DSX Options History — June 2013

In June 2013, DSX traded between $9.51 and $10.22. ATM implied volatility averaged 39.5%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.2% (HV 20d: 34.3%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2013-06-24: Highest Volume — 4,110 contracts
  • 2013-06-25: Largest IV drop — 8.1% change
  • 2013-06-05: Highest IV Rank — 62.7%
  • 2013-06-05: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.79$9.51$10.22$9.89$10.04
Max Pain$9.70$9.00$10.00$9.00$10.00
ATM IV39.5%36.7%43.0%41.2%36.7%
Expected Move11.4%10.5%12.3%11.8%10.5%
HV 20d34.3%31.4%37.3%36.7%34.2%
HV 60d42.0%33.6%46.0%45.7%34.0%
IV Rank55.0%48.8%62.7%58.7%48.8%
IV Percentile74.0%59.5%85.7%79.0%59.5%
Term Structure1.7%-3.2%4.8%0.2%4.3%
VWIV39.9%35.2%43.4%43.4%35.5%
Skew 25d0.4%-9.8%9.6%-0.9%-9.8%
Skew 10d3.2%-14.4%15.9%1.2%0.5%
Call IV 25d40.1%34.9%43.8%42.4%37.5%
Put IV 25d40.6%27.8%44.5%41.4%27.8%
Bid-Ask Spread %7.975.5010.525.505.96
Gamma HHI0.310.270.380.350.31
Net GEX168.1K119.3K263.1K215.4K157.9K
Net DEX-5.7M-9.7M-3.4M-7.1M-5.1M
Net VEX-42.1K-47.7K-36.7K-47.7K-37.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.360.320.35
Total Volume1,383.41094,1101,8071,995
Total OI35,619.6524,80641,12337,87525,373

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$9.89$9.0041.2%11.8%36.7%58.7%43.4%-0.9%0.2%215.4K-7.1M-47.7K0.325.50N/AN/A1,37243525,98011,895
2013-06-04$9.70$9.0040.6%11.6%36.5%57.4%39.1%9.6%-0.8%174.6K-5.7M-46.0K0.588.30N/AN/A63236625,73711,984
2013-06-05$9.51$9.0043.0%12.3%37.2%62.7%43.3%3.4%-3.2%143.2K-4.4M-45.2K0.8510.50N/AN/A44537725,68912,326
2013-06-06$9.55$9.0039.8%11.4%36.9%55.7%40.5%5.5%0.5%141.4K-4.4M-44.9K0.079.79N/AN/A2682025,65712,580
2013-06-07$9.68$10.0040.2%11.3%37.3%56.7%41.4%3.1%1.9%156.4K-5.2M-44.6K1.296.07N/AN/A34444425,64812,600
2013-06-10$9.56$10.0040.0%11.5%35.2%56.2%40.1%1.8%1.1%127.0K-4.2M-43.0K0.027.19N/AN/A8041625,74912,861
2013-06-11$9.62$10.0038.8%11.5%34.5%53.5%40.7%2.3%0.7%132.0K-4.7M-43.0K0.178.35N/AN/A94515825,88312,853
2013-06-12$9.75$10.0037.5%11.3%34.8%50.5%39.8%2.2%2.6%156.8K-5.7M-43.0K0.107.40N/AN/A8598525,81612,891
2013-06-13$10.06$10.0040.1%11.5%35.3%56.4%39.1%2.5%0.7%207.4K-8.0M-44.4K0.287.44N/AN/A1,29636625,87112,898
2013-06-14$10.02$9.0037.9%10.9%33.8%51.4%38.4%-1.4%4.0%201.3K-7.8M-44.7K1.028.75N/AN/A22823226,44713,087
2013-06-17$10.02$9.0040.6%11.6%32.6%57.4%41.2%0.3%1.6%198.7K-7.8M-43.4K0.008.07N/AN/A2,8621126,48713,234
2013-06-18$10.22$10.0039.2%11.2%33.5%54.3%40.0%-2.1%2.6%263.1K-9.7M-44.5K0.287.80N/AN/A46013127,81013,244
2013-06-19$10.16$10.0038.0%10.9%33.2%51.7%36.5%-0.6%3.5%243.2K-9.2M-43.9K0.286.04N/AN/A39711227,87713,246
2013-06-20$9.59$10.0039.9%11.4%31.4%55.9%39.4%-2.4%1.3%147.4K-4.2M-40.1K0.047.03N/AN/A2,96212327,59113,231
2013-06-21$9.81$10.0041.0%11.8%32.3%58.4%41.4%-1.2%-0.4%190.7K-5.0M-37.5K0.8810.51N/AN/A1,8301,61426,28213,237
2013-06-24$9.56$10.0042.0%12.1%33.0%60.7%42.1%-1.6%1.0%126.9K-3.4M-37.6K0.317.27N/AN/A3,13297816,7798,170
2013-06-25$9.63$10.0038.6%11.1%32.5%53.1%43.0%1.3%4.3%122.0K-3.7M-36.7K1.366.94N/AN/A39854216,5318,275
2013-06-26$9.63$10.0038.0%10.9%32.5%51.6%38.2%-1.6%3.4%119.3K-3.5M-37.1K0.2010.04N/AN/A911816,7098,560
2013-06-27$9.80$10.0036.9%10.6%33.2%49.3%35.2%-1.5%4.8%137.4K-4.3M-37.4K0.4010.52N/AN/A2299116,7358,570
2013-06-28$10.04$10.0036.7%10.5%34.2%48.8%35.5%-9.8%4.3%157.9K-5.1M-37.2K0.355.96N/AN/A1,48351216,7758,598