DSS Options History — April 2012 In April 2012, DSS traded between $6596.10 and $7933.15. ATM implied volatility averaged 120.5%. The 30-day expected move averaged 32.8%. IV traded above realized volatility by 46.4% (HV 20d: 74.1%). Max pain ranged from $11142.06 to $11142.06. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 26.78.
Notable Days 2012-04-27 : Largest IV spike — 55.0% change2012-04-03 : Largest Expected Move — 38.6%Monthly Statistics Metric Avg Min Max Open Close Price $7060.72 $6596.10 $7933.15 $7108.64 $6841.23 Max Pain $11142.06 $11142.06 $11142.06 $11142.06 $11142.06 ATM IV 120.5% 71.3% 156.5% 120.2% 110.6% Expected Move 32.8% 20.4% 38.6% 34.5% 31.7% HV 20d 74.1% 61.1% 88.2% 88.2% 73.0% HV 60d 78.6% 77.6% 79.5% 79.5% 77.6% Term Structure -17.4% -42.1% 45.6% 16.4% -40.8% VWIV 112.6% 112.6% 112.6% 112.6% 112.6% Bid-Ask Spread % 111.05 97.04 123.44 117.19 123.19 Gamma HHI 0.80 0.38 0.95 0.38 0.93 Net GEX -950 -1.7K 147 15 -1.7K Net DEX 32.2K -3.6K 87.8K 52.2K 33.5K Net VEX -358 -501 -195 -238 -385 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 26.78 0.00 78.33 78.33 2.00 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (20 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 2012-04-02 $7108.64 $11142.06 120.2% 34.5% 88.2% 0.0% 0.0% 0.0% 16.4% 15 52.2K -238 0.00 117.19 N/A N/A 0 0 0 0 2012-04-03 $7130.92 $11142.06 134.6% 38.6% 82.7% 0.0% 112.6% 0.0% -22.7% -1.2K 87.8K -501 78.33 97.47 N/A N/A 0 0 0 0 2012-04-04 $7019.50 $11142.06 124.0% 35.5% 82.3% 0.0% 0.0% 0.0% -42.1% 147 5.1K -237 0.00 97.04 N/A N/A 0 0 0 0 2012-04-05 $6952.65 $11142.06 117.6% 33.7% 79.1% 0.0% 0.0% 0.0% -33.9% 131 11.6K -216 0.00 109.57 N/A N/A 0 0 0 0 2012-04-09 $6729.81 $11142.06 156.5% 29.1% 68.3% 0.0% 0.0% 0.0% -8.7% -1.1K 55.7K -466 0.00 110.45 N/A N/A 0 0 0 0 2012-04-10 $6596.10 $11142.06 123.9% 31.3% 61.6% 0.0% 0.0% 0.0% -20.1% -1.2K 58.7K -465 0.00 103.54 N/A N/A 0 0 0 0 2012-04-11 $6774.37 $11142.06 154.5% 29.5% 61.1% 0.0% 0.0% 0.0% -15.3% -1.3K 44.0K -438 0.00 115.28 N/A N/A 0 0 0 0 2012-04-12 $7309.19 $11142.06 110.7% 31.7% 68.3% 0.0% 0.0% 0.0% -8.7% -79 -1.2K -198 0.00 107.45 N/A N/A 0 0 0 0 2012-04-13 $7933.15 $11142.06 106.6% 30.6% 75.0% 0.0% 0.0% 0.0% -26.3% -1.2K 25.7K -404 0.00 118.55 N/A N/A 0 0 0 0 2012-04-16 $7821.73 $11142.06 127.4% 36.5% 72.9% 0.0% 0.0% 0.0% -28.3% -68 -3.6K -198 2.00 109.87 N/A N/A 0 0 0 0 2012-04-17 $7398.33 $11142.06 125.8% 36.1% 74.6% 0.0% 0.0% 0.0% -23.3% -1.2K 24.7K -404 0.00 107.54 N/A N/A 0 0 0 0 2012-04-18 $7309.19 $11142.06 124.5% 35.7% 71.9% 0.0% 0.0% 0.0% -21.0% -1.3K 33.1K -420 0.00 109.39 N/A N/A 0 0 0 0 2012-04-19 $7487.47 $11142.06 115.1% 33.0% 72.4% 0.0% 0.0% 0.0% -0.7% -1.2K 30.6K -381 0.00 103.62 N/A N/A 0 0 0 0 2012-04-20 $6707.52 $11142.06 119.8% 34.3% 80.7% 0.0% 0.0% 0.0% -14.5% -1.5K 43.1K -425 0.00 108.39 N/A N/A 0 0 0 0 2012-04-23 $6640.67 $11142.06 121.8% 34.9% 77.9% 0.0% 0.0% 0.0% -21.3% -1.4K 36.6K -403 0.00 114.32 N/A N/A 0 0 0 0 2012-04-24 $6752.09 $11142.06 113.1% 32.4% 77.5% 0.0% 0.0% 0.0% -27.3% -1.6K 34.5K -392 0.00 111.09 N/A N/A 0 0 0 0 2012-04-25 $6640.67 $11142.06 121.2% 34.7% 68.4% 0.0% 0.0% 0.0% -23.2% -1.5K 39.3K -404 0.00 114.28 N/A N/A 0 0 0 0 2012-04-26 $7108.64 $11142.06 71.3% 20.4% 72.4% 0.0% 0.0% 0.0% 45.6% -76 -2.1K -195 0.00 119.39 N/A N/A 0 0 0 0 2012-04-27 $6952.65 $11142.06 110.5% 31.7% 72.8% 0.0% 0.0% 0.0% -31.8% -1.5K 34.3K -399 0.00 123.44 N/A N/A 0 0 0 0 2012-04-30 $6841.23 $11142.06 110.6% 31.7% 73.0% 0.0% 0.0% 0.0% -40.8% -1.7K 33.5K -385 0.00 123.19 N/A N/A 0 0 0 0
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