DSS Options History — January 2013

In January 2013, DSS traded between $5147.63 and $6395.54. ATM implied volatility averaged 96.0%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 24.6% (HV 20d: 71.4%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.01.

Notable Days

2013-01-10: Largest IV spike — 225.1% change
2013-01-07: Highest IV Rank — 39.3%
2013-01-02: Largest Expected Move — 32.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5660.17	$5147.63	$6395.54	$5593.31	$5348.19
Max Pain	$5571.03	$5571.03	$5571.03	$5571.03	$5571.03
ATM IV	96.0%	24.5%	120.6%	111.6%	102.5%
Expected Move	26.9%	7.0%	32.0%	32.0%	29.4%
HV 20d	71.4%	48.0%	81.8%	77.9%	48.0%
HV 60d	61.8%	57.4%	65.1%	62.4%	57.4%
IV Rank	29.8%	2.1%	39.3%	35.9%	32.3%
IV Percentile	38.0%	3.2%	74.9%	60.6%	44.9%
Term Structure	-13.0%	-44.5%	19.0%	-23.8%	-11.0%
VWIV	96.6%	96.6%	96.6%	96.6%	96.6%
Bid-Ask Spread %	113.52	88.30	181.57	96.95	107.68
Gamma HHI	0.74	0.53	1.00	0.94	0.73
Net GEX	-4	-271	102	-271	73
Net DEX	5.8K	-17.0K	22.1K	22.1K	9.4K
Net VEX	-153	-189	-4	-137	-152
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.06	0.00	0.06
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
2013-01-02	$5593.31	$0.00	111.6%	32.0%	77.9%	35.9%	0.0%	0.0%	-23.8%	-271	22.1K	-137	0.00	96.95	N/A	N/A
2013-01-03	$5415.04	$0.00	108.8%	31.2%	78.6%	34.8%	0.0%	0.0%	-10.4%	-135	13.9K	-157	0.00	99.12	N/A	N/A
2013-01-04	$5660.17	$5571.03	99.8%	26.2%	79.7%	31.3%	0.0%	0.0%	8.2%	-157	15.5K	-154	0.00	101.21	N/A	N/A
2013-01-07	$5905.29	$5571.03	120.6%	26.7%	80.9%	39.3%	0.0%	0.0%	6.5%	-211	12.9K	-155	0.00	88.30	N/A	N/A
2013-01-08	$6150.42	$5571.03	99.2%	26.1%	81.8%	31.1%	0.0%	0.0%	-5.9%	102	-4.0K	-83	0.00	108.42	N/A	N/A
2013-01-09	$6328.69	$5571.03	24.5%	7.0%	67.3%	2.1%	0.0%	0.0%	0.0%	98	-17.0K	-4	0.00	181.57	N/A	N/A
2013-01-10	$6395.54	$5571.03	79.7%	22.9%	65.1%	23.5%	0.0%	0.0%	19.0%	-183	-817	-166	0.00	105.72	N/A	N/A
2013-01-11	$6128.13	$5571.03	84.7%	24.3%	67.4%	25.4%	0.0%	0.0%	5.1%	-92	3.4K	-177	0.06	105.33	N/A	N/A
2013-01-14	$6016.71	$5571.03	93.5%	26.8%	67.6%	28.9%	0.0%	0.0%	-12.1%	48	-2.2K	-187	0.00	100.91	N/A	N/A
2013-01-15	$5927.58	$5571.03	109.6%	31.4%	67.9%	35.1%	0.0%	0.0%	-33.4%	36	-3.0K	-189	0.00	119.33	N/A	N/A
2013-01-16	$5571.03	$5571.03	104.5%	29.9%	71.6%	33.1%	0.0%	0.0%	-28.6%	44	1.2K	-180	0.00	130.50	N/A	N/A
2013-01-17	$5437.33	$5571.03	92.1%	26.4%	71.9%	28.3%	0.0%	0.0%	-11.8%	44	5.2K	-175	0.00	127.91	N/A	N/A
2013-01-18	$5571.03	$5571.03	103.3%	29.6%	71.8%	32.6%	0.0%	0.0%	-5.4%	54	4.4K	-176	0.00	129.26	N/A	N/A
2013-01-22	$5526.46	$5571.03	96.7%	27.7%	71.4%	30.1%	96.6%	0.0%	-10.1%	64	5.3K	-169	0.00	97.93	N/A	N/A
2013-01-23	$5526.46	$5571.03	88.4%	25.3%	71.3%	26.9%	0.0%	0.0%	-6.5%	74	7.3K	-166	0.00	103.93	N/A	N/A
2013-01-24	$5481.89	$5571.03	101.2%	29.0%	71.4%	31.8%	0.0%	0.0%	-9.7%	59	5.9K	-167	0.00	104.74	N/A	N/A
2013-01-25	$5281.34	$5571.03	98.6%	28.3%	72.5%	30.8%	0.0%	0.0%	-44.5%	54	10.0K	-158	0.00	111.96	N/A	N/A
2013-01-28	$5147.63	$5571.03	102.2%	29.3%	73.1%	32.2%	0.0%	0.0%	-22.1%	66	10.1K	-153	0.00	115.67	N/A	N/A
2013-01-29	$5192.20	$5571.03	98.8%	28.3%	71.3%	30.9%	0.0%	0.0%	-32.5%	72	10.4K	-152	0.00	119.52	N/A	N/A
2013-01-30	$5259.05	$5571.03	95.3%	27.3%	71.0%	29.5%	0.0%	0.0%	-31.1%	75	12.4K	-148	0.00	127.86	N/A	N/A
2013-01-31	$5348.19	$5571.03	102.5%	29.4%	48.0%	32.3%	0.0%	0.0%	-11.0%	73	9.4K	-152	0.00	107.68	N/A	N/A