DSS Options History — August 2012

In August 2012, DSS traded between $8089.14 and $9448.47. ATM implied volatility averaged 112.3%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 68.1% (HV 20d: 44.2%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.12.

Notable Days

2012-08-31: Largest IV drop — 100.0% change
2012-08-30: Highest IV Rank — 66.8%
2012-08-30: Largest Expected Move — 40.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8692.75	$8089.14	$9448.47	$9403.90	$8155.99
Max Pain	$6297.69	$5571.03	$11142.06	$11142.06	$5571.03
ATM IV	112.3%	78.3%	179.7%	78.3%	139.8%
Expected Move	29.0%	21.9%	40.1%	22.4%	40.1%
HV 20d	44.2%	35.1%	62.2%	42.6%	62.2%
HV 60d	77.1%	60.6%	84.5%	83.4%	64.0%
IV Rank	50.1%	36.4%	66.8%	37.3%	66.8%
IV Percentile	50.4%	22.0%	85.1%	23.8%	85.1%
Term Structure	-10.9%	-56.4%	35.2%	35.2%	-48.1%
VWIV	100.0%	62.8%	122.1%	91.4%	109.4%
Bid-Ask Spread %	110.19	90.93	176.92	105.33	176.92
Gamma HHI	0.67	0.41	0.79	0.50	0.57
Net GEX	2.0K	-61	3.9K	654	849
Net DEX	-89.4K	-146.3K	-28.0K	-56.5K	-70.9K
Net VEX	-474	-674	-167	-304	-364
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	1.39	0.00	0.00
Total Volume	0	0	0	0	0
Total OI	0.435	0	1	0	1

Daily Data (23 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 OI
2012-08-01	$9403.90	$11142.06	78.3%	22.4%	42.6%	0.0%	0.0%	0.0%	35.2%	654	-56.5K	-304	0.00	105.33	N/A	N/A	0
2012-08-02	$9448.47	$11142.06	100.1%	28.7%	41.7%	0.0%	0.0%	0.0%	7.1%	1.3K	-93.4K	-459	0.00	122.75	N/A	N/A	0
2012-08-03	$9270.19	$11142.06	90.6%	26.0%	42.2%	0.0%	0.0%	0.0%	19.3%	1.2K	-75.9K	-388	0.00	122.94	N/A	N/A	0
2012-08-06	$9025.07	$5571.03	98.7%	27.8%	42.9%	0.0%	0.0%	0.0%	-14.0%	1.3K	-71.9K	-404	0.00	95.80	N/A	N/A	0
2012-08-07	$8802.23	$5571.03	114.6%	24.1%	35.9%	0.0%	91.4%	0.0%	0.0%	1.2K	-60.0K	-385	0.00	109.05	N/A	N/A	0
2012-08-08	$8401.11	$5571.03	119.0%	28.7%	40.0%	0.0%	111.8%	0.0%	-18.4%	1.6K	-84.3K	-484	0.00	97.22	N/A	N/A	0
2012-08-09	$8490.25	$5571.03	144.0%	21.9%	40.0%	0.0%	62.8%	0.0%	34.3%	1.9K	-75.7K	-462	1.39	117.68	N/A	N/A	0
2012-08-10	$8646.24	$5571.03	137.7%	26.2%	36.8%	0.0%	0.0%	0.0%	-12.0%	1.9K	-83.2K	-513	0.00	90.93	N/A	N/A	0
2012-08-13	$8557.10	$5571.03	179.7%	28.7%	35.1%	0.0%	0.0%	0.0%	-22.5%	1.8K	-87.2K	-512	0.00	98.24	N/A	N/A	0
2012-08-14	$8222.84	$5571.03	124.8%	35.8%	37.6%	0.0%	89.1%	0.0%	-56.4%	1.8K	-55.5K	-434	0.00	98.94	N/A	N/A	0
2012-08-15	$8534.82	$5571.03	110.5%	31.7%	40.1%	0.0%	0.0%	0.0%	-19.4%	2.7K	-120.0K	-611	0.00	114.09	N/A	N/A	0
2012-08-16	$9047.35	$5571.03	90.8%	26.0%	45.5%	0.0%	0.0%	0.0%	-12.7%	3.0K	-134.0K	-623	0.00	110.40	N/A	N/A	0
2012-08-17	$8913.65	$5571.03	93.5%	26.8%	45.8%	0.0%	0.0%	0.0%	-4.4%	3.1K	-120.4K	-586	0.00	104.80	N/A	N/A	0
2012-08-20	$8913.65	$5571.03	86.5%	24.8%	44.7%	37.3%	0.0%	0.0%	11.7%	3.5K	-116.1K	-571	0.00	98.30	N/A	N/A	1
2012-08-21	$8824.51	$5571.03	84.9%	24.3%	43.2%	36.4%	0.0%	0.0%	1.3%	3.5K	-111.6K	-578	0.00	93.27	N/A	N/A	1
2012-08-22	$8735.38	$5571.03	104.9%	30.1%	43.3%	47.5%	113.7%	0.0%	-16.1%	2.9K	-134.0K	-609	0.00	105.48	N/A	N/A	1
2012-08-23	$8467.97	$5571.03	106.9%	30.6%	44.1%	48.6%	0.0%	0.0%	-13.1%	3.5K	-138.8K	-674	0.00	103.79	N/A	N/A	1
2012-08-24	$8155.99	$5571.03	117.9%	33.8%	45.7%	54.7%	0.0%	0.0%	-35.4%	2.9K	-76.7K	-495	0.00	108.98	N/A	N/A	1
2012-08-27	$8623.96	$5571.03	110.3%	31.6%	50.3%	50.5%	122.1%	0.0%	-13.1%	781	-55.5K	-297	0.00	99.45	N/A	N/A	1
2012-08-28	$8445.68	$5571.03	104.5%	30.0%	50.7%	47.3%	109.4%	0.0%	3.1%	3.9K	-146.3K	-649	0.00	96.43	N/A	N/A	1
2012-08-29	$8089.14	$5571.03	131.6%	37.7%	48.7%	62.3%	0.0%	0.0%	-41.3%	811	-59.7K	-322	0.00	110.85	N/A	N/A	1
2012-08-30	$8757.66	$5571.03	139.8%	40.1%	57.6%	66.8%	0.0%	0.0%	-35.2%	-61	-28.0K	-167	0.00	152.62	N/A	N/A	1
2012-08-31	$8155.99	$5571.03	0.0%	0.0%	62.2%	0.0%	0.0%	0.0%	-48.1%	849	-70.9K	-364	0.00	176.92	N/A	N/A	1