DSS Options History — September 2012 In September 2012, DSS traded between $8401.11 and $9493.04. ATM implied volatility averaged 115.6%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 33.2%. IV traded above realized volatility by 50.5% (HV 20d: 65.2%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.20.
Notable Days 2012-09-06 : Largest IV drop — 43.8% change2012-09-04 : Highest IV Rank — 100.0%2012-09-04 : Largest Expected Move — 79.4%Monthly Statistics Metric Avg Min Max Open Close Price $8867.91 $8401.11 $9493.04 $8467.97 $9270.19 Max Pain $10262.42 $5571.03 $11142.06 $5571.03 $11142.06 ATM IV 115.6% 82.2% 277.1% 277.1% 112.9% Expected Move 33.2% 23.6% 79.4% 79.4% 32.4% HV 20d 65.2% 63.1% 69.1% 63.6% 64.2% HV 60d 54.1% 50.3% 59.1% 59.1% 54.6% IV Rank 37.4% 24.5% 100.0% 100.0% 36.4% IV Percentile 48.2% 17.2% 100.0% 100.0% 56.2% Term Structure -9.3% -62.6% 43.6% -62.6% 5.6% VWIV 117.7% 89.2% 134.6% 89.2% 134.6% Bid-Ask Spread % 104.40 76.49 179.87 179.87 95.53 Gamma HHI 0.74 0.47 1.00 1.00 0.82 Net GEX 2.5K 0 5.0K 0 5.0K Net DEX -100.6K -178.5K -17.7K -17.9K -151.8K Net VEX -438 -664 0 0 -631 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.00 1.67 0.00 0.00 Total Volume 0 0 0 0 0 Total OI 1 1 1 1 1
Daily Data (19 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 2012-09-04 $8467.97 $5571.03 277.1% 79.4% 63.6% 100.0% 0.0% 0.0% -62.6% 0 -17.9K 0 0.00 179.87 N/A N/A 0 0 1 0 2012-09-05 $8401.11 $5571.03 170.4% 48.8% 63.1% 58.6% 0.0% 0.0% -19.8% 0 -17.7K 0 0.00 166.63 N/A N/A 0 0 1 0 2012-09-06 $8913.65 $5571.03 95.7% 27.4% 64.4% 29.7% 0.0% 0.0% 32.0% 1.2K -75.8K -351 0.00 118.86 N/A N/A 0 0 1 0 2012-09-07 $9069.64 $11142.06 88.5% 29.7% 64.6% 26.9% 0.0% 0.0% -18.4% 1.7K -85.0K -372 0.00 96.66 N/A N/A 0 0 1 0 2012-09-10 $8935.93 $11142.06 97.3% 24.0% 64.6% 30.3% 89.2% 0.0% 9.1% 1.8K -84.5K -399 0.00 101.46 N/A N/A 0 0 1 0 2012-09-11 $9247.91 $11142.06 100.7% 26.4% 65.5% 31.7% 102.3% 0.0% -5.8% 2.1K -97.1K -420 0.16 95.19 N/A N/A 0 0 1 0 2012-09-12 $9314.76 $11142.06 92.2% 29.9% 63.4% 28.3% 0.0% 0.0% -11.7% 2.2K -106.3K -454 0.00 89.38 N/A N/A 0 0 1 0 2012-09-13 $8735.38 $11142.06 106.9% 30.6% 67.0% 34.0% 122.5% 0.0% -26.1% 1.7K -84.5K -409 0.00 90.51 N/A N/A 0 0 1 0 2012-09-14 $8601.67 $11142.06 106.8% 30.6% 63.7% 34.0% 122.2% 0.0% -20.2% 3.1K -137.3K -584 0.00 93.05 N/A N/A 0 0 1 0 2012-09-17 $8534.82 $11142.06 106.0% 30.4% 63.5% 33.7% 0.0% 0.0% -16.2% 3.3K -136.3K -570 0.00 97.42 N/A N/A 0 0 1 0 2012-09-18 $8512.53 $11142.06 82.2% 23.6% 63.5% 24.5% 0.0% 0.0% 32.1% 3.3K -84.9K -440 0.00 120.94 N/A N/A 0 0 1 0 2012-09-19 $8869.08 $11142.06 104.4% 29.9% 65.3% 33.1% 116.2% 0.0% -27.4% 3.6K -133.9K -539 0.00 76.49 N/A N/A 0 0 1 0 2012-09-20 $8958.22 $11142.06 98.0% 28.1% 65.2% 30.6% 0.0% 0.0% -20.1% 3.9K -139.7K -562 0.00 98.36 N/A N/A 0 0 1 0 2012-09-21 $9493.04 $11142.06 109.5% 31.4% 67.0% 35.1% 121.0% 0.0% -23.4% 4.1K -178.5K -602 0.00 90.83 N/A N/A 0 0 1 0 2012-09-24 $8958.22 $11142.06 105.8% 30.3% 69.1% 33.6% 121.2% 0.0% 43.6% 4.8K -166.0K -664 1.67 93.39 N/A N/A 0 0 1 0 2012-09-25 $8958.22 $11142.06 103.6% 29.7% 66.4% 32.8% 0.0% 0.0% -19.9% 4.6K -137.4K -616 1.00 92.40 N/A N/A 0 0 1 0 2012-09-26 $8579.39 $11142.06 117.0% 33.5% 67.9% 38.0% 130.2% 0.0% -12.7% 672 -40.5K -372 0.00 92.77 N/A N/A 0 0 1 0 2012-09-27 $8668.52 $11142.06 121.6% 34.9% 65.9% 39.7% 134.6% 0.0% -15.2% 686 -35.5K -346 0.00 93.75 N/A N/A 0 0 1 0 2012-09-28 $9270.19 $11142.06 112.9% 32.4% 64.2% 36.4% 0.0% 0.0% 5.6% 5.0K -151.8K -631 0.00 95.53 N/A N/A 0 0 1 0
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