DSX Options History — September 2012

In September 2012, DSX traded between $6.46 and $7.24. ATM implied volatility averaged 33.8%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.6% (HV 20d: 27.2%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2012-09-07: Highest Volume — 2,534 contracts
2012-09-07: Largest IV spike — 70.0% change
2012-09-13: Highest IV Rank — 41.9%
2012-09-11: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.80	$6.46	$7.24	$6.62	$6.46
Max Pain	$6.42	$6.00	$8.00	$8.00	$6.00
ATM IV	33.8%	20.9%	38.0%	37.9%	34.3%
Expected Move	9.8%	6.0%	11.0%	10.9%	9.8%
HV 20d	27.2%	21.3%	34.5%	22.5%	34.2%
HV 60d	38.1%	37.0%	40.2%	37.2%	37.8%
IV Rank	33.3%	7.5%	41.9%	41.7%	34.5%
IV Percentile	28.8%	1.2%	46.0%	42.9%	29.0%
Term Structure	5.2%	-0.6%	22.1%	1.3%	15.8%
VWIV	37.3%	30.7%	48.8%	38.2%	31.6%
Skew 25d	7.3%	-6.1%	21.1%	-6.1%	3.0%
Skew 10d	9.1%	-5.8%	23.0%	-1.3%	6.5%
Call IV 25d	30.3%	16.8%	41.3%	37.2%	36.5%
Put IV 25d	37.6%	28.7%	45.2%	31.2%	39.6%
Bid-Ask Spread %	28.17	7.53	48.80	36.77	13.32
Gamma HHI	0.45	0.38	0.63	0.45	0.46
Net GEX	7.6K	-27.7K	51.3K	-27.7K	13.3K
Net DEX	1.8M	647.7K	3.2M	3.2M	898.7K
Net VEX	-15.9K	-17.6K	-13.8K	-14.1K	-15.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.01	8.53	0.35	0.01
Total Volume	607.053	118	2,534	353	250
Total OI	20,258.263	14,448	23,813	19,654	16,124

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$6.62	$8.00	37.9%	10.9%	22.5%	41.7%	38.2%	-6.1%	1.3%	-27.7K	3.2M	-14.1K	0.35	36.77	N/A	N/A	261	92	9,772	9,882
2012-09-05	$6.64	$8.00	26.3%	7.5%	22.5%	18.4%	37.9%	14.7%	22.1%	-23.9K	3.2M	-14.1K	0.28	33.42	N/A	N/A	210	58	9,911	9,836
2012-09-06	$6.61	$8.00	20.9%	6.0%	22.4%	7.5%	48.8%	21.1%	15.6%	-23.6K	3.2M	-13.8K	8.53	37.23	N/A	N/A	62	529	10,013	9,701
2012-09-07	$6.80	$7.00	35.5%	10.3%	22.7%	36.9%	36.9%	11.2%	4.9%	-19.8K	2.6M	-14.9K	0.28	35.09	N/A	N/A	1,976	558	10,105	10,074
2012-09-10	$6.84	$7.00	32.4%	10.4%	22.6%	30.7%	41.3%	13.9%	1.9%	5.9K	2.1M	-16.6K	0.47	34.37	N/A	N/A	215	102	11,726	10,425
2012-09-11	$6.95	$6.00	35.9%	11.0%	22.6%	37.7%	0.0%	18.1%	0.9%	10.0K	1.8M	-16.9K	0.54	48.80	N/A	N/A	119	64	11,871	10,515
2012-09-12	$6.90	$6.00	34.5%	10.7%	22.6%	34.8%	37.5%	15.0%	1.5%	9.4K	1.9M	-16.6K	0.47	36.96	N/A	N/A	102	48	11,874	10,518
2012-09-13	$6.88	$6.00	38.0%	10.9%	21.3%	41.9%	39.3%	13.7%	-0.6%	10.8K	2.0M	-16.2K	1.07	42.12	N/A	N/A	57	61	11,894	10,538
2012-09-14	$7.05	$6.00	35.3%	10.1%	22.0%	36.4%	30.7%	5.6%	3.4%	19.8K	1.5M	-16.7K	1.28	40.77	N/A	N/A	200	257	11,914	10,578
2012-09-17	$6.80	$6.00	34.9%	10.0%	25.5%	35.7%	45.9%	-0.1%	3.7%	9.9K	2.5M	-15.7K	0.62	36.27	N/A	N/A	294	182	11,958	10,788
2012-09-18	$6.90	$6.00	36.2%	10.4%	26.0%	38.2%	33.8%	1.9%	2.3%	16.7K	2.1M	-16.2K	0.42	44.92	N/A	N/A	127	53	12,204	10,835
2012-09-19	$7.24	$6.00	37.3%	10.7%	30.8%	40.4%	37.2%	-2.5%	1.3%	22.9K	689.7K	-17.0K	0.03	12.61	N/A	N/A	1,489	51	12,288	10,846
2012-09-20	$7.13	$6.00	36.7%	10.5%	30.8%	39.2%	36.7%	6.9%	2.6%	38.3K	800.3K	-17.6K	0.10	14.44	N/A	N/A	861	88	12,972	10,841
2012-09-21	$6.95	$6.00	34.9%	10.0%	32.1%	35.7%	34.9%	4.4%	5.8%	51.3K	1.7M	-16.9K	0.50	18.10	N/A	N/A	339	171	12,732	10,815
2012-09-24	$6.74	$6.00	33.4%	9.6%	32.9%	32.5%	33.3%	-1.6%	5.1%	4.0K	647.7K	-15.6K	0.12	11.23	N/A	N/A	444	52	7,656	6,792
2012-09-25	$6.54	$6.00	33.2%	9.5%	34.5%	32.2%	32.6%	7.0%	4.3%	325	1.1M	-14.6K	0.13	7.53	N/A	N/A	1,448	186	8,001	6,838
2012-09-26	$6.55	$6.00	34.5%	9.9%	34.4%	34.8%	31.6%	7.6%	2.4%	12.1K	816.9K	-16.2K	0.74	20.43	N/A	N/A	136	101	9,063	6,914
2012-09-27	$6.55	$6.00	29.2%	8.4%	33.9%	24.2%	0.0%	5.0%	3.9%	14.2K	802.8K	-16.6K	0.69	10.80	N/A	N/A	172	119	9,119	6,974
2012-09-28	$6.46	$6.00	34.3%	9.8%	34.2%	34.5%	0.0%	3.0%	15.8%	13.3K	898.7K	-15.8K	0.01	13.32	N/A	N/A	248	2	9,253	6,871