DSS Options History — May 2012 In May 2012, DSS traded between $5236.77 and $7420.61. ATM implied volatility averaged 117.3%. The 30-day expected move averaged 31.2%. IV traded above realized volatility by 42.7% (HV 20d: 74.7%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2012-05-10 : Largest IV drop — 38.7% change2012-05-23 : Largest Expected Move — 40.0%Monthly Statistics Metric Avg Min Max Open Close Price $6439.10 $5236.77 $7420.61 $7309.19 $6105.85 Max Pain $6330.72 $5571.03 $11142.06 $11142.06 $5571.03 ATM IV 117.3% 87.5% 147.7% 93.8% 137.1% Expected Move 31.2% 24.6% 40.0% 26.9% 39.3% HV 20d 74.7% 66.3% 90.3% 74.2% 90.3% HV 60d 77.9% 74.4% 82.4% 78.5% 82.4% Term Structure -21.8% -45.0% 6.8% -13.2% -44.6% VWIV 95.6% 89.8% 101.5% 89.8% 101.5% Bid-Ask Spread % 123.49 103.09 166.48 118.65 142.57 Gamma HHI 0.82 0.51 0.94 0.93 0.88 Net GEX -1.4K -2.2K -88 -1.6K -2.1K Net DEX 35.0K -5.7K 85.4K 27.1K 53.2K Net VEX -321 -410 -195 -351 -376 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 2.00 0.00 0.00 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 2012-05-01 $7309.19 $11142.06 93.8% 26.9% 74.2% 0.0% 0.0% 0.0% -13.2% -1.6K 27.1K -351 0.00 118.65 N/A N/A 0 0 0 0 2012-05-02 $6841.23 $11142.06 111.1% 31.9% 78.0% 0.0% 0.0% 0.0% -30.0% -224 -985 -204 0.00 119.97 N/A N/A 0 0 0 0 2012-05-03 $6930.36 $11142.06 118.2% 33.9% 78.0% 0.0% 0.0% 0.0% -30.0% -108 -2.1K -205 0.00 127.44 N/A N/A 0 0 0 0 2012-05-04 $7108.64 $5571.03 123.1% 27.0% 78.4% 0.0% 0.0% 0.0% 6.7% -118 -2.5K -204 0.00 112.75 N/A N/A 0 0 0 0 2012-05-07 $6818.94 $5571.03 139.8% 26.4% 79.0% 0.0% 0.0% 0.0% 2.7% -1.8K 25.6K -355 0.00 109.61 N/A N/A 0 0 0 0 2012-05-08 $6796.66 $5571.03 139.5% 24.6% 78.6% 0.0% 0.0% 0.0% -18.4% -1.8K 25.4K -349 0.00 103.96 N/A N/A 0 0 0 0 2012-05-09 $6752.09 $5571.03 147.7% 26.1% 78.1% 0.0% 0.0% 0.0% -30.8% -2.0K 28.1K -340 0.00 111.56 N/A N/A 0 0 0 0 2012-05-10 $6908.08 $5571.03 90.6% 26.0% 73.4% 0.0% 0.0% 0.0% 6.8% -1.9K 28.3K -339 0.00 121.67 N/A N/A 0 0 0 0 2012-05-11 $6952.65 $5571.03 89.8% 25.7% 66.4% 0.0% 89.8% 0.0% 0.0% -1.8K 25.5K -342 0.00 166.48 N/A N/A 0 0 0 0 2012-05-14 $6930.36 $5571.03 87.5% 25.1% 66.3% 0.0% 0.0% 0.0% -10.2% -98 -253 -200 0.00 104.40 N/A N/A 0 0 0 0 2012-05-15 $7420.61 $5571.03 107.5% 30.8% 68.6% 0.0% 0.0% 0.0% -32.2% -88 -5.7K -198 0.00 103.09 N/A N/A 0 0 0 0 2012-05-16 $6774.37 $5571.03 100.9% 28.9% 75.8% 0.0% 0.0% 0.0% -7.4% -1.7K 24.4K -322 0.00 104.89 N/A N/A 0 0 0 0 2012-05-17 $6707.52 $5571.03 99.5% 28.5% 75.1% 0.0% 0.0% 0.0% -32.6% -113 666 -195 2.00 113.22 N/A N/A 0 0 0 0 2012-05-18 $6239.55 $5571.03 101.0% 29.0% 69.1% 0.0% 0.0% 0.0% -17.0% -2.0K 36.0K -338 1.51 115.08 N/A N/A 0 0 0 0 2012-05-21 $5838.44 $5571.03 115.5% 33.1% 72.6% 0.0% 0.0% 0.0% -18.7% -1.9K 65.3K -410 0.00 129.88 N/A N/A 0 0 0 0 2012-05-22 $5637.88 $5571.03 118.4% 33.9% 72.8% 0.0% 0.0% 0.0% -17.1% -2.0K 67.0K -405 0.00 131.08 N/A N/A 0 0 0 0 2012-05-23 $5504.18 $5571.03 139.4% 40.0% 72.9% 0.0% 0.0% 0.0% -27.5% -1.7K 75.6K -394 0.00 128.53 N/A N/A 0 0 0 0 2012-05-24 $5905.29 $5571.03 137.6% 39.4% 73.2% 0.0% 0.0% 0.0% -34.2% -1.8K 68.8K -404 0.00 132.70 N/A N/A 0 0 0 0 2012-05-25 $5526.46 $5571.03 129.8% 37.2% 75.9% 0.0% 0.0% 0.0% -28.9% -1.9K 67.2K -399 0.00 130.61 N/A N/A 0 0 0 0 2012-05-29 $5415.04 $5571.03 133.3% 38.2% 75.9% 0.0% 0.0% 0.0% -35.4% -2.0K 78.5K -370 0.00 144.75 N/A N/A 0 0 0 0 2012-05-30 $5236.77 $5571.03 120.2% 34.5% 70.4% 0.0% 101.5% 0.0% -45.0% -2.2K 85.4K -351 0.00 143.93 N/A N/A 0 0 0 0 2012-05-31 $6105.85 $5571.03 137.1% 39.3% 90.3% 0.0% 0.0% 0.0% -44.6% -2.1K 53.2K -376 0.00 142.57 N/A N/A 0 0 0 0
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