DSX Options History — July 2013

In July 2013, DSX traded between $9.65 and $10.93. ATM implied volatility averaged 38.4%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.0% (HV 20d: 34.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-07-18: Highest Volume — 3,485 contracts
  • 2013-07-05: Largest IV drop — 18.8% change
  • 2013-07-29: Highest IV Rank — 61.8%
  • 2013-07-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.13$9.65$10.93$9.92$9.83
Max Pain$10.41$10.00$11.00$10.00$11.00
ATM IV38.4%31.3%42.5%37.1%31.3%
Expected Move11.4%9.0%12.2%10.6%9.0%
HV 20d34.5%32.0%41.6%33.3%37.7%
HV 60d34.4%32.8%36.2%34.1%35.1%
IV Rank52.7%36.8%61.8%49.6%36.8%
IV Percentile66.6%16.3%88.5%62.3%16.3%
Term Structure-0.9%-4.1%4.8%4.8%3.4%
VWIV39.4%31.3%42.7%37.8%31.3%
Skew 25d0.7%-12.7%7.9%-12.7%-0.3%
Skew 10d2.7%-21.8%18.9%-13.2%1.6%
Call IV 25d37.6%26.4%43.3%40.4%26.4%
Put IV 25d38.3%25.8%46.4%27.7%26.1%
Bid-Ask Spread %8.114.3711.726.277.85
Gamma HHI0.340.270.630.310.28
Net GEX209.6K127.1K477.2K177.6K127.1K
Net DEX-5.6M-11.0M-2.8M-4.9M-3.0M
Net VEX-34.5K-37.4K-29.7K-37.4K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.271.270.99
Total Volume765.0911823,485424556
Total OI27,038.54525,21230,11126,23727,421

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$9.92$10.0037.1%10.6%33.3%49.6%37.8%-12.7%4.8%177.6K-4.9M-37.4K1.276.27N/AN/A18723717,5008,737
2013-07-02$9.80$10.0038.8%11.1%32.8%53.5%38.3%7.4%2.6%168.1K-4.4M-37.1K0.477.14N/AN/A64730117,5558,657
2013-07-03$9.73$10.0039.4%11.3%32.1%54.8%39.4%7.9%3.6%168.5K-4.2M-37.3K1.054.37N/AN/A10811317,9738,903
2013-07-05$9.89$10.0032.0%12.1%32.5%38.2%42.7%3.9%-2.3%188.1K-4.8M-36.8K0.006.53N/AN/A1,231017,9699,013
2013-07-08$9.65$10.0037.1%12.1%33.5%49.6%41.2%-4.1%-1.4%136.4K-3.7M-35.3K0.418.22N/AN/A1586517,6169,013
2013-07-09$9.75$10.0034.5%12.0%33.4%44.0%41.9%1.2%-1.6%147.2K-3.9M-34.8K0.018.95N/AN/A1,113717,6799,068
2013-07-10$9.84$10.0037.0%11.7%33.5%49.4%41.6%3.1%-0.7%180.7K-4.5M-35.4K0.097.83N/AN/A3603218,5359,069
2013-07-11$10.06$10.0039.2%11.2%34.0%54.3%39.2%2.8%-0.2%215.6K-5.7M-35.1K0.178.11N/AN/A4748018,6049,098
2013-07-12$10.01$10.0039.9%11.4%32.2%55.8%40.1%2.5%-1.1%216.7K-5.5M-35.6K0.038.96N/AN/A176618,8309,177
2013-07-15$10.09$10.0039.3%11.3%32.3%54.5%39.6%2.3%-0.1%232.0K-5.9M-34.0K0.197.48N/AN/A3787218,8959,173
2013-07-16$10.01$10.0040.2%11.5%32.4%56.5%36.6%2.1%-4.0%236.7K-5.7M-33.8K0.1611.25N/AN/A2363819,1869,202
2013-07-17$10.14$10.0038.0%10.9%32.0%51.8%38.9%1.4%0.1%251.6K-6.2M-33.7K1.0310.27N/AN/A29330319,1499,207
2013-07-18$10.93$10.0040.8%11.7%41.6%57.9%40.7%-1.7%-1.7%477.2K-11.0M-33.8K0.329.29N/AN/A2,64384219,1469,396
2013-07-19$10.75$11.0041.2%11.8%35.7%58.8%40.0%-1.5%-3.3%387.5K-9.5M-36.1K0.158.09N/AN/A97214820,06510,046
2013-07-22$10.54$11.0041.5%11.9%36.2%59.4%41.2%-5.5%-3.8%182.3K-6.6M-34.8K0.0911.72N/AN/A1,11510016,2039,009
2013-07-23$10.58$11.0039.0%11.2%34.5%53.9%38.7%5.2%-1.3%204.0K-6.9M-34.4K0.358.31N/AN/A51918216,6299,074
2013-07-24$10.43$11.0040.6%11.6%35.1%57.6%39.2%-6.0%-3.8%195.3K-6.3M-33.9K0.667.56N/AN/A16410916,4489,227
2013-07-25$10.47$11.0041.0%11.7%35.1%58.3%40.7%1.2%-2.0%199.2K-6.4M-34.1K0.037.53N/AN/A3871116,4949,261
2013-07-26$10.46$11.0041.1%11.8%34.8%58.6%40.7%3.0%-2.8%210.3K-6.4M-33.5K0.806.08N/AN/A16313116,7799,252
2013-07-29$10.18$11.0042.5%12.2%35.4%61.8%42.1%4.8%-4.1%182.1K-4.9M-32.4K0.319.18N/AN/A34010616,8229,339
2013-07-30$9.79$11.0034.5%9.9%37.9%44.0%34.6%-1.8%-0.0%127.3K-2.8M-29.7K0.397.41N/AN/A1,24648317,0029,427
2013-07-31$9.83$11.0031.3%9.0%37.7%36.8%31.3%-0.3%3.4%127.1K-3.0M-30.5K0.997.85N/AN/A27927717,7429,679