DSX Options History — April 2013

In April 2013, DSX traded between $9.12 and $10.05. ATM implied volatility averaged 44.1%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 12.7% (HV 20d: 56.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-04-01: Highest Volume — 5,110 contracts
  • 2013-04-22: Largest IV drop — 26.0% change
  • 2013-04-18: Highest IV Rank — 87.1%
  • 2013-04-18: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.51$9.12$10.05$10.05$9.49
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.1%34.0%53.9%46.5%36.4%
Expected Move12.8%9.8%15.4%13.3%10.4%
HV 20d56.9%30.5%64.4%63.6%30.5%
HV 60d43.5%42.8%45.3%45.3%43.7%
IV Rank65.4%42.8%87.1%70.6%48.2%
IV Percentile83.4%36.1%99.6%96.8%58.7%
Term Structure0.7%-5.5%10.4%2.8%6.7%
VWIV44.4%30.1%52.3%48.7%35.9%
Skew 25d1.6%-5.6%7.6%0.9%1.9%
Skew 10d1.6%-17.9%9.1%8.0%3.6%
Call IV 25d44.2%24.2%51.4%50.9%35.9%
Put IV 25d45.8%28.4%56.9%51.8%37.9%
Bid-Ask Spread %8.716.0213.6610.628.86
Gamma HHI0.300.250.340.270.34
Net GEX144.2K74.3K197.3K167.7K151.3K
Net DEX-4.1M-6.7M-2.4M-6.7M-4.5M
Net VEX-36.8K-42.6K-31.7K-40.1K-34.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.000.940.290.33
Total Volume1,435.5913365,1105,1101,331
Total OI29,587.40925,94132,30227,03428,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$10.05$10.0046.5%13.3%63.6%70.6%48.7%0.9%2.8%167.7K-6.7M-40.1K0.2910.62N/AN/A3,9491,16118,8238,211
2013-04-02$9.92$10.0045.2%13.0%63.5%67.7%45.8%1.1%2.6%196.5K-6.5M-42.6K0.118.78N/AN/A2,27125120,8568,742
2013-04-03$9.58$10.0046.5%13.3%63.6%70.5%48.6%0.2%1.0%176.3K-4.6M-41.4K0.066.85N/AN/A3,34021421,5878,918
2013-04-04$9.66$10.0045.6%13.1%63.3%68.7%45.6%-3.6%0.9%176.3K-5.0M-40.6K0.117.46N/AN/A1,20913821,0428,917
2013-04-05$9.69$10.0044.5%13.3%63.2%66.1%47.4%2.9%-2.3%177.2K-5.0M-40.2K0.169.20N/AN/A64910420,9978,965
2013-04-08$9.63$10.0046.2%13.7%63.2%70.1%48.3%4.1%-4.3%169.1K-4.6M-38.9K0.439.14N/AN/A59425421,0138,954
2013-04-09$9.83$10.0044.3%13.5%63.3%65.7%48.0%0.8%-3.5%197.3K-5.7M-39.4K0.9411.21N/AN/A90985221,1329,095
2013-04-10$9.70$10.0046.3%13.9%63.5%70.2%49.3%5.4%-3.9%172.9K-4.9M-39.3K0.318.20N/AN/A40812521,1309,796
2013-04-11$9.60$10.0047.6%13.7%63.5%73.2%46.2%3.7%-4.5%163.7K-4.4M-38.6K0.1513.66N/AN/A1,29018821,2689,883
2013-04-12$9.79$10.0045.9%13.2%61.7%69.3%46.4%4.5%-3.4%180.7K-5.3M-37.9K0.246.67N/AN/A1,04924721,0699,856
2013-04-15$9.35$10.0050.5%14.5%64.2%79.6%50.3%1.3%-5.0%119.1K-2.9M-36.3K0.179.29N/AN/A99016521,60310,025
2013-04-16$9.42$10.0050.7%14.5%64.1%80.0%49.8%4.8%-4.7%114.3K-3.3M-35.6K0.1211.91N/AN/A4455421,80110,034
2013-04-17$9.26$10.0053.0%15.2%64.4%85.1%52.3%7.4%-5.1%102.9K-2.6M-35.6K0.608.63N/AN/A43926522,01110,030
2013-04-18$9.26$10.0053.9%15.4%64.4%87.1%50.9%7.6%-5.5%74.3K-2.8M-34.9K0.428.53N/AN/A53822521,94810,112
2013-04-19$9.34$10.0051.6%14.8%61.6%82.0%50.9%6.0%-5.5%105.0K-3.2M-35.0K0.206.36N/AN/A70514422,15610,146
2013-04-22$9.41$10.0038.2%10.9%58.7%52.1%38.1%0.5%8.5%136.2K-3.8M-33.8K0.428.38N/AN/A94039518,0077,934
2013-04-23$9.26$10.0036.6%10.5%58.8%48.5%37.9%-5.5%9.0%119.3K-3.0M-32.9K0.417.70N/AN/A88436018,5328,244
2013-04-24$9.35$10.0036.9%10.6%55.4%49.2%36.7%-3.3%7.6%126.3K-3.5M-33.4K0.008.08N/AN/A336018,6148,510
2013-04-25$9.16$10.0036.3%10.4%33.0%47.8%35.2%-5.6%6.3%106.8K-2.4M-31.7K0.156.02N/AN/A1,57223318,6358,510
2013-04-26$9.12$10.0034.7%10.0%33.0%44.4%30.1%4.2%6.3%104.4K-2.4M-32.5K0.077.23N/AN/A8676219,1118,705
2013-04-29$9.45$10.0034.0%9.8%30.6%42.8%35.4%-4.1%10.4%134.7K-3.9M-33.6K0.028.83N/AN/A1,4003118,9638,737
2013-04-30$9.49$10.0036.4%10.4%30.5%48.2%35.9%1.9%6.7%151.3K-4.5M-34.4K0.338.86N/AN/A1,00033119,5818,720