DSS Options History — March 2013

In March 2013, DSS traded between $4612.81 and $5571.03. ATM implied volatility averaged 110.0%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 28.6%. IV traded above realized volatility by 64.0% (HV 20d: 45.9%). 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 10 of 20 days. Put/call ratio averaged 2.74.

Notable Days

2013-03-11: Largest IV spike — 80.6% change
2013-03-05: Highest IV Rank — 51.8%
2013-03-01: Largest Expected Move — 37.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5022.84	$4612.81	$5571.03	$5504.18	$5058.50
Max Pain	$5571.03	$5571.03	$5571.03	$5571.03	$5571.03
ATM IV	110.0%	77.7%	153.5%	129.7%	109.5%
Expected Move	28.6%	22.3%	37.2%	37.2%	31.4%
HV 20d	45.9%	43.9%	48.9%	44.8%	47.6%
HV 60d	53.0%	50.7%	58.0%	57.9%	51.5%
IV Rank	34.9%	22.3%	51.8%	42.9%	34.7%
IV Percentile	52.7%	7.2%	93.6%	84.1%	56.6%
Term Structure	-5.0%	-42.3%	24.6%	-42.3%	-27.9%
VWIV	98.6%	98.6%	98.6%	98.6%	98.6%
Bid-Ask Spread %	112.84	95.31	141.63	95.31	141.63
Gamma HHI	0.89	0.72	0.98	0.82	0.92
Net GEX	-436	-574	-121	-169	-506
Net DEX	43.0K	15.6K	77.2K	23.3K	35.0K
Net VEX	-224	-276	-176	-177	-242
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	0.00	10.71	3.00	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
2013-03-01	$5504.18	$5571.03	129.7%	37.2%	44.8%	42.9%	0.0%	0.0%	-42.3%	-169	23.3K	-177	0.00	95.31	N/A	N/A
2013-03-04	$5571.03	$0.00	115.4%	28.3%	44.8%	37.4%	98.6%	0.0%	2.0%	-171	15.6K	-176	3.00	100.31	N/A	N/A
2013-03-05	$5481.89	$5571.03	153.5%	28.7%	45.3%	51.8%	0.0%	0.0%	10.6%	-121	18.1K	-176	0.00	123.12	N/A	N/A
2013-03-06	$5415.04	$5571.03	115.5%	27.0%	44.8%	37.0%	0.0%	0.0%	10.8%	-141	22.7K	-186	10.71	108.20	N/A	N/A
2013-03-07	$5236.77	$5571.03	105.6%	27.7%	45.8%	33.1%	0.0%	0.0%	7.0%	-384	40.7K	-246	0.00	97.41	N/A	N/A
2013-03-08	$5214.48	$5571.03	84.5%	26.6%	45.6%	24.9%	0.0%	0.0%	7.7%	-505	52.8K	-259	0.00	99.12	N/A	N/A
2013-03-11	$5103.06	$5571.03	152.5%	26.0%	46.3%	51.4%	0.0%	0.0%	0.8%	-525	46.2K	-276	0.00	113.89	N/A	N/A
2013-03-12	$5058.50	$5571.03	135.6%	24.1%	45.7%	44.8%	0.0%	0.0%	22.0%	-450	70.7K	-255	0.00	122.32	N/A	N/A
2013-03-13	$5036.21	$5571.03	117.6%	33.7%	45.3%	37.8%	0.0%	0.0%	-31.5%	-556	70.8K	-251	0.00	106.97	N/A	N/A
2013-03-14	$4969.36	$5571.03	92.7%	26.6%	45.4%	28.1%	0.0%	0.0%	-5.1%	-548	77.2K	-240	0.00	100.98	N/A	N/A
2013-03-15	$4991.64	$5571.03	96.8%	27.7%	45.2%	29.7%	0.0%	0.0%	2.7%	-529	60.3K	-243	0.00	126.58	N/A	N/A
2013-03-18	$4791.09	$5571.03	91.9%	26.4%	47.2%	27.8%	0.0%	0.0%	-2.8%	-485	36.7K	-229	0.00	103.36	N/A	N/A
2013-03-19	$4612.81	$5571.03	77.7%	22.3%	48.6%	22.3%	0.0%	0.0%	24.6%	-474	42.2K	-213	0.00	112.85	N/A	N/A
2013-03-20	$4657.38	$5571.03	79.2%	22.7%	48.9%	22.9%	0.0%	0.0%	23.2%	-502	43.4K	-211	0.00	96.12	N/A	N/A
2013-03-21	$4679.67	$5571.03	106.8%	30.6%	48.8%	33.6%	0.0%	0.0%	-13.6%	-525	39.8K	-223	0.00	124.97	N/A	N/A
2013-03-22	$4724.23	$5571.03	117.9%	33.8%	46.7%	37.9%	0.0%	0.0%	-15.5%	-493	42.3K	-212	0.00	113.38	N/A	N/A
2013-03-25	$4746.52	$5571.03	92.5%	26.5%	44.1%	28.1%	0.0%	0.0%	-21.4%	-507	39.2K	-219	0.00	117.88	N/A	N/A
2013-03-26	$4791.09	$5571.03	116.8%	33.5%	44.4%	37.5%	0.0%	0.0%	-17.8%	-554	39.4K	-221	0.00	127.55	N/A	N/A
2013-03-27	$4813.37	$5571.03	107.8%	30.9%	43.9%	34.0%	0.0%	0.0%	-34.2%	-574	44.3K	-217	0.00	124.93	N/A	N/A
2013-03-28	$5058.50	$5571.03	109.5%	31.4%	47.6%	34.7%	0.0%	0.0%	-27.9%	-506	35.0K	-242	0.00	141.63	N/A	N/A