DSX Options History — November 2012

In November 2012, DSX traded between $7.06 and $7.64. ATM implied volatility averaged 31.9%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.7% (HV 20d: 31.2%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 10.10.

Notable Days

  • 2012-11-28: Highest Volume — 4,094 contracts
  • 2012-11-06: Largest IV drop — 45.9% change
  • 2012-11-14: Highest IV Rank — 59.0%
  • 2012-11-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.37$7.06$7.64$7.39$7.43
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV31.9%19.9%39.0%34.3%31.5%
Expected Move9.9%8.0%11.1%9.8%9.0%
HV 20d31.2%27.0%36.9%27.0%34.2%
HV 60d30.1%28.8%32.0%28.8%32.0%
IV Rank39.8%7.4%59.0%46.2%39.0%
IV Percentile29.7%1.2%68.7%30.6%23.4%
Term Structure2.1%-3.5%5.8%2.8%4.0%
VWIV34.8%28.2%39.5%34.2%31.7%
Skew 25d2.7%-8.5%18.6%12.3%9.4%
Skew 10d6.0%-4.1%24.3%13.8%7.8%
Call IV 25d31.9%21.1%41.9%22.2%21.6%
Put IV 25d34.5%29.1%43.5%34.5%31.0%
Bid-Ask Spread %9.085.0814.997.885.08
Gamma HHI0.560.460.790.710.79
Net GEX37.3K-14.6K91.8K57.6K91.8K
Net DEX-1.5M-2.9M-115.5K-1.8M-1.9M
Net VEX-12.9K-15.8K-9.4K-15.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.100.02193.950.510.08
Total Volume531.762124,094224282
Total OI17,010.66713,99418,02517,90313,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$7.39$7.0034.3%9.8%27.0%46.2%34.2%12.3%2.8%57.6K-1.8M-15.8K0.517.88N/AN/A1487610,2677,636
2012-11-02$7.26$7.0034.3%9.8%28.0%46.3%34.3%8.5%1.1%62.6K-1.6M-15.8K0.7614.03N/AN/A1037810,3797,646
2012-11-05$7.34$7.0036.8%11.1%27.6%53.0%38.1%-0.2%3.4%64.6K-1.8M-15.3K0.338.18N/AN/A9310,3037,568
2012-11-06$7.59$7.0019.9%10.4%29.5%7.4%36.6%7.4%0.8%39.5K-2.9M-14.4K0.028.62N/AN/A1,2012210,3127,571
2012-11-07$7.51$7.0021.3%10.8%29.4%11.0%37.2%5.1%0.6%38.0K-2.2M-14.3K0.968.18N/AN/A1331289,6737,549
2012-11-08$7.32$7.0027.0%10.4%30.0%26.4%36.4%-3.4%5.8%40.4K-1.4M-14.2K2.208.45N/AN/A15339,6517,528
2012-11-09$7.22$7.0030.8%10.7%30.7%36.9%37.0%-4.8%2.4%37.0K-914.9K-14.1K0.5110.54N/AN/A170879,6637,507
2012-11-12$7.23$7.0037.8%10.5%30.3%55.7%37.9%-3.9%4.2%36.7K-1.0M-13.6K2.858.82N/AN/A13379,6487,507
2012-11-13$7.20$7.0030.8%10.5%30.1%36.8%39.5%-6.3%4.9%41.0K-848.6K-13.1K0.8010.85N/AN/A1851489,6507,520
2012-11-14$7.13$7.0039.0%10.8%30.5%59.0%38.7%-8.5%3.9%24.3K-513.2K-13.1K1.729.00N/AN/A1662859,5527,617
2012-11-15$7.06$7.0037.6%10.8%28.1%55.2%33.2%18.6%3.4%51.4K-141.5K-13.1K0.688.41N/AN/A3872649,6027,767
2012-11-16$7.24$7.0036.5%10.5%28.1%52.1%35.6%-1.2%4.1%5.0K-869.3K-13.0K2.427.20N/AN/A1834439,6677,924
2012-11-19$7.15$7.0037.5%10.8%28.0%55.0%37.5%-3.2%-0.9%-14.6K-115.5K-12.6K1.477.87N/AN/A2133148,6447,406
2012-11-20$7.43$7.0031.9%9.2%31.2%39.9%31.5%-0.2%0.9%8.0K-1.2M-12.0K0.5711.59N/AN/A4892778,7407,489
2012-11-21$7.26$7.0029.6%8.5%32.4%33.7%29.6%8.0%5.0%-12.2K-724.3K-12.1K0.837.89N/AN/A117978,9887,600
2012-11-23$7.64$7.0030.7%8.8%36.9%36.6%34.2%3.9%0.8%32.7K-2.2M-11.1K0.7614.99N/AN/A1731329,0987,697
2012-11-26$7.55$7.0031.9%9.1%36.5%39.7%31.8%1.6%-2.3%41.5K-2.1M-11.6K0.557.72N/AN/A94529,1357,811
2012-11-27$7.53$7.0034.5%9.9%35.8%46.8%28.2%-0.3%-3.5%33.4K-1.9M-11.8K0.057.15N/AN/A6139,1807,800
2012-11-28$7.63$7.0028.5%8.2%35.9%30.8%38.4%7.6%3.3%56.3K-2.3M-10.9K193.9511.41N/AN/A214,0739,1917,799
2012-11-29$7.56$7.0027.9%8.0%34.7%29.2%29.4%5.7%0.6%47.4K-2.1M-10.3K0.126.81N/AN/A403499,2087,737
2012-11-30$7.43$7.0031.5%9.0%34.2%39.0%31.7%9.4%4.0%91.8K-1.9M-9.4K0.085.08N/AN/A262209,2474,747