DSX Options History — August 2013

In August 2013, DSX traded between $9.97 and $11.61. ATM implied volatility averaged 36.7%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.4% (HV 20d: 42.1%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2013-08-14: Highest Volume — 5,335 contracts
  • 2013-08-13: Largest IV spike — 92.4% change
  • 2013-08-30: Highest IV Rank — 59.7%
  • 2013-08-30: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$9.97$11.61$10.14$10.86
Max Pain$9.50$9.00$11.00$11.00$10.00
ATM IV36.7%20.8%41.6%33.1%41.6%
Expected Move10.7%8.8%11.9%9.5%11.9%
HV 20d42.1%35.7%47.8%39.1%46.8%
HV 60d36.8%34.3%39.7%35.7%39.4%
IV Rank48.8%13.4%59.7%40.6%59.7%
IV Percentile57.5%2.0%87.3%25.0%87.3%
Term Structure1.6%-0.7%5.3%1.5%-0.3%
VWIV37.8%30.6%44.3%33.2%44.3%
Skew 25d0.7%-3.6%8.3%8.3%5.5%
Skew 10d-1.1%-14.1%11.5%6.0%0.3%
Call IV 25d37.4%21.0%44.7%21.0%41.3%
Put IV 25d38.0%25.4%46.8%29.2%46.8%
Bid-Ask Spread %8.355.6612.427.049.85
Gamma HHI0.360.290.610.340.30
Net GEX292.5K141.2K637.2K183.1K306.9K
Net DEX-8.3M-14.6M-3.5M-4.5M-9.5M
Net VEX-32.7K-38.2K-29.2K-31.5K-38.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.002.600.112.60
Total Volume1,456.2731855,335520447
Total OI30,107.54527,60033,30727,60033,307

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$10.14$11.0033.1%9.5%39.1%40.6%33.2%8.3%1.5%183.1K-4.5M-31.5K0.117.04N/AN/A4695117,7379,863
2013-08-02$9.97$11.0030.8%8.8%39.3%35.6%30.6%0.1%4.4%141.2K-3.5M-30.7K0.405.66N/AN/A41316417,8819,867
2013-08-05$10.05$9.0034.3%10.0%38.3%43.5%35.1%0.5%2.8%167.2K-4.0M-30.4K0.007.49N/AN/A392018,0949,946
2013-08-06$9.97$9.0034.3%9.9%38.3%43.3%35.5%-0.2%5.3%154.3K-3.8M-29.7K0.3910.09N/AN/A1796918,2849,946
2013-08-07$10.07$9.0033.7%10.2%38.3%42.1%34.9%1.1%3.0%170.9K-4.2M-30.0K1.317.00N/AN/A8010518,3709,985
2013-08-08$10.18$9.0031.6%9.6%37.7%37.4%34.0%2.7%3.6%197.2K-5.0M-29.2K0.6312.42N/AN/A28117718,4029,973
2013-08-09$10.59$9.0034.9%10.7%40.1%44.8%37.2%0.6%0.5%297.9K-7.5M-30.5K0.067.13N/AN/A3,88621518,4259,995
2013-08-12$10.45$9.0020.8%9.9%40.4%13.4%35.0%-0.9%4.2%269.4K-6.9M-29.8K0.379.69N/AN/A2429019,69510,041
2013-08-13$10.47$9.0040.1%10.4%40.2%56.4%36.2%0.8%2.1%298.7K-7.2M-30.4K0.0012.05N/AN/A749019,68710,073
2013-08-14$11.07$9.0039.9%10.8%44.4%55.8%38.1%-0.8%0.9%463.7K-11.7M-30.4K0.149.51N/AN/A4,67366219,92710,073
2013-08-15$11.06$9.0038.3%11.0%35.7%52.4%38.3%1.7%0.6%637.2K-12.1M-32.4K0.078.69N/AN/A1,82712721,73110,419
2013-08-16$10.82$9.0037.2%10.7%36.1%49.8%38.7%-3.0%1.7%524.2K-9.2M-31.0K0.487.04N/AN/A1,95193521,16210,500
2013-08-19$10.28$10.0039.0%11.2%39.9%54.0%39.6%-1.3%-0.1%173.7K-5.6M-32.0K0.486.66N/AN/A1,47471418,58810,073
2013-08-20$10.94$9.0039.5%11.3%45.9%55.0%39.7%0.6%-0.7%263.2K-9.3M-33.6K0.346.99N/AN/A56619119,13910,225
2013-08-21$10.87$9.0039.1%11.2%45.6%54.1%39.0%2.0%-0.1%262.9K-8.9M-33.4K0.147.39N/AN/A5868119,19310,318
2013-08-22$11.17$9.0039.1%11.2%46.5%54.1%38.4%4.2%-0.4%295.0K-10.8M-33.8K0.048.73N/AN/A6402819,58310,387
2013-08-23$11.40$10.0039.7%11.4%46.8%55.4%39.7%0.7%0.2%313.9K-12.4M-32.9K0.245.93N/AN/A3,66786419,80410,412
2013-08-26$11.61$10.0039.0%11.2%45.5%53.8%39.4%-0.7%2.2%352.7K-14.6M-36.5K0.147.64N/AN/A2,31133521,93010,634
2013-08-27$11.00$10.0040.3%11.5%47.8%56.8%41.5%-2.3%1.8%310.8K-10.7M-37.4K0.268.82N/AN/A1,11428621,75710,723
2013-08-28$11.04$10.0041.0%11.7%47.8%58.3%41.3%-1.0%1.3%322.8K-11.0M-38.2K0.148.01N/AN/A4936722,25710,859
2013-08-29$11.03$10.0040.7%11.7%46.9%57.7%42.2%-3.6%0.8%327.8K-11.1M-37.0K0.229.90N/AN/A3597822,21610,885
2013-08-30$10.86$10.0041.6%11.9%46.8%59.7%44.3%5.5%-0.3%306.9K-9.5M-38.0K2.609.85N/AN/A12432322,48610,821