DSX Options History — May 2013

In May 2013, DSX traded between $9.12 and $10.79. ATM implied volatility averaged 40.7%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.6% (HV 20d: 35.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2013-05-16: Highest Volume — 11,745 contracts
  • 2013-05-15: Largest IV spike — 21.9% change
  • 2013-05-21: Highest IV Rank — 83.1%
  • 2013-05-21: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.03$9.12$10.79$9.12$10.13
Max Pain$9.14$9.00$10.00$10.00$9.00
ATM IV40.7%33.3%52.1%36.0%38.9%
Expected Move12.3%10.1%14.9%10.3%11.2%
HV 20d35.1%31.2%41.4%31.2%36.1%
HV 60d45.5%44.4%47.0%44.4%45.5%
IV Rank57.8%41.2%83.1%47.3%53.8%
IV Percentile71.0%30.2%98.0%54.4%73.4%
Term Structure-0.7%-7.4%8.1%7.2%3.7%
VWIV43.3%35.4%53.4%38.3%39.3%
Skew 25d1.1%-8.1%7.4%-8.1%1.0%
Skew 10d7.2%-12.7%22.2%-12.7%12.1%
Call IV 25d42.9%35.0%54.4%40.1%41.0%
Put IV 25d44.0%32.0%54.0%32.0%42.0%
Bid-Ask Spread %9.646.2914.886.298.20
Gamma HHI0.390.320.460.330.36
Net GEX264.9K117.2K395.2K117.2K252.3K
Net DEX-8.6M-14.7M-2.7M-2.7M-8.8M
Net VEX-44.4K-56.0K-32.8K-32.8K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.020.990.270.99
Total Volume2,063.72725711,745899257
Total OI34,194.18228,94139,79228,94137,903

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$9.12$10.0036.0%10.3%31.2%47.3%38.3%-8.1%7.2%117.2K-2.7M-32.8K0.276.29N/AN/A71018920,0128,929
2013-05-02$9.37$10.0035.3%10.1%32.7%45.7%35.4%-0.2%8.1%145.0K-3.8M-34.3K0.916.46N/AN/A30527920,2829,093
2013-05-03$9.58$10.0036.3%10.4%33.8%47.9%36.3%0.4%5.5%176.7K-5.2M-35.8K0.057.68N/AN/A1,7308220,3799,130
2013-05-06$9.80$9.0036.7%12.3%34.7%48.7%43.5%2.6%-2.7%234.5K-6.6M-35.7K0.218.75N/AN/A82917821,0369,104
2013-05-07$9.80$9.0038.3%12.2%33.9%52.4%43.9%4.1%-2.6%247.7K-6.6M-35.6K0.078.33N/AN/A8415821,4279,200
2013-05-08$9.67$9.0039.1%11.9%33.9%54.1%41.5%-0.1%-1.7%231.3K-6.1M-35.2K0.338.16N/AN/A2006521,5359,202
2013-05-09$9.69$9.0034.8%11.8%33.7%44.5%41.4%0.5%-0.9%242.6K-6.1M-34.8K0.107.37N/AN/A5155421,5619,230
2013-05-10$10.03$9.0033.5%12.0%35.2%41.7%41.4%1.4%-0.9%303.6K-8.4M-35.5K0.028.13N/AN/A4,0456321,6629,256
2013-05-13$9.81$9.0033.3%12.5%31.8%41.2%43.0%0.3%-1.8%325.8K-7.9M-42.0K0.277.64N/AN/A68418424,5509,275
2013-05-14$9.85$9.0034.6%12.7%31.7%44.1%46.0%-0.3%-3.2%353.6K-8.1M-42.4K0.0410.35N/AN/A1,2925324,9689,432
2013-05-15$10.12$9.0042.2%12.7%32.0%61.0%44.7%0.9%-2.9%395.2K-10.3M-43.5K0.1210.66N/AN/A1,16013425,9649,456
2013-05-16$10.40$9.0050.5%14.5%33.0%79.7%53.4%-0.4%-4.0%289.7K-13.4M-44.2K0.1814.26N/AN/A9,9951,75026,3559,487
2013-05-17$10.63$9.0051.5%14.8%33.5%81.9%51.4%-2.3%-5.8%378.6K-14.7M-51.8K0.1514.88N/AN/A4,19863728,99710,795
2013-05-20$10.69$9.0051.8%14.9%33.5%82.5%52.3%1.5%-7.4%286.4K-13.2M-53.4K0.7310.40N/AN/A1,8151,33125,0269,491
2013-05-21$10.79$9.0052.1%14.9%32.4%83.1%52.1%-3.2%-5.6%286.9K-13.9M-56.0K0.2814.15N/AN/A3,31392825,33410,700
2013-05-22$10.11$9.0041.4%11.9%41.4%59.4%39.9%3.3%0.5%247.6K-8.7M-53.1K0.1210.50N/AN/A3,26538125,58711,324
2013-05-23$10.23$9.0041.3%11.9%40.5%59.2%41.6%1.8%0.4%255.7K-9.3M-52.4K0.1813.55N/AN/A85015625,34011,495
2013-05-24$10.06$9.0042.0%12.1%41.1%60.7%43.4%5.5%-1.0%238.0K-8.0M-51.5K0.259.47N/AN/A1,18529825,34011,397
2013-05-28$10.22$9.0044.3%12.7%39.7%65.8%43.4%5.5%-0.9%267.1K-9.4M-52.2K0.3012.06N/AN/A45613925,98611,660
2013-05-29$10.22$9.0041.4%11.9%39.7%59.2%41.8%1.8%0.5%271.8K-9.5M-51.7K0.647.44N/AN/A19012225,97811,657
2013-05-30$10.28$9.0040.3%11.5%36.3%56.8%38.7%7.4%-0.2%280.8K-9.5M-51.2K0.567.40N/AN/A31117525,99911,738
2013-05-31$10.13$9.0038.9%11.2%36.1%53.8%39.3%1.0%3.7%252.3K-8.8M-50.5K0.998.20N/AN/A12912826,01211,891