DSS Options History — October 2012 In October 2012, DSS traded between $6194.99 and $9626.74. ATM implied volatility averaged 108.0%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 29.8%. IV traded above realized volatility by 48.5% (HV 20d: 59.5%). Max pain ranged from $11142.06 to $11142.06. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.74.
Notable Days 2012-10-10 : Largest IV spike — 58.9% change2012-10-10 : Highest IV Rank — 64.7%2012-10-01 : Largest Expected Move — 38.0%Monthly Statistics Metric Avg Min Max Open Close Price $7738.96 $6194.99 $9626.74 $9626.74 $6194.99 Max Pain $11142.06 $11142.06 $11142.06 $11142.06 $11142.06 ATM IV 108.0% 71.7% 185.9% 132.5% 110.7% Expected Move 29.8% 20.6% 38.0% 38.0% 34.3% HV 20d 59.5% 54.2% 66.0% 58.9% 54.6% HV 60d 56.8% 54.0% 61.2% 55.1% 61.0% IV Rank 34.5% 20.4% 64.7% 44.0% 35.5% IV Percentile 46.5% 7.6% 97.5% 78.6% 54.6% Term Structure -15.0% -114.9% 24.0% -13.8% -24.3% VWIV 131.9% 129.5% 134.2% 134.2% 129.5% Bid-Ask Spread % 122.58 96.89 179.93 96.89 178.24 Gamma HHI 0.57 0.48 0.85 0.81 0.49 Net GEX 860 -270 5.4K 5.4K 163 Net DEX -40.5K -178.3K 1.4K -178.3K -2.2K Net VEX -333 -638 -120 -638 -300 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.00 15.00 0.00 0.00 Total Volume 0 0 0 0 0 Total OI 0.714 0 1 1 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 2012-10-01 $9626.74 $11142.06 132.5% 38.0% 58.9% 44.0% 134.2% 0.0% -13.8% 5.4K -178.3K -638 0.00 96.89 N/A N/A 0 0 1 0 2012-10-02 $9247.91 $11142.06 116.9% 33.5% 60.3% 37.9% 129.5% 0.0% -1.0% 795 -47.6K -366 0.00 98.26 N/A N/A 0 0 1 0 2012-10-03 $9025.07 $11142.06 90.6% 26.0% 61.0% 27.7% 0.0% 0.0% 13.0% 734 -35.4K -292 0.00 117.35 N/A N/A 0 0 1 0 2012-10-04 $9025.07 $11142.06 112.8% 32.3% 57.3% 36.3% 0.0% 0.0% -9.5% 5.4K -139.6K -586 0.00 107.53 N/A N/A 0 0 1 0 2012-10-05 $8646.24 $11142.06 91.9% 29.5% 59.0% 28.2% 0.0% 0.0% -1.8% 749 -41.5K -354 0.00 113.57 N/A N/A 0 0 1 0 2012-10-08 $8490.25 $11142.06 110.2% 28.8% 59.1% 35.3% 0.0% 0.0% -15.2% 746 -30.1K -311 0.09 102.71 N/A N/A 0 0 1 0 2012-10-09 $8222.84 $11142.06 117.0% 31.0% 58.3% 37.9% 0.0% 0.0% -10.3% 783 -40.6K -317 0.00 110.28 N/A N/A 0 0 1 0 2012-10-10 $8311.98 $11142.06 185.9% 27.3% 58.4% 64.7% 0.0% 0.0% -28.2% 897 -70.7K -367 1.82 115.93 N/A N/A 0 0 1 0 2012-10-11 $8267.41 $11142.06 110.0% 31.5% 54.2% 35.2% 0.0% 0.0% -18.3% 730 -54.6K -439 0.00 119.66 N/A N/A 0 0 1 0 2012-10-12 $8111.42 $11142.06 98.6% 28.3% 54.3% 30.8% 0.0% 0.0% -25.2% 697 -49.6K -417 0.00 122.38 N/A N/A 0 0 1 0 2012-10-15 $7977.72 $11142.06 101.9% 29.2% 54.5% 32.1% 0.0% 0.0% -33.4% 647 -45.0K -401 0.00 113.95 N/A N/A 0 0 1 0 2012-10-16 $7309.19 $11142.06 110.2% 31.6% 62.1% 35.3% 0.0% 0.0% -25.0% 484 -33.7K -386 0.00 118.50 N/A N/A 0 0 1 0 2012-10-17 $7175.49 $11142.06 84.2% 24.1% 59.5% 25.3% 0.0% 0.0% 1.1% -193 -22.0K -120 15.00 119.82 N/A N/A 0 0 1 0 2012-10-18 $7041.78 $11142.06 92.9% 26.6% 59.0% 28.6% 0.0% 0.0% -0.6% 283 -16.8K -330 0.00 125.98 N/A N/A 0 0 1 0 2012-10-19 $6350.97 $11142.06 120.0% 34.4% 61.4% 39.1% 0.0% 0.0% -13.1% 108 -2.8K -302 0.00 113.66 N/A N/A 0 0 1 0 2012-10-22 $6707.52 $11142.06 87.9% 0.0% 65.0% 26.7% 0.0% 0.0% -114.9% -233 -12.5K -134 0.00 179.93 N/A N/A 0 0 0 0 2012-10-23 $6841.23 $11142.06 71.7% 20.6% 66.0% 20.4% 0.0% 0.0% 24.0% -245 -14.3K -150 4.00 103.17 N/A N/A 0 0 0 0 2012-10-24 $6729.81 $11142.06 99.0% 0.0% 65.1% 31.0% 0.0% 0.0% -4.5% -270 -11.0K -137 0.00 179.47 N/A N/A 0 0 0 0 2012-10-25 $6685.24 $11142.06 103.9% 29.8% 64.6% 32.9% 0.0% 0.0% -29.0% 115 1.4K -302 0.00 105.49 N/A N/A 0 0 0 0 2012-10-26 $6529.25 $11142.06 119.7% 34.3% 57.3% 39.0% 0.0% 0.0% 14.3% 204 -4.0K -334 0.00 131.37 N/A N/A 0 0 0 0 2012-10-31 $6194.99 $11142.06 110.7% 0.0% 54.6% 35.5% 0.0% 0.0% -24.3% 163 -2.2K -300 0.00 178.24 N/A N/A 0 0 0 0
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