DSS Options History — November 2012

In November 2012, DSS traded between $5749.30 and $6328.69. ATM implied volatility averaged 105.3%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 27.3%. IV traded above realized volatility by 48.0% (HV 20d: 57.3%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2012-11-15: Largest IV drop — 48.4% change
2012-11-14: Highest IV Rank — 63.7%
2012-11-01: Largest Expected Move — 33.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6023.08	$5749.30	$6328.69	$5793.87	$6016.71
Max Pain	$6101.60	$5571.03	$11142.06	$11142.06	$5571.03
ATM IV	105.3%	72.8%	183.5%	116.8%	94.8%
Expected Move	27.3%	20.9%	33.5%	33.5%	27.2%
HV 20d	57.3%	43.5%	65.4%	56.6%	43.5%
HV 60d	61.1%	56.7%	62.9%	62.1%	56.7%
IV Rank	33.4%	20.8%	63.7%	37.9%	29.4%
IV Percentile	40.4%	7.8%	96.7%	62.3%	32.8%
Term Structure	-1.7%	-37.8%	46.3%	-9.5%	-9.8%
VWIV	88.9%	65.7%	100.4%	100.4%	65.7%
Bid-Ask Spread %	105.62	69.44	149.83	112.05	75.11
Gamma HHI	0.70	0.48	0.99	0.48	0.84
Net GEX	-219	-766	35	35	-296
Net DEX	10.5K	-16.0K	24.4K	10.8K	16.4K
Net VEX	-210	-277	-130	-277	-194
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	5.45	5.45	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
2012-11-01	$5793.87	$11142.06	116.8%	33.5%	56.6%	37.9%	0.0%	0.0%	-9.5%	35	10.8K	-277	5.45	112.05	N/A	N/A
2012-11-02	$5949.86	$11142.06	109.5%	31.4%	59.3%	35.1%	0.0%	0.0%	-10.3%	-73	17.0K	-255	0.00	94.92	N/A	N/A
2012-11-05	$5949.86	$5571.03	85.2%	24.3%	59.3%	25.6%	0.0%	0.0%	15.9%	-122	15.2K	-250	0.00	104.73	N/A	N/A
2012-11-06	$6039.00	$5571.03	109.0%	31.6%	60.0%	34.9%	100.4%	0.0%	-11.3%	21	13.0K	-272	0.21	78.56	N/A	N/A
2012-11-07	$6039.00	$5571.03	106.7%	30.1%	60.3%	34.0%	0.0%	0.0%	-6.4%	-13	12.2K	-277	0.00	84.08	N/A	N/A
2012-11-08	$5994.43	$5571.03	105.5%	29.6%	60.1%	33.5%	0.0%	0.0%	-30.0%	-232	-11.5K	-135	0.00	69.44	N/A	N/A
2012-11-09	$6016.71	$5571.03	102.8%	29.0%	59.8%	32.5%	0.0%	0.0%	-13.2%	-170	17.7K	-252	0.00	109.83	N/A	N/A
2012-11-12	$6328.69	$5571.03	151.4%	28.8%	64.2%	51.3%	0.0%	0.0%	-10.2%	-237	-14.2K	-144	0.00	101.69	N/A	N/A
2012-11-13	$6261.84	$5571.03	172.1%	24.6%	64.2%	59.3%	0.0%	0.0%	-5.2%	-254	-16.0K	-141	0.00	127.31	N/A	N/A
2012-11-14	$5972.14	$5571.03	183.5%	32.9%	65.4%	63.7%	0.0%	0.0%	-37.8%	-123	14.0K	-249	0.00	92.48	N/A	N/A
2012-11-15	$5749.30	$5571.03	94.7%	27.2%	60.2%	29.3%	98.8%	0.0%	0.5%	-186	17.9K	-222	0.50	93.53	N/A	N/A
2012-11-16	$5927.58	$5571.03	90.6%	26.0%	62.0%	27.7%	91.0%	0.0%	2.3%	-213	17.2K	-230	0.00	148.07	N/A	N/A
2012-11-19	$6083.57	$5571.03	91.2%	26.1%	63.1%	28.0%	0.0%	0.0%	-15.2%	-276	17.8K	-222	0.00	108.32	N/A	N/A
2012-11-20	$6328.69	$5571.03	85.5%	24.5%	54.0%	25.7%	0.0%	0.0%	16.2%	-255	-12.0K	-130	0.00	141.15	N/A	N/A
2012-11-21	$6016.71	$5571.03	93.4%	26.8%	52.8%	28.8%	0.0%	0.0%	7.8%	-243	16.3K	-219	0.00	149.83	N/A	N/A
2012-11-23	$6016.71	$5571.03	91.6%	26.3%	52.0%	28.1%	0.0%	0.0%	1.7%	-286	16.3K	-192	0.00	89.42	N/A	N/A
2012-11-26	$5994.43	$5571.03	97.0%	27.8%	51.8%	30.2%	0.0%	0.0%	2.6%	-277	15.2K	-209	0.00	89.50	N/A	N/A
2012-11-27	$5905.29	$5571.03	72.8%	20.9%	51.9%	20.8%	0.0%	0.0%	0.2%	-766	24.4K	-154	0.00	140.71	N/A	N/A
2012-11-28	$6083.57	$5571.03	80.8%	23.2%	53.0%	23.9%	0.0%	0.0%	46.3%	-271	17.7K	-195	0.00	117.05	N/A	N/A
2012-11-29	$6016.71	$5571.03	75.7%	21.7%	49.9%	21.9%	65.7%	0.0%	30.3%	-355	14.2K	-193	0.00	90.26	N/A	N/A
2012-11-30	$6016.71	$5571.03	94.8%	27.2%	43.5%	29.4%	0.0%	0.0%	-9.8%	-296	16.4K	-194	0.00	75.11	N/A	N/A