DSX Options History — December 2012

In December 2012, DSX traded between $7.20 and $7.50. ATM implied volatility averaged 32.7%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 7.5% (HV 20d: 25.2%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2012-12-18: Highest Volume — 823 contracts
  • 2012-12-13: Largest IV spike — 46.1% change
  • 2012-12-21: Highest IV Rank — 54.9%
  • 2012-12-21: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.37$7.20$7.50$7.44$7.30
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV32.7%21.7%37.4%33.6%36.1%
Expected Move9.9%9.2%10.7%9.6%10.4%
HV 20d25.2%14.5%33.6%33.6%15.3%
HV 60d29.3%26.5%32.1%32.0%26.6%
IV Rank42.0%12.3%54.9%44.7%51.4%
IV Percentile35.0%3.2%63.9%33.3%54.4%
Term Structure1.6%-1.4%4.5%3.1%-1.4%
VWIV33.7%26.4%39.7%39.7%33.9%
Skew 25d7.2%-0.7%15.4%14.1%12.5%
Skew 10d6.6%-2.3%16.6%12.0%16.6%
Call IV 25d26.4%18.1%33.7%19.0%23.8%
Put IV 25d33.7%31.3%37.6%33.1%36.3%
Bid-Ask Spread %9.125.0814.735.089.53
Gamma HHI0.550.390.770.770.47
Net GEX43.5K17.7K94.2K94.2K24.9K
Net DEX-1.6M-2.1M-631.3K-2.0M-732.3K
Net VEX-7.5K-9.3K-6.4K-9.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.007.230.707.23
Total Volume196.1682317107
Total OI12,312.155,55614,74414,2196,064

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$7.44$7.0033.6%9.6%33.6%44.7%0.0%14.1%3.1%94.2K-2.0M-9.3K0.705.08N/AN/A1079,4724,747
2012-12-04$7.36$7.0032.7%9.4%33.6%42.2%39.7%12.6%1.0%85.6K-1.7M-9.0K1.166.03N/AN/A58679,4824,754
2012-12-05$7.42$7.0034.9%10.0%31.4%48.1%34.9%13.0%-0.6%89.5K-1.9M-9.0K0.405.80N/AN/A119479,4364,803
2012-12-06$7.33$7.0032.2%9.2%31.5%40.7%31.8%9.4%2.8%75.0K-1.6M-8.8K0.017.00N/AN/A30049,5434,807
2012-12-07$7.32$7.0033.3%9.9%30.1%43.8%33.3%2.6%3.2%77.1K-1.7M-9.1K2.008.65N/AN/A249,7734,807
2012-12-10$7.38$7.0021.7%10.0%29.8%12.3%0.0%3.6%2.0%47.9K-2.0M-7.3K5.007.38N/AN/A4209,7754,811
2012-12-11$7.39$7.0022.2%10.1%29.8%13.6%0.0%4.4%2.4%50.0K-2.0M-7.1K0.008.87N/AN/A7309,7794,817
2012-12-12$7.39$7.0023.3%9.6%29.8%16.6%26.4%3.3%1.9%44.5K-2.1M-7.1K0.6310.77N/AN/A2481559,8154,817
2012-12-13$7.39$7.0034.0%9.7%29.5%45.8%0.0%3.3%2.2%31.1K-2.0M-6.8K5.3310.56N/AN/A3169,6534,862
2012-12-14$7.33$7.0034.5%9.9%29.4%47.2%34.6%1.0%1.9%24.4K-1.9M-6.7K6.298.26N/AN/A7449,6564,870
2012-12-17$7.34$7.0033.5%9.6%28.1%44.3%0.0%2.0%4.5%22.7K-1.9M-6.5K0.6710.19N/AN/A30209,6494,908
2012-12-18$7.30$7.0034.1%9.8%27.7%45.9%28.7%-0.7%3.6%20.9K-1.8M-6.4K1.828.28N/AN/A2925319,6524,906
2012-12-19$7.32$7.0034.0%9.7%24.0%45.4%33.0%11.4%2.8%17.7K-1.7M-7.0K0.0010.18N/AN/A10609,6115,133
2012-12-20$7.50$7.0036.1%10.4%24.0%51.4%36.2%5.1%0.6%38.1K-2.0M-6.9K2.9814.73N/AN/A1323939,5254,642
2012-12-21$7.47$7.0037.4%10.7%15.4%54.9%37.4%7.6%0.1%25.2K-1.8M-6.9K0.009.04N/AN/A43719,5444,817
2012-12-24$7.46$7.0036.8%10.5%14.9%53.2%32.3%4.8%0.7%25.1K-861.4K-7.1K0.928.25N/AN/A1091003,6601,896
2012-12-26$7.39$7.0033.6%9.6%15.2%44.6%0.0%15.4%1.7%25.6K-815.0K-7.0K0.4612.87N/AN/A199913,7551,985
2012-12-27$7.33$7.0035.4%10.1%14.5%49.4%35.3%10.4%-1.2%26.7K-770.1K-7.2K0.659.68N/AN/A72473,9212,061
2012-12-28$7.20$7.0033.9%9.7%15.3%45.3%33.9%9.0%1.0%23.1K-631.3K-7.1K0.4311.29N/AN/A47203,9282,107
2012-12-31$7.30$7.0036.1%10.4%15.3%51.4%0.0%12.5%-1.4%24.9K-732.3K-7.1K7.239.53N/AN/A13943,9412,123