DSX Options History — November 2013

In November 2013, DSX traded between $10.49 and $12.02. ATM implied volatility averaged 36.3%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.1% (HV 20d: 36.4%). Max pain ranged from $8.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-11-19: Highest Volume — 8,087 contracts
  • 2013-11-14: Largest IV spike — 38.2% change
  • 2013-11-18: Highest IV Rank — 60.2%
  • 2013-11-11: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$10.49$12.02$11.64$11.45
Max Pain$9.11$8.00$12.00$12.00$8.00
ATM IV36.3%28.5%41.8%33.5%37.3%
Expected Move11.9%9.6%12.6%9.6%12.3%
HV 20d36.4%28.2%44.1%35.7%43.5%
HV 60d40.3%38.1%42.8%42.4%38.9%
IV Rank47.8%30.6%60.2%41.6%50.0%
IV Percentile39.0%5.2%74.6%20.6%44.0%
Term Structure1.8%-2.1%7.4%7.4%1.1%
VWIV41.8%32.2%44.6%32.2%44.3%
Skew 25d-0.6%-7.7%3.1%2.8%-6.8%
Skew 10d-1.5%-20.3%10.2%6.8%-20.3%
Call IV 25d39.0%29.3%44.5%29.3%40.0%
Put IV 25d38.5%28.0%43.7%32.0%33.2%
Bid-Ask Spread %19.648.8450.8422.7410.39
Gamma HHI0.210.170.280.210.28
Net GEX167.6K52.9K281.1K145.1K281.1K
Net DEX-4.9M-7.9M21.2K-5.3M-6.9M
Net VEX-40.1K-46.7K-31.6K-43.2K-46.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.031.330.261.33
Total Volume1,347.82428,087928520
Total OI35,056.9529,35540,61132,59840,611

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$11.64$12.0033.5%9.6%35.7%41.6%32.2%2.8%7.4%145.1K-5.3M-43.2K0.2622.74N/AN/A73819021,55411,044
2013-11-04$11.82$11.0036.5%11.7%36.3%48.4%41.6%3.1%0.6%181.1K-6.6M-43.8K0.0338.53N/AN/A1,1143622,04311,140
2013-11-05$11.92$11.0039.0%11.8%28.2%53.9%41.6%1.4%0.6%204.5K-7.4M-45.1K0.0543.83N/AN/A2,39311422,18011,138
2013-11-06$11.41$11.0038.0%12.0%32.4%51.6%41.8%-1.5%1.4%145.3K-4.6M-41.9K0.3237.52N/AN/A47715323,24011,172
2013-11-07$11.21$11.0037.6%11.8%30.7%50.9%39.8%-1.6%1.2%123.1K-3.6M-39.8K0.1344.56N/AN/A80110723,48411,260
2013-11-08$11.44$11.0034.4%11.7%31.6%43.6%40.3%-0.7%1.8%136.5K-4.8M-40.0K0.1050.84N/AN/A2922923,08411,315
2013-11-11$11.80$0.0037.7%12.6%33.6%51.0%43.3%2.4%1.6%193.1K-6.6M-40.2K0.6816.76N/AN/A32221923,16411,319
2013-11-12$11.81$10.0034.5%12.0%33.1%43.9%44.6%1.2%2.3%193.6K-6.7M-40.4K0.279.82N/AN/A1915123,27811,456
2013-11-13$12.02$8.0028.5%12.1%32.8%30.6%0.0%0.4%1.2%224.5K-7.9M-40.6K0.558.84N/AN/A28215523,33211,482
2013-11-14$11.93$8.0039.4%12.1%32.7%54.9%0.0%1.0%2.1%216.6K-7.1M-39.0K0.8110.84N/AN/A13811222,99811,444
2013-11-15$11.99$8.0040.8%12.1%31.7%57.9%0.0%2.7%0.4%233.9K-7.2M-39.3K0.6810.01N/AN/A35223923,02411,491
2013-11-18$11.60$8.0041.8%11.9%33.2%60.2%0.0%-1.2%-2.1%182.8K-5.3M-36.7K0.539.63N/AN/A71838219,5449,811
2013-11-19$10.91$8.0034.7%12.0%38.9%44.2%42.0%-4.1%3.6%129.7K-2.2M-31.6K0.6511.73N/AN/A4,8883,19920,02410,051
2013-11-20$10.49$8.0035.5%11.9%40.6%46.1%43.5%-4.6%2.8%52.9K21.2K-34.0K0.6415.40N/AN/A1,32285122,98812,967
2013-11-21$10.64$8.0034.5%12.1%40.7%43.9%0.0%0.3%2.3%72.7K-726.1K-36.6K0.289.74N/AN/A42111823,49213,489
2013-11-22$10.67$8.0035.0%12.3%40.4%44.9%42.9%-0.0%1.4%74.9K-800.0K-36.6K0.619.67N/AN/A54533423,72113,458
2013-11-25$11.20$8.0035.3%12.1%44.1%45.7%44.5%-0.5%2.4%184.4K-4.4M-41.8K1.249.90N/AN/A69286124,09313,652
2013-11-26$11.16$8.0035.2%12.2%44.1%45.4%42.3%2.3%1.9%168.8K-3.9M-41.7K0.4912.76N/AN/A39919424,34714,273
2013-11-27$11.27$8.0035.8%12.2%43.2%46.8%44.3%-7.7%1.4%207.0K-5.0M-43.3K0.129.31N/AN/A2,67633124,62314,353
2013-11-29$11.45$8.0037.3%12.3%43.5%50.0%0.0%-6.8%1.1%281.1K-6.9M-46.7K1.3310.39N/AN/A22329726,03414,577