DSS Options History — March 2012 In March 2012, DSS traded between $6729.81 and $9938.72. ATM implied volatility averaged 116.3%. The 30-day expected move averaged 27.7%. IV traded above realized volatility by 27.3% (HV 20d: 88.9%). Max pain ranged from $11142.06 to $11142.06. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.15.
Notable Days 2012-03-06 : Largest IV spike — 72.9% change2012-03-30 : Largest Expected Move — 40.5%Monthly Statistics Metric Avg Min Max Open Close Price $8353.51 $6729.81 $9938.72 $9938.72 $6729.81 Max Pain $11142.06 $11142.06 $11142.06 $11142.06 $11142.06 ATM IV 116.3% 72.1% 185.5% 77.9% 141.4% Expected Move 27.7% 20.7% 40.5% 22.3% 40.5% HV 20d 88.9% 84.0% 93.5% 88.6% 93.1% Term Structure -14.6% -40.3% 18.2% -16.7% -8.7% VWIV 97.5% 87.1% 113.7% 87.1% 113.7% Bid-Ask Spread % 118.38 99.56 131.87 131.87 112.13 Gamma HHI 0.85 0.51 1.00 0.96 0.91 Net GEX 258 -1.4K 1.9K 299 -1.4K Net DEX 11.2K -16.9K 98.5K -5.1K 98.5K Net VEX -102 -471 0 -43 -471 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.00 5.77 0.00 1.25 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-03-01 $9938.72 $0.00 77.9% 22.3% 0.0% 0.0% 0.0% 0.0% -16.7% 299 -5.1K -43 0.00 131.87 N/A N/A 0 0 0 0 2012-03-02 $9515.32 $0.00 92.6% 26.6% 0.0% 0.0% 0.0% 0.0% -34.9% 256 -3.6K -36 0.00 124.79 N/A N/A 0 0 0 0 2012-03-05 $8445.68 $0.00 104.1% 20.8% 0.0% 0.0% 0.0% 0.0% -18.2% 125 -1.2K -15 0.00 122.71 N/A N/A 0 0 0 0 2012-03-06 $7710.31 $0.00 180.1% 28.3% 0.0% 0.0% 0.0% 0.0% -21.6% -112 814 -11 0.00 101.77 N/A N/A 0 0 0 0 2012-03-07 $7866.30 $11142.06 185.5% 28.8% 0.0% 0.0% 0.0% 0.0% -22.0% -90 632 -8 0.00 99.56 N/A N/A 0 0 0 0 2012-03-08 $8311.98 $11142.06 173.5% 29.7% 0.0% 0.0% 0.0% 0.0% -17.0% 0 0 0 0.00 118.80 N/A N/A 0 0 0 0 2012-03-09 $9181.06 $11142.06 133.9% 23.2% 88.6% 0.0% 0.0% 0.0% -10.7% 523 577 -33 0.00 108.17 N/A N/A 0 0 0 0 2012-03-12 $9782.73 $11142.06 150.2% 23.2% 89.7% 0.0% 87.1% 0.0% -13.5% 1.9K -6.9K -79 0.00 115.59 N/A N/A 0 0 0 0 2012-03-13 $9158.77 $11142.06 128.8% 25.7% 90.5% 0.0% 0.0% 0.0% -16.9% 892 -1.0K -45 0.00 113.51 N/A N/A 0 0 0 0 2012-03-14 $8802.23 $11142.06 72.1% 20.7% 88.8% 0.0% 0.0% 0.0% 15.4% 143 2.1K -22 0.00 123.75 N/A N/A 0 0 0 0 2012-03-15 $8534.82 $11142.06 74.2% 21.3% 86.8% 0.0% 0.0% 0.0% 18.2% -13 3.5K -1 0.00 123.00 N/A N/A 0 0 0 0 2012-03-16 $8913.65 $11142.06 74.7% 21.4% 86.4% 0.0% 0.0% 0.0% -14.4% 825 -14.9K -127 0.00 123.82 N/A N/A 0 0 0 0 2012-03-19 $8646.24 $11142.06 84.8% 24.3% 84.0% 0.0% 0.0% 0.0% -24.2% 706 -11.9K -119 0.00 119.18 N/A N/A 0 0 0 0 2012-03-20 $9047.35 $11142.06 85.0% 24.4% 86.0% 0.0% 0.0% 0.0% -18.9% 858 -16.9K -135 0.00 123.61 N/A N/A 0 0 0 0 2012-03-21 $8757.66 $11142.06 85.2% 24.4% 86.2% 0.0% 91.9% 0.0% -21.3% 771 -11.5K -119 0.00 122.17 N/A N/A 0 0 0 0 2012-03-22 $8490.25 $11142.06 81.9% 23.5% 86.0% 0.0% 0.0% 0.0% 2.4% 645 -8.6K -107 0.00 121.88 N/A N/A 0 0 0 0 2012-03-23 $7933.15 $11142.06 137.1% 39.3% 88.3% 0.0% 102.5% 0.0% -40.3% 429 -10.5K -123 0.00 121.59 N/A N/A 0 0 0 0 2012-03-26 $7621.17 $11142.06 124.3% 35.6% 88.4% 0.0% 92.3% 0.0% -30.9% -180 54.8K -146 2.20 120.62 N/A N/A 0 0 0 0 2012-03-27 $6863.51 $11142.06 115.3% 33.0% 93.5% 0.0% 113.7% 0.0% -6.5% -353 69.6K -159 5.77 118.68 N/A N/A 0 0 0 0 2012-03-28 $6729.81 $11142.06 125.4% 35.9% 92.9% 0.0% 0.0% 0.0% -18.1% -507 56.3K -237 0.00 124.09 N/A N/A 0 0 0 0 2012-03-29 $6796.66 $11142.06 130.0% 37.3% 93.5% 0.0% 0.0% 0.0% -3.4% -69 53.0K -206 1.25 113.05 N/A N/A 0 0 0 0 2012-03-30 $6729.81 $11142.06 141.4% 40.5% 93.1% 0.0% 0.0% 0.0% -8.7% -1.4K 98.5K -471 0.00 112.13 N/A N/A 0 0 0 0
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