DSS Options History — December 2012

In December 2012, DSS traded between $4724.23 and $6039.00. ATM implied volatility averaged 102.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 48.9% (HV 20d: 53.6%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2012-12-31: Largest IV spike — 32.0% change
2012-12-12: Highest IV Rank — 39.2%
2012-12-24: Largest Expected Move — 32.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5290.25	$4724.23	$6039.00	$6039.00	$4835.65
Max Pain	$5571.03	$5571.03	$5571.03	$5571.03	$5571.03
ATM IV	102.4%	82.2%	120.3%	82.9%	108.5%
Expected Move	27.4%	8.1%	32.5%	23.8%	31.1%
HV 20d	53.6%	42.5%	62.0%	42.5%	54.7%
HV 60d	56.9%	53.5%	59.9%	56.7%	53.6%
IV Rank	32.3%	24.5%	39.2%	24.7%	34.7%
IV Percentile	44.0%	13.6%	72.9%	15.3%	54.0%
Term Structure	-8.7%	-30.6%	21.1%	21.1%	-30.6%
Bid-Ask Spread %	128.27	100.74	171.31	107.08	100.74
Gamma HHI	0.91	0.71	1.00	0.85	0.97
Net GEX	-321	-879	-196	-378	-196
Net DEX	29.5K	6.9K	59.1K	15.7K	23.2K
Net VEX	-146	-188	-112	-180	-123
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.38	0.38	0.00
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (20 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
2012-12-03	$6039.00	$5571.03	82.9%	23.8%	42.5%	24.7%	0.0%	0.0%	21.1%	-378	15.7K	-180	0.00	107.08	N/A	N/A
2012-12-04	$5994.43	$5571.03	98.6%	28.3%	42.6%	30.8%	0.0%	0.0%	-3.4%	-385	20.9K	-167	0.00	126.21	N/A	N/A
2012-12-05	$5793.87	$5571.03	91.2%	26.2%	43.9%	28.0%	0.0%	0.0%	0.0%	-604	13.5K	-155	0.00	170.73	N/A	N/A
2012-12-06	$5905.29	$5571.03	98.4%	28.2%	44.5%	30.8%	0.0%	0.0%	0.0%	-879	6.9K	-116	0.00	171.31	N/A	N/A
2012-12-07	$5793.87	$0.00	103.3%	8.1%	45.0%	32.7%	0.0%	0.0%	0.0%	-295	17.6K	-188	0.00	150.27	N/A	N/A
2012-12-10	$5125.35	$0.00	113.7%	26.4%	62.0%	36.7%	0.0%	0.0%	-13.0%	-316	16.8K	-137	0.38	124.63	N/A	N/A
2012-12-11	$4947.08	$0.00	118.0%	27.9%	58.7%	38.3%	0.0%	0.0%	2.5%	-234	38.1K	-143	0.00	130.68	N/A	N/A
2012-12-12	$5125.35	$0.00	120.3%	29.7%	61.1%	39.2%	0.0%	0.0%	-11.3%	-293	42.3K	-173	0.00	123.21	N/A	N/A
2012-12-13	$5281.34	$0.00	101.8%	29.2%	61.0%	32.1%	0.0%	0.0%	-7.9%	-313	39.8K	-178	0.00	126.96	N/A	N/A
2012-12-14	$5259.05	$0.00	103.6%	29.7%	59.8%	32.8%	0.0%	0.0%	-19.5%	-279	36.6K	-166	0.00	126.96	N/A	N/A
2012-12-17	$5392.76	$0.00	102.9%	29.5%	59.4%	32.5%	0.0%	0.0%	3.9%	-265	32.2K	-166	0.00	132.65	N/A	N/A
2012-12-18	$5303.62	$0.00	103.4%	29.7%	58.4%	32.7%	0.0%	0.0%	-15.3%	-258	31.6K	-164	0.00	129.89	N/A	N/A
2012-12-19	$5192.20	$0.00	107.7%	30.9%	56.0%	34.4%	0.0%	0.0%	-24.5%	-267	39.5K	-148	0.00	130.11	N/A	N/A
2012-12-20	$5080.78	$0.00	100.6%	28.9%	54.1%	31.6%	0.0%	0.0%	-3.4%	-228	56.7K	-132	0.00	131.95	N/A	N/A
2012-12-21	$5058.50	$0.00	97.6%	28.0%	54.0%	30.4%	0.0%	0.0%	-3.2%	-238	59.1K	-123	0.00	127.98	N/A	N/A
2012-12-24	$5058.50	$0.00	113.4%	32.5%	54.1%	36.6%	0.0%	0.0%	-27.7%	-276	27.2K	-121	0.00	133.31	N/A	N/A
2012-12-26	$4969.36	$0.00	113.1%	32.4%	54.1%	36.4%	0.0%	0.0%	-11.6%	-253	23.0K	-120	0.00	114.62	N/A	N/A
2012-12-27	$4924.79	$0.00	87.4%	25.1%	52.2%	26.5%	0.0%	0.0%	-4.3%	-236	25.2K	-116	0.00	104.75	N/A	N/A
2012-12-28	$4724.23	$0.00	82.2%	23.6%	53.3%	24.5%	0.0%	0.0%	0.5%	-217	25.1K	-112	0.00	101.40	N/A	N/A
2012-12-31	$4835.65	$0.00	108.5%	31.1%	54.7%	34.7%	0.0%	0.0%	-30.6%	-196	23.2K	-123	0.00	100.74	N/A	N/A