DSS Options History — June 2012 In June 2012, DSS traded between $5972.14 and $9225.63. ATM implied volatility averaged 93.6%. The 30-day expected move averaged 27.0%. IV traded below realized volatility by 21.0% (HV 20d: 114.6%). Max pain ranged from $5571.03 to $16713.09. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.07.
Notable Days 2012-06-25 : Largest IV spike — 354.3% change2012-06-07 : Largest Expected Move — 35.2%Monthly Statistics Metric Avg Min Max Open Close Price $8367.16 $5972.14 $9225.63 $6128.13 $8980.50 Max Pain $15121.37 $5571.03 $16713.09 $5571.03 $16713.09 ATM IV 93.6% 20.5% 181.7% 116.4% 89.2% Expected Move 27.0% 7.4% 35.2% 33.4% 25.6% HV 20d 114.6% 89.6% 126.3% 90.1% 104.6% HV 60d 90.3% 81.5% 93.1% 82.3% 91.6% Term Structure -21.4% -136.6% 117.5% -40.5% 4.2% Bid-Ask Spread % 153.47 115.76 187.01 142.69 122.58 Gamma HHI 0.67 0.49 1.00 0.90 0.56 Net GEX -152 -2.5K 609 -2.4K 390 Net DEX -22.8K -55.1K 55.8K 50.0K -41.9K Net VEX -193 -368 0 -368 -339 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.07 0.00 0.40 0.00 0.00 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 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 2012-06-01 $6128.13 $5571.03 116.4% 33.4% 90.1% 0.0% 0.0% 0.0% -40.5% -2.4K 50.0K -368 0.00 142.69 N/A N/A 0 0 0 0 2012-06-04 $5972.14 $0.00 126.4% 31.7% 89.6% 0.0% 0.0% 0.0% -11.5% -2.5K 55.8K -351 0.00 122.56 N/A N/A 0 0 0 0 2012-06-05 $7242.34 $0.00 153.8% 0.0% 113.6% 0.0% 0.0% 0.0% -16.5% -382 -20.0K -94 0.00 182.96 N/A N/A 0 0 0 0 2012-06-06 $7108.64 $0.00 158.5% 28.6% 113.8% 0.0% 0.0% 0.0% -22.7% -81 -10.1K -261 0.00 125.66 N/A N/A 0 0 0 0 2012-06-07 $7353.76 $0.00 181.7% 35.2% 114.3% 0.0% 0.0% 0.0% -27.5% -231 -12.2K -229 0.00 115.76 N/A N/A 0 0 0 0 2012-06-08 $8334.26 $0.00 142.9% 0.0% 122.0% 0.0% 0.0% 0.0% 3.5% 127 -31.8K -304 0.00 187.01 N/A N/A 0 0 0 0 2012-06-11 $9225.63 $0.00 53.6% 0.0% 126.3% 0.0% 0.0% 0.0% 0.0% 609 -39.6K -111 0.40 175.63 N/A N/A 0 0 0 0 2012-06-12 $9203.34 $16713.09 154.4% 7.4% 126.3% 0.0% 0.0% 0.0% 99.0% -148 -47.8K -163 0.00 166.54 N/A N/A 0 0 0 0 2012-06-13 $8891.36 $16713.09 29.9% 0.0% 125.7% 0.0% 0.0% 0.0% 0.0% -242 612 -68 0.00 186.47 N/A N/A 0 0 0 0 2012-06-14 $8423.40 $16713.09 110.7% 0.0% 122.5% 0.0% 0.0% 0.0% 117.5% 0 2.6K 0 0.00 168.71 N/A N/A 0 0 0 0 2012-06-15 $8646.24 $16713.09 79.3% 0.0% 122.3% 0.0% 0.0% 0.0% 0.0% 106 2.3K -53 0.00 184.33 N/A N/A 0 0 0 0 2012-06-18 $9225.63 $16713.09 20.5% 0.0% 119.3% 0.0% 0.0% 0.0% -105.4% 0 -32.7K 0 0.07 166.36 N/A N/A 0 0 0 0 2012-06-19 $9025.07 $16713.09 22.4% 0.0% 116.1% 0.0% 0.0% 0.0% -136.6% 0 -34.0K 0 0.00 159.89 N/A N/A 0 0 0 0 2012-06-20 $8935.93 $0.00 23.4% 0.0% 114.8% 0.0% 0.0% 0.0% -111.7% 59 -54.1K -203 0.00 178.53 N/A N/A 0 0 0 0 2012-06-21 $8512.53 $0.00 103.9% 0.0% 116.5% 0.0% 0.0% 0.0% -41.3% 192 -36.8K -201 0.00 168.85 N/A N/A 0 0 0 0 2012-06-22 $9114.21 $0.00 22.2% 0.0% 116.3% 0.0% 0.0% 0.0% -114.1% 0 -35.2K 0 0.00 182.83 N/A N/A 0 0 0 0 2012-06-25 $8467.97 $0.00 101.0% 29.0% 117.1% 0.0% 0.0% 0.0% -22.2% 337 -45.1K -360 0.00 123.30 N/A N/A 0 0 0 0 2012-06-26 $8824.51 $0.00 92.2% 26.4% 116.2% 0.0% 0.0% 0.0% 5.7% 390 -51.3K -352 0.00 123.05 N/A N/A 0 0 0 0 2012-06-27 $9047.35 $0.00 98.2% 28.2% 114.2% 0.0% 0.0% 0.0% 1.4% 380 -55.1K -350 0.00 121.90 N/A N/A 0 0 0 0 2012-06-28 $9047.35 $0.00 84.2% 24.2% 104.3% 0.0% 0.0% 0.0% 33.5% 256 -42.7K -256 0.00 117.36 N/A N/A 0 0 0 0 2012-06-29 $8980.50 $0.00 89.2% 25.6% 104.6% 0.0% 0.0% 0.0% 4.2% 390 -41.9K -339 0.00 122.58 N/A N/A 0 0 0 0
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