DSS Options History — July 2012 In July 2012, DSS traded between $8200.56 and $9136.49. ATM implied volatility averaged 96.6%. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 36.5% (HV 20d: 60.1%). Max pain ranged from $11142.06 to $11142.06. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.01.
Notable Days 2012-07-16 : Largest IV spike — 70.6% change2012-07-12 : Largest Expected Move — 33.8%Monthly Statistics Metric Avg Min Max Open Close Price $8826.63 $8200.56 $9136.49 $8690.81 $8958.22 Max Pain $11142.06 $11142.06 $11142.06 $11142.06 $11142.06 ATM IV 96.6% 60.1% 166.9% 97.2% 75.5% Expected Move 26.0% 17.2% 33.8% 27.9% 21.6% HV 20d 60.1% 39.4% 105.0% 105.0% 39.4% HV 60d 87.8% 83.4% 91.9% 91.9% 83.4% Term Structure -3.1% -56.1% 50.5% -20.2% 28.9% VWIV 68.6% 45.1% 84.5% 82.6% 62.1% Bid-Ask Spread % 119.84 94.92 188.44 124.07 101.30 Gamma HHI 0.53 0.49 0.55 0.54 0.51 Net GEX 435 50 657 313 584 Net DEX -6.6K -49.1K 39.0K -35.8K -45.7K Net VEX -316 -352 -161 -328 -318 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.01 0.00 0.08 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 2012-07-02 $8690.81 $0.00 97.2% 27.9% 105.0% 0.0% 0.0% 0.0% -20.2% 313 -35.8K -328 0.00 124.07 N/A N/A 0 0 0 0 2012-07-03 $8802.23 $0.00 112.1% 32.2% 82.4% 0.0% 0.0% 0.0% -32.9% 353 -38.6K -330 0.00 120.38 N/A N/A 0 0 0 0 2012-07-05 $9047.35 $0.00 81.8% 23.5% 81.9% 0.0% 82.6% 0.0% 8.0% 292 -40.0K -282 0.00 114.37 N/A N/A 0 0 0 0 2012-07-06 $8980.50 $0.00 99.7% 27.7% 81.8% 0.0% 0.0% 0.0% -20.9% 324 36.3K -284 0.00 116.74 N/A N/A 0 0 0 0 2012-07-09 $8824.51 $0.00 104.6% 23.7% 70.0% 0.0% 84.5% 0.0% 8.8% 366 35.9K -314 0.00 121.11 N/A N/A 0 0 0 0 2012-07-10 $8245.13 $11142.06 148.5% 28.6% 63.8% 0.0% 0.0% 0.0% -24.3% 265 39.0K -322 0.00 119.02 N/A N/A 0 0 0 0 2012-07-11 $8200.56 $11142.06 166.9% 33.8% 63.8% 0.0% 0.0% 0.0% -49.6% 304 27.2K -316 0.00 121.14 N/A N/A 0 0 0 0 2012-07-12 $8267.41 $11142.06 118.0% 33.8% 63.1% 0.0% 0.0% 0.0% -32.0% 321 26.2K -317 0.00 119.47 N/A N/A 0 0 0 0 2012-07-13 $8668.52 $11142.06 60.1% 17.2% 62.6% 0.0% 0.0% 0.0% -30.8% 50 29.5K -161 0.00 188.44 N/A N/A 0 0 0 0 2012-07-16 $8935.93 $11142.06 102.5% 29.4% 62.8% 0.0% 0.0% 0.0% -7.0% 443 15.3K -341 0.00 115.43 N/A N/A 0 0 0 0 2012-07-17 $8913.65 $11142.06 73.4% 21.0% 58.2% 0.0% 0.0% 0.0% 35.3% 474 18.0K -328 0.00 120.60 N/A N/A 0 0 0 0 2012-07-18 $9002.79 $11142.06 89.0% 25.5% 57.9% 0.0% 0.0% 0.0% 7.3% 481 36.4K -319 0.08 121.76 N/A N/A 0 0 0 0 2012-07-19 $8958.22 $11142.06 90.3% 25.9% 57.8% 0.0% 0.0% 0.0% 8.2% 543 16.0K -344 0.00 123.11 N/A N/A 0 0 0 0 2012-07-20 $8980.50 $11142.06 87.3% 25.0% 54.8% 0.0% 0.0% 0.0% -9.9% 591 17.4K -328 0.00 94.92 N/A N/A 0 0 0 0 2012-07-23 $8735.38 $11142.06 96.1% 27.5% 50.0% 0.0% 0.0% 0.0% 3.6% 485 -42.9K -346 0.00 122.20 N/A N/A 0 0 0 0 2012-07-24 $9025.07 $11142.06 115.8% 33.2% 43.7% 0.0% 0.0% 0.0% -56.1% 591 -46.4K -330 0.00 112.60 N/A N/A 0 0 0 0 2012-07-25 $9002.79 $11142.06 71.3% 20.4% 41.3% 0.0% 45.1% 0.0% 50.5% 531 -45.7K -352 0.00 105.75 N/A N/A 0 0 0 0 2012-07-26 $9136.49 $11142.06 81.7% 23.4% 40.7% 0.0% 0.0% 0.0% 31.4% 572 -47.4K -331 0.00 117.46 N/A N/A 0 0 0 0 2012-07-27 $9069.64 $11142.06 73.3% 21.0% 40.8% 0.0% 0.0% 0.0% 26.4% 657 -49.1K -330 0.00 119.36 N/A N/A 0 0 0 0 2012-07-30 $8913.65 $11142.06 84.6% 24.3% 41.2% 0.0% 0.0% 0.0% 9.7% 605 -43.7K -325 0.00 117.40 N/A N/A 0 0 0 0 2012-07-31 $8958.22 $11142.06 75.5% 21.6% 39.4% 0.0% 62.1% 0.0% 28.9% 584 -45.7K -318 0.00 101.30 N/A N/A 0 0 0 0
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