DSX Options History — March 2013

In March 2013, DSX traded between $8.35 and $10.71. ATM implied volatility averaged 37.9%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.8% (HV 20d: 37.1%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2013-03-28: Highest Volume — 9,996 contracts
  • 2013-03-14: Largest IV drop — 54.2% change
  • 2013-03-13: Highest IV Rank — 100.0%
  • 2013-03-28: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.28$8.35$10.71$8.47$10.66
Max Pain$8.95$7.00$10.00$7.00$10.00
ATM IV37.9%26.2%59.7%40.1%42.3%
Expected Move9.4%7.5%12.1%11.5%12.1%
HV 20d37.1%27.6%60.0%27.6%58.6%
HV 60d33.0%29.0%43.4%29.0%43.4%
IV Rank55.8%25.3%100.0%66.1%61.2%
IV Percentile57.6%7.1%100.0%82.9%89.7%
Term Structure0.7%-3.6%3.8%-3.6%2.5%
VWIV32.4%26.2%43.3%35.1%43.3%
Skew 25d4.7%-3.5%14.1%4.1%5.3%
Skew 10d8.6%-5.8%44.0%4.8%19.7%
Call IV 25d29.0%18.6%41.0%36.2%41.0%
Put IV 25d33.7%24.3%46.4%40.4%46.4%
Bid-Ask Spread %9.014.3016.4013.007.60
Gamma HHI0.510.260.830.540.30
Net GEX116.3K18.7K299.2K100.6K172.3K
Net DEX-4.0M-8.9M-1.8M-2.8M-8.9M
Net VEX-13.7K-32.0K-10.2K-11.3K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.040.020.31
Total Volume2,014.85859,9969089,996
Total OI12,891.857,51821,79512,12621,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$8.47$7.0040.1%11.5%27.6%66.1%35.1%4.1%-3.6%100.6K-2.8M-11.3K0.0213.00N/AN/A893158,3983,728
2013-03-04$8.35$9.0044.5%10.5%27.7%77.7%0.0%-0.2%-2.5%85.1K-2.3M-10.2K0.736.32N/AN/A49368,0943,721
2013-03-05$8.75$9.0041.4%9.4%32.4%69.6%32.9%11.0%-0.1%115.8K-3.4M-10.6K0.0012.33N/AN/A26108,0743,755
2013-03-06$8.93$9.0041.5%9.4%33.0%69.8%33.9%14.1%-0.0%135.9K-4.0M-10.5K0.337.95N/AN/A246818,3143,755
2013-03-07$9.08$9.0041.5%9.1%33.3%69.8%31.5%4.2%0.1%148.5K-4.5M-10.5K0.7615.39N/AN/A3142408,4593,814
2013-03-08$9.06$9.0041.9%8.7%33.2%70.8%30.2%4.0%1.9%152.3K-4.5M-10.5K0.4116.40N/AN/A2751128,6053,885
2013-03-11$9.24$9.0046.5%9.0%33.5%82.9%31.1%-3.5%-0.4%153.4K-5.2M-10.2K0.5610.46N/AN/A4382458,7743,971
2013-03-12$9.20$9.0047.6%9.5%33.5%85.5%32.7%-2.5%-1.8%162.8K-5.1M-10.6K0.1812.63N/AN/A271508,9894,212
2013-03-13$9.10$9.0059.7%9.5%32.9%100.0%30.9%5.9%-2.2%159.1K-4.7M-10.7K0.726.55N/AN/A3762699,0264,258
2013-03-14$8.75$9.0027.3%7.8%35.7%27.8%27.4%8.7%3.2%171.2K-3.0M-10.3K1.3513.55N/AN/A3895269,2454,385
2013-03-15$8.88$9.0026.2%7.5%35.8%25.3%26.2%9.8%3.6%299.2K-3.1M-11.0K0.566.11N/AN/A5152899,2634,843
2013-03-18$9.03$9.0027.6%7.9%36.1%28.5%27.5%5.7%3.8%39.8K-1.8M-11.1K0.415.84N/AN/A1,1974874,8322,686
2013-03-19$9.07$9.0032.7%9.4%35.8%39.9%32.4%4.4%0.2%48.7K-2.0M-12.6K2.044.30N/AN/A6691,3625,6763,120
2013-03-20$9.11$9.0030.6%8.8%35.8%35.2%29.3%5.4%2.1%18.7K-1.9M-14.3K0.716.15N/AN/A2191556,1534,207
2013-03-21$9.60$9.0030.2%8.7%35.7%34.3%30.3%6.2%2.7%28.4K-3.1M-14.0K0.137.96N/AN/A3,3974316,2954,320
2013-03-22$10.09$9.0033.0%9.5%38.1%40.5%34.4%0.1%3.2%84.5K-5.0M-15.9K0.417.05N/AN/A3,0241,2418,1754,534
2013-03-25$10.08$9.0032.6%9.4%38.1%39.7%33.0%3.8%1.8%88.2K-4.8M-18.4K0.575.09N/AN/A7124079,5075,503
2013-03-26$9.51$9.0035.1%10.1%44.9%45.2%36.4%3.8%-0.6%64.4K-2.9M-19.8K0.218.05N/AN/A1,3042739,7225,815
2013-03-27$10.71$9.0035.6%10.2%60.0%46.3%37.1%3.5%0.2%97.3K-6.8M-19.0K0.107.50N/AN/A8,66387010,0665,863
2013-03-28$10.66$10.0042.3%12.1%58.6%61.2%43.3%5.3%2.5%172.3K-8.9M-32.0K0.317.60N/AN/A7,6262,37015,3336,462