DSX Options History — January 2013

In January 2013, DSX traded between $7.47 and $9.01. ATM implied volatility averaged 30.9%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.1% (HV 20d: 34.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-01-11: Highest Volume — 8,249 contracts
  • 2013-01-07: Largest IV spike — 111.8% change
  • 2013-01-15: Highest IV Rank — 59.5%
  • 2013-01-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.54$7.47$9.01$7.47$8.72
Max Pain$7.81$7.00$8.00$7.00$8.00
ATM IV30.9%14.8%38.1%20.9%31.9%
Expected Move9.4%6.0%10.9%6.0%9.2%
HV 20d34.0%17.5%38.8%17.5%37.5%
HV 60d30.7%26.9%32.2%26.9%30.7%
IV Rank40.5%0.0%59.5%9.8%43.7%
IV Percentile32.0%0.0%69.4%1.6%22.6%
Term Structure2.3%-1.7%11.2%11.2%3.7%
VWIV32.3%21.7%39.3%34.2%28.0%
Skew 25d2.0%-7.9%14.4%5.0%-7.9%
Skew 10d4.0%-4.7%23.1%5.2%-4.7%
Call IV 25d29.0%17.3%36.5%17.3%30.3%
Put IV 25d31.0%22.3%40.0%22.3%22.4%
Bid-Ask Spread %8.856.3013.927.598.83
Gamma HHI0.620.420.760.450.76
Net GEX215.7K29.6K349.4K29.6K349.4K
Net DEX-4.7M-6.9M-968.5K-968.5K-5.4M
Net VEX-13.3K-17.0K-6.9K-6.9K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.210.000.00
Total Volume1,002.952658,249598129
Total OI13,728.816,16517,3956,16516,815

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$7.47$7.0020.9%6.0%17.5%9.8%34.2%5.0%11.2%29.6K-968.5K-6.9K0.007.59N/AN/A59803,9492,216
2013-01-03$7.96$7.0029.8%8.5%28.0%34.2%29.8%0.5%-1.7%41.7K-1.6M-6.9K0.096.75N/AN/A1,5461374,0152,216
2013-01-04$8.37$7.0014.8%8.7%32.5%0.0%29.9%-0.9%1.5%72.8K-3.0M-7.3K0.128.29N/AN/A2,4042875,1972,301
2013-01-07$8.32$7.0031.4%9.0%32.1%42.4%29.9%-0.9%2.1%119.1K-3.3M-9.4K0.2413.92N/AN/A8632096,7732,445
2013-01-08$8.49$8.0019.0%9.2%32.3%10.7%31.8%4.3%0.9%97.1K-3.6M-9.5K0.7312.04N/AN/A4072986,9852,654
2013-01-09$8.46$8.0017.8%8.9%32.6%7.7%30.3%0.5%2.3%95.2K-3.5M-10.3K0.8010.67N/AN/A3082467,1412,944
2013-01-10$8.61$8.0029.0%8.3%32.7%36.1%28.7%5.6%0.4%100.9K-3.8M-10.4K0.109.94N/AN/A210207,3673,189
2013-01-11$8.47$8.0037.6%10.8%33.7%58.1%39.3%-0.9%-0.7%86.2K-3.6M-10.9K0.067.36N/AN/A7,7734767,4703,208
2013-01-14$8.48$8.0036.4%10.4%33.7%55.2%38.4%0.3%3.8%243.6K-5.2M-16.9K1.2110.82N/AN/A20624913,5313,489
2013-01-15$8.50$8.0038.1%10.9%33.3%59.5%36.5%3.2%0.2%242.7K-5.2M-17.0K0.729.18N/AN/A1037413,6413,658
2013-01-16$8.46$8.0038.0%10.9%33.5%59.2%0.0%1.0%-0.7%240.6K-5.1M-16.9K0.007.95N/AN/A75013,7083,687
2013-01-17$8.44$8.0036.1%10.4%33.4%54.5%35.4%-0.7%3.8%260.4K-5.0M-16.5K0.208.11N/AN/A4579013,6853,668
2013-01-18$8.46$8.0035.9%10.3%33.4%53.8%35.5%3.6%-0.9%263.1K-5.0M-16.1K0.1413.11N/AN/A6298613,7053,631
2013-01-22$9.01$8.0035.8%10.3%38.4%53.6%34.9%13.4%1.9%299.2K-6.9M-15.8K0.207.45N/AN/A3587312,9983,301
2013-01-23$8.94$8.0029.5%8.5%38.6%37.6%29.6%13.0%7.6%340.8K-6.6M-15.9K0.876.30N/AN/A33328913,0723,350
2013-01-24$8.89$8.0031.8%9.1%38.8%43.3%21.7%14.4%3.7%330.6K-6.6M-15.9K0.008.40N/AN/A931213,2183,357
2013-01-25$8.85$8.0032.3%9.3%38.5%44.6%30.1%0.5%3.5%324.0K-6.0M-15.9K0.526.99N/AN/A1688712,9413,358
2013-01-28$8.85$8.0034.7%10.0%38.2%50.8%34.7%-3.2%1.5%323.6K-6.1M-15.2K0.016.99N/AN/A108113,0023,413
2013-01-29$8.79$8.0033.3%9.5%37.3%47.2%0.0%-1.9%3.8%334.2K-5.7M-15.1K1.037.52N/AN/A323313,0663,414
2013-01-30$8.78$8.0034.2%9.8%37.5%49.6%34.2%-6.0%1.5%334.6K-5.7M-14.8K0.687.56N/AN/A45731013,0883,439
2013-01-31$8.72$8.0031.9%9.2%37.5%43.7%28.0%-7.9%3.7%349.4K-5.4M-15.0K0.008.83N/AN/A129013,3803,435