032.23N/AN/A6709,6329,879
2012-08-29$6.55$8.0033.7%9.7%36.5%33.2%42.8%5.5%0.8%-29.2K3.3M-14.1K0.2538.31N/AN/A40109,6149,879
2012-08-30$6.50$8.0040.1%11.5%22.0%46.1%0.0%4.2%1.5%-28.5K3.4M-13.6K0.0039.24N/AN/A22609,6149,879
2012-08-31$6.61$8.0030.9%8.9%23.1%27.6%28.6%-4.5%7.0%-25.8K3.3M-14.0K0.2629.93N/AN/A3189,7639,879