DSX Options History — October 2012

In October 2012, DSX traded between $6.53 and $7.24. ATM implied volatility averaged 32.7%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.3% (HV 20d: 31.4%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-10-19: Highest Volume — 1,251 contracts
  • 2012-10-11: Largest IV spike — 76.6% change
  • 2012-10-23: Highest IV Rank — 56.2%
  • 2012-10-12: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.87$6.53$7.24$6.64$7.20
Max Pain$6.81$6.00$7.00$6.00$7.00
ATM IV32.7%20.6%38.2%33.0%35.7%
Expected Move10.0%6.8%10.9%9.5%10.2%
HV 20d31.4%23.7%35.7%35.1%25.9%
HV 60d34.6%27.8%38.2%38.2%28.4%
IV Rank39.2%8.7%56.2%31.8%50.1%
IV Percentile31.0%1.2%55.6%22.6%43.3%
Term Structure2.7%-0.7%15.9%2.5%1.2%
VWIV35.3%23.3%40.7%35.0%36.4%
Skew 25d6.1%-6.8%13.6%-6.8%9.8%
Skew 10d7.8%-6.5%17.3%-6.2%12.8%
Call IV 25d28.1%21.7%34.8%34.8%25.7%
Put IV 25d34.2%27.0%42.2%28.1%35.5%
Bid-Ask Spread %20.407.3451.4312.7810.39
Gamma HHI0.570.430.780.470.78
Net GEX41.1K11.9K119.5K18.2K54.5K
Net DEX-92.2K-1.5M941.7K581.2K-1.2M
Net VEX-16.5K-17.3K-15.3K-16.9K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.520.262.35
Total Volume365.19341,251307164
Total OI17,238.09516,28617,90216,28617,815

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$6.64$6.0033.0%9.5%35.1%31.8%35.0%-6.8%2.5%18.2K581.2K-16.9K0.2612.78N/AN/A244639,4136,873
2012-10-02$6.64$6.0034.4%9.9%35.1%34.7%0.0%-5.1%3.1%24.9K567.1K-16.6K0.0010.97N/AN/A11209,5736,936
2012-10-03$6.60$6.0023.7%6.8%35.2%14.0%0.0%5.3%15.9%25.3K615.0K-16.2K0.6416.59N/AN/A143919,5536,936
2012-10-04$6.72$6.0030.9%8.8%35.7%32.9%31.2%-4.4%4.8%29.1K369.3K-16.7K0.2111.88N/AN/A374789,6677,026
2012-10-05$6.75$7.0027.6%10.2%34.2%25.2%0.0%9.3%0.4%36.8K271.4K-17.0K0.0037.98N/AN/A3409,7567,104
2012-10-08$6.67$7.0021.2%10.4%34.4%10.2%39.3%9.8%0.7%27.5K611.1K-15.9K0.8318.74N/AN/A35299,7777,104
2012-10-09$6.53$7.0027.8%10.6%34.5%26.7%40.7%8.0%-0.7%14.8K826.9K-15.4K3.5216.24N/AN/A612159,7977,107
2012-10-10$6.60$7.0020.6%10.1%34.8%8.7%38.0%5.6%2.9%11.9K941.7K-15.3K0.6320.85N/AN/A96609,8377,317
2012-10-11$6.72$7.0036.4%10.4%35.5%48.6%0.0%10.7%0.3%29.2K492.8K-16.3K0.1920.16N/AN/A107209,9297,321
2012-10-12$6.67$7.0038.2%10.9%34.2%53.0%38.2%10.2%-0.1%22.4K712.9K-15.8K1.1020.35N/AN/A70779,9677,341
2012-10-15$6.67$7.0033.2%9.5%31.9%40.4%34.6%12.5%5.1%16.0K684.5K-15.5K0.2423.06N/AN/A3859210,0257,379
2012-10-16$6.92$7.0036.1%10.4%34.2%47.8%34.8%2.1%1.5%73.3K-259.4K-17.0K1.0239.56N/AN/A919310,4077,468
2012-10-17$7.10$7.0036.3%10.4%30.8%48.4%35.7%9.8%0.6%119.5K-1.2M-17.3K0.3751.43N/AN/A65924510,3997,493
2012-10-18$7.20$7.0035.5%10.2%30.7%46.5%23.3%7.3%2.4%77.9K-1.5M-16.9K0.0147.73N/AN/A1,160810,1117,606
2012-10-19$7.18$7.0034.9%10.0%29.2%47.0%33.2%9.4%4.3%80.1K-1.3M-16.5K0.3415.11N/AN/A93731410,2967,606
2012-10-22$7.16$7.0035.5%10.2%26.7%49.7%35.5%8.3%0.3%29.2K-646.9K-16.6K0.3517.25N/AN/A276969,3337,480
2012-10-23$7.24$7.0038.0%10.9%23.7%56.2%38.0%13.6%2.4%36.0K-994.3K-16.9K0.137.34N/AN/A758979,5467,495
2012-10-24$7.11$7.0035.6%10.2%25.1%49.9%35.7%7.3%2.8%48.5K-862.3K-17.3K0.339.45N/AN/A872910,1547,532
2012-10-25$6.99$7.0035.6%10.2%26.2%49.9%35.7%2.4%4.1%45.0K-364.7K-16.8K0.8510.46N/AN/A474010,1937,537
2012-10-26$6.98$7.0036.4%10.4%25.5%52.0%36.4%2.5%2.3%42.1K-326.0K-16.6K0.0010.12N/AN/A182010,2337,558
2012-10-31$7.20$7.0035.7%10.2%25.9%50.1%0.0%9.8%1.2%54.5K-1.2M-16.1K2.3510.39N/AN/A4911510,2577,558