DSX Options History — September 2013

In September 2013, DSX traded between $11.22 and $12.83. ATM implied volatility averaged 45.5%, placing in the 68.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.7% (HV 20d: 48.2%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-09-12: Highest Volume — 5,373 contracts
  • 2013-09-09: Largest IV spike — 7.8% change
  • 2013-09-16: Highest IV Rank — 73.4%
  • 2013-09-16: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.18$11.22$12.83$11.22$12.07
Max Pain$11.85$10.00$13.00$10.00$12.00
ATM IV45.5%40.6%47.7%42.4%46.7%
Expected Move13.0%11.6%13.7%12.1%13.4%
HV 20d48.2%42.7%53.0%47.8%43.9%
HV 60d42.0%39.8%43.1%39.8%42.8%
IV Rank68.5%57.5%73.4%61.4%71.1%
IV Percentile91.0%79.8%96.0%89.3%92.9%
Term Structure-0.7%-2.5%1.9%-0.6%-0.5%
VWIV45.6%41.4%48.9%41.8%47.4%
Skew 25d0.3%-1.9%4.8%4.8%0.4%
Skew 10d-2.2%-16.2%15.2%15.2%-13.7%
Call IV 25d46.2%39.6%50.2%39.6%47.9%
Put IV 25d46.4%42.0%50.1%44.4%48.3%
Bid-Ask Spread %8.736.5911.936.599.91
Gamma HHI0.230.190.320.320.28
Net GEX248.8K22.2K373.4K365.7K220.1K
Net DEX-14.2M-21.0M-7.4M-12.0M-8.1M
Net VEX-41.8K-49.4K-34.9K-35.6K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.082.680.090.64
Total Volume2,453.85665,373566710
Total OI35,573.725,83743,70033,30330,885

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$11.22$10.0042.4%12.1%47.8%61.4%41.8%4.8%-0.6%365.7K-12.0M-35.6K0.096.59N/AN/A5184822,51010,793
2013-09-04$11.70$10.0042.4%12.2%49.2%61.6%42.0%2.1%-1.9%373.4K-15.2M-34.9K0.087.42N/AN/A2,81621522,49510,769
2013-09-05$12.12$10.0040.6%11.6%50.2%57.5%41.4%1.4%1.9%363.7K-18.1M-35.3K0.307.45N/AN/A2,93187123,15910,931
2013-09-06$12.83$12.0043.6%12.5%53.0%64.3%44.3%0.9%-0.9%306.7K-21.0M-35.2K0.188.77N/AN/A4,06874723,00211,656
2013-09-09$12.76$12.0047.0%13.2%52.2%71.9%46.2%-0.4%-1.8%327.7K-20.9M-37.6K0.1411.93N/AN/A4,38262124,16212,318
2013-09-10$12.61$13.0047.0%13.0%52.1%71.9%45.6%-0.0%-1.3%349.9K-19.5M-41.2K0.298.93N/AN/A1,44041424,81612,649
2013-09-11$12.39$13.0047.0%12.9%53.0%71.9%45.2%1.0%-1.9%347.9K-17.9M-40.3K0.358.01N/AN/A94233424,63312,707
2013-09-12$12.04$13.0045.8%13.1%51.4%69.1%46.6%-1.4%-0.7%345.8K-15.5M-40.6K2.6810.72N/AN/A1,4623,91124,67712,889
2013-09-13$11.75$12.0046.6%13.3%52.4%70.8%47.2%0.4%-1.3%197.2K-11.9M-43.9K0.198.46N/AN/A1,97337425,57015,849
2013-09-16$11.72$12.0047.7%13.7%51.6%73.4%48.9%-0.1%-1.2%212.7K-12.1M-42.8K0.438.74N/AN/A1,46562826,08915,992
2013-09-17$12.01$12.0047.6%13.7%47.7%73.2%47.9%0.7%-2.5%176.8K-14.6M-44.1K0.387.25N/AN/A1,18144826,60616,296
2013-09-18$12.06$12.0046.4%13.3%43.2%70.5%46.5%-0.7%-1.5%98.6K-15.0M-43.7K0.137.88N/AN/A1,31416826,68316,573
2013-09-19$12.60$12.0046.4%13.3%45.1%70.4%46.9%-1.4%-0.5%208.1K-19.4M-42.8K0.1010.53N/AN/A2,94529926,44416,568
2013-09-20$12.21$12.0046.4%13.3%46.4%70.4%45.9%-1.0%-1.3%22.2K-17.3M-42.9K0.318.80N/AN/A1,84456627,02116,679
2013-09-23$12.01$12.0045.0%12.9%46.6%67.3%45.5%-1.9%1.1%182.7K-7.4M-42.2K1.1810.54N/AN/A58869117,6768,161
2013-09-24$12.45$12.0045.9%13.1%47.8%69.2%46.0%-1.4%-0.2%202.9K-9.2M-42.9K0.687.69N/AN/A69247017,7628,537
2013-09-25$12.58$12.0046.9%13.5%42.7%71.6%47.2%0.8%-1.7%211.8K-10.0M-44.4K0.378.42N/AN/A2,9091,07618,1768,865
2013-09-26$12.31$12.0045.2%13.0%43.9%67.7%45.0%-0.2%1.5%231.4K-9.2M-49.0K0.239.16N/AN/A1,68739120,1939,798
2013-09-27$12.21$12.0043.7%12.5%44.1%64.5%44.2%1.1%1.5%230.1K-8.9M-49.4K0.257.42N/AN/A74818920,77610,109
2013-09-30$12.07$12.0046.7%13.4%43.9%71.1%47.4%0.4%-0.5%220.1K-8.1M-47.9K0.649.91N/AN/A43227820,77610,109