DSX Options History — December 2013

In December 2013, DSX traded between $11.14 and $13.64. ATM implied volatility averaged 37.2%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 5.6% (HV 20d: 42.8%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2013-12-19: Highest Volume — 5,496 contracts
  • 2013-12-27: Largest IV spike — 14.6% change
  • 2013-12-10: Highest IV Rank — 57.5%
  • 2013-12-13: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.30$11.14$13.64$11.40$13.29
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV37.2%32.8%40.6%37.3%37.3%
Expected Move12.2%11.9%12.7%12.1%12.0%
HV 20d42.8%37.6%51.8%42.5%44.1%
HV 60d38.8%36.4%40.9%37.0%40.9%
IV Rank49.8%40.2%57.5%50.1%50.1%
IV Percentile40.5%11.1%66.3%44.0%40.9%
Term Structure1.5%-1.6%3.9%1.2%0.3%
VWIV42.5%41.1%44.4%41.5%41.2%
Skew 25d1.1%-6.7%8.6%-6.7%3.6%
Skew 10d1.1%-22.9%16.0%-22.9%12.6%
Call IV 25d36.7%29.0%40.4%40.0%35.1%
Put IV 25d37.7%33.3%40.5%33.3%38.7%
Bid-Ask Spread %29.278.9633.978.9631.16
Gamma HHI0.360.200.770.300.23
Net GEX341.5K154.2K831.7K263.6K263.7K
Net DEX-10.1M-20.7M-4.2M-6.3M-10.4M
Net VEX-41.7K-49.3K-35.7K-43.6K-49.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.032.030.120.10
Total Volume1,729.381925,496621625
Total OI36,185.33319,10442,21440,74125,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$11.40$8.0037.3%12.1%42.5%50.1%0.0%-6.7%1.2%263.6K-6.3M-43.6K0.128.96N/AN/A5536826,01214,729
2013-12-03$11.31$8.0038.5%11.9%42.1%52.8%41.5%-3.5%-0.5%242.0K-5.7M-42.9K0.9228.77N/AN/A484426,01614,754
2013-12-04$11.45$8.0039.6%12.1%42.2%55.3%42.4%3.8%-1.6%281.3K-6.6M-43.5K0.0929.53N/AN/A3293126,01214,781
2013-12-05$11.68$8.0038.8%12.2%39.9%53.4%41.4%7.7%-1.4%329.8K-8.5M-43.2K0.0829.32N/AN/A1,93416126,06014,801
2013-12-06$11.45$8.0036.5%12.2%40.0%48.4%43.3%-0.5%1.0%316.6K-7.0M-41.8K0.0532.44N/AN/A7453826,68814,865
2013-12-09$11.55$8.0039.9%12.1%39.5%55.9%41.8%-0.9%1.9%367.2K-7.4M-40.1K0.5826.89N/AN/A23013327,13314,864
2013-12-10$11.40$8.0040.6%12.4%38.1%57.5%43.3%-0.3%3.4%320.5K-6.4M-40.4K0.0729.26N/AN/A4803527,12714,982
2013-12-11$11.27$8.0035.1%12.4%38.2%45.1%0.0%-1.4%3.9%282.3K-5.1M-38.0K0.0330.98N/AN/A1,0992927,24714,967
2013-12-12$11.14$8.0036.1%12.4%37.6%47.4%0.0%-0.1%3.5%227.0K-4.2M-36.6K2.0330.18N/AN/A6212627,12914,986
2013-12-13$12.27$8.0037.3%12.7%51.7%50.0%44.1%7.0%2.4%556.4K-13.9M-40.5K0.1132.06N/AN/A3,70741927,01515,079
2013-12-16$12.18$8.0038.4%12.1%51.8%52.5%41.5%-0.9%2.7%530.9K-13.0M-38.6K0.2330.48N/AN/A89020426,79715,117
2013-12-17$12.16$8.0038.2%12.0%50.3%52.1%41.1%0.5%3.0%531.3K-12.5M-38.3K0.5129.54N/AN/A28914826,87415,259
2013-12-18$12.64$8.0035.8%12.3%45.8%46.7%43.0%3.4%2.3%447.8K-17.3M-35.7K0.0933.97N/AN/A2,32221026,88615,266
2013-12-19$13.00$8.0037.0%12.0%42.8%49.4%42.2%-0.7%2.4%831.7K-19.7M-38.2K0.0631.85N/AN/A5,18431226,54515,354
2013-12-20$13.25$8.0035.0%12.1%42.9%45.1%44.4%-1.1%3.3%468.8K-20.7M-39.5K0.0327.94N/AN/A4,78316525,78815,595
2013-12-23$13.35$8.0036.0%12.1%42.8%47.3%41.5%2.9%1.6%161.1K-8.2M-39.7K0.3227.30N/AN/A3,5781,13412,5386,566
2013-12-24$13.46$8.0035.6%12.1%40.5%46.3%44.3%8.6%0.2%154.2K-9.5M-45.9K0.4129.17N/AN/A1656814,2227,560
2013-12-26$13.64$8.0032.8%12.0%40.2%40.2%41.9%1.2%2.9%163.8K-10.3M-45.1K0.0730.11N/AN/A1,79512414,3107,551
2013-12-27$13.47$8.0037.6%11.9%41.0%50.9%43.0%1.3%-0.4%178.2K-10.0M-46.7K0.1133.42N/AN/A2,71230715,0277,617
2013-12-30$12.99$8.0036.9%12.1%43.9%49.2%41.2%-1.8%0.2%253.0K-9.4M-48.4K0.8331.29N/AN/A56446716,8767,799
2013-12-31$13.29$8.0037.3%12.0%44.1%50.1%0.0%3.6%0.3%263.7K-10.4M-49.3K0.1031.16N/AN/A5705516,8858,213