DSS Options History — February 2013 In February 2013, DSS traded between $4947.08 and $5303.62. ATM implied volatility averaged 112.4%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 31.6%. IV traded above realized volatility by 80.0% (HV 20d: 32.4%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 6.25.
Notable Days 2013-02-22 : Largest IV spike — 37.0% change2013-02-22 : Highest IV Rank — 47.6%2013-02-22 : Largest Expected Move — 40.7%Monthly Statistics Metric Avg Min Max Open Close Price $5131.21 $4947.08 $5303.62 $5303.62 $5013.93 Max Pain $5571.03 $5571.03 $5571.03 $5571.03 $5571.03 ATM IV 112.4% 94.9% 141.9% 114.4% 115.3% Expected Move 31.6% 27.0% 40.7% 27.0% 33.1% HV 20d 32.4% 25.0% 46.8% 46.8% 29.7% HV 60d 55.6% 53.4% 57.6% 57.4% 54.5% IV Rank 36.2% 29.4% 47.6% 36.9% 37.3% IV Percentile 61.0% 30.1% 90.0% 66.7% 68.9% Term Structure -20.0% -50.6% 2.5% -8.3% -34.4% Bid-Ask Spread % 90.09 78.73 112.78 110.91 79.10 Gamma HHI 0.81 0.67 0.96 0.76 0.79 Net GEX -24 -148 112 64 -136 Net DEX 17.3K 7.7K 26.4K 7.7K 25.1K Net VEX -158 -196 -125 -153 -169 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.25 6.25 6.25 6.25 6.25 Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
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 2013-02-01 $5303.62 $5571.03 114.4% 27.0% 46.8% 36.9% 0.0% 0.0% -8.3% 64 7.7K -153 0.00 110.91 N/A N/A 0 0 0 0 2013-02-04 $5303.62 $5571.03 113.3% 27.8% 43.6% 36.5% 0.0% 0.0% -0.2% 71 8.4K -145 0.00 94.44 N/A N/A 0 0 0 0 2013-02-05 $5192.20 $5571.03 118.4% 33.9% 40.5% 38.5% 0.0% 0.0% -10.0% 47 9.6K -145 0.00 112.78 N/A N/A 0 0 0 0 2013-02-06 $5080.78 $5571.03 107.8% 29.3% 36.8% 34.4% 0.0% 0.0% -3.9% 73 12.5K -137 0.00 104.45 N/A N/A 0 0 0 0 2013-02-07 $5147.63 $5571.03 100.3% 28.7% 35.0% 31.5% 0.0% 0.0% -8.6% 81 14.6K -134 0.00 88.48 N/A N/A 0 0 0 0 2013-02-08 $5125.35 $5571.03 107.0% 30.7% 34.2% 34.1% 0.0% 0.0% -17.7% 64 10.7K -138 0.00 93.13 N/A N/A 0 0 0 0 2013-02-11 $5013.93 $5571.03 132.5% 38.0% 32.4% 44.0% 0.0% 0.0% -45.8% 77 11.5K -130 0.00 84.35 N/A N/A 0 0 0 0 2013-02-12 $5103.06 $5571.03 101.6% 29.1% 33.7% 32.0% 0.0% 0.0% -7.7% 91 13.1K -131 0.00 79.81 N/A N/A 0 0 0 0 2013-02-13 $5125.35 $5571.03 103.0% 29.5% 33.9% 32.6% 0.0% 0.0% -16.4% 112 14.3K -127 0.00 80.53 N/A N/A 0 0 0 0 2013-02-14 $5192.20 $5571.03 105.4% 30.2% 27.7% 33.5% 0.0% 0.0% -34.9% 106 11.9K -125 6.25 96.79 N/A N/A 0 0 0 0 2013-02-15 $5214.48 $5571.03 111.1% 31.9% 26.7% 35.7% 0.0% 0.0% -28.8% -143 24.1K -196 0.00 89.21 N/A N/A 0 0 0 0 2013-02-19 $5147.63 $5571.03 115.9% 33.2% 25.1% 37.5% 0.0% 0.0% -10.5% -123 21.5K -192 0.00 88.65 N/A N/A 0 0 0 0 2013-02-20 $5125.35 $5571.03 94.9% 27.2% 25.0% 29.4% 0.0% 0.0% 2.5% -126 17.2K -191 0.00 98.04 N/A N/A 0 0 0 0 2013-02-21 $5169.92 $5571.03 103.6% 29.7% 25.4% 32.8% 0.0% 0.0% -12.7% -148 25.8K -185 0.00 79.83 N/A N/A 0 0 0 0 2013-02-22 $4947.08 $5571.03 141.9% 40.7% 29.2% 47.6% 0.0% 0.0% -50.6% -141 22.4K -179 0.00 91.99 N/A N/A 0 0 0 0 2013-02-25 $5147.63 $5571.03 111.2% 31.9% 30.7% 35.7% 0.0% 0.0% -22.3% -135 25.6K -179 0.00 80.98 N/A N/A 0 0 0 0 2013-02-26 $5125.35 $5571.03 115.3% 33.0% 29.4% 37.3% 0.0% 0.0% -35.0% -145 26.4K -174 0.00 78.73 N/A N/A 0 0 0 0 2013-02-27 $5013.93 $5571.03 122.5% 35.1% 30.1% 40.1% 0.0% 0.0% -34.3% -141 25.5K -171 0.00 79.46 N/A N/A 0 0 0 0 2013-02-28 $5013.93 $5571.03 115.3% 33.1% 29.7% 37.3% 0.0% 0.0% -34.4% -136 25.1K -169 0.00 79.10 N/A N/A 0 0 0 0
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