DSS Options History — May 2013

In May 2013, DSS traded between $5504.18 and $7598.89. ATM implied volatility averaged 98.7%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 14.0% (HV 20d: 84.7%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.04.

Notable Days

  • 2013-05-03: Highest Volume — 2 contracts
  • 2013-05-16: Largest IV drop — 56.0% change
  • 2013-05-14: Highest IV Rank — 61.4%
  • 2013-05-03: Largest Expected Move — 33.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6308.43$5504.18$7598.89$7197.77$6551.53
Max Pain$5824.26$5571.03$11142.06$5571.03$5571.03
ATM IV98.7%74.2%178.0%81.4%98.0%
Expected Move24.0%20.8%33.8%23.3%28.1%
HV 20d84.7%62.3%97.1%62.3%88.9%
HV 60d61.0%50.3%68.0%50.3%68.0%
IV Rank30.5%20.9%61.4%23.7%30.2%
IV Percentile35.0%5.6%98.0%9.2%41.0%
Term Structure5.2%-50.0%52.9%-41.6%-50.0%
VWIV89.5%66.7%138.6%106.4%98.0%
Bid-Ask Spread %47.6617.9893.2821.6640.31
Gamma HHI0.770.501.000.610.99
Net GEX-5.9K-28.3K9.8K-3.5K-18.3K
Net DEX-1.7K-1.5M896.9K35.9K-985.0K
Net VEX-7.4K-14.5K0-4.8K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.0548.433.840.12
Total Volume0.5910212
Total OI9.227314314

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$7197.77$5571.0381.4%23.3%62.3%23.7%0.0%0.0%-41.6%-3.5K35.9K-4.8K3.8421.66N/AN/A0112
2013-05-02$7598.89$5571.0395.5%27.4%63.3%29.2%0.0%0.0%-41.4%-6.0K23.1K-6.4K11.2317.98N/AN/A0113
2013-05-03$6952.65$11142.06117.7%33.8%72.2%37.9%0.0%0.0%9.3%-4.6K533.1K-2.2K0.5341.86N/AN/A1114
2013-05-06$7041.78$5571.0395.2%25.3%72.2%29.1%0.0%0.0%-23.5%-6.1K-31.8K-8.0K0.1562.44N/AN/A0024
2013-05-07$6863.51$5571.0399.4%23.9%72.5%30.7%0.0%0.0%9.8%-8.4K160.5K-7.0K0.2859.89N/AN/A0024
2013-05-08$6105.85$5571.0382.3%25.2%85.3%24.1%106.4%0.0%19.6%-7.6K-134.7K-7472.0423.27N/AN/A0124
2013-05-09$6261.84$5571.03106.8%21.4%85.4%33.6%138.6%0.0%52.9%-1.9K-239.5K-9030.1190.01N/AN/A0024
2013-05-10$6150.42$5571.03116.4%23.5%85.8%37.4%0.0%0.0%13.6%-4.1K-6.9K-3.8K0.0547.20N/AN/A0035
2013-05-13$6529.25$5571.03131.1%25.1%87.8%43.1%0.0%0.0%32.8%0-721.4K00.2148.00N/AN/A1035
2013-05-14$6863.51$5571.03178.0%21.4%87.3%61.4%0.0%0.0%29.9%-693-525.1K-4.7K0.2830.00N/AN/A1035
2013-05-15$6707.52$5571.03175.1%20.8%88.2%60.2%0.0%0.0%23.9%0-1.5M00.5685.50N/AN/A0045
2013-05-16$6217.27$5571.0377.1%22.1%92.9%22.0%75.4%0.0%3.7%-526-523.8K-5.2K1.2093.28N/AN/A0045
2013-05-17$6016.71$5571.0378.3%22.4%93.0%22.5%78.4%0.0%-6.2%-79657.6K-11.2K2.9535.29N/AN/A0045
2013-05-20$6172.70$5571.0378.2%22.4%92.1%22.5%0.0%0.0%16.2%9.8K-649.0K-4.6K1.3818.86N/AN/A1145
2013-05-21$5749.30$5571.0378.2%22.4%95.9%22.5%78.6%0.0%5.1%-3.2K339.4K-12.6K2.1443.74N/AN/A0156
2013-05-22$5727.02$5571.0384.7%24.3%95.9%25.0%0.0%0.0%-0.5%-3.8K487.2K-13.2K0.3145.87N/AN/A0067
2013-05-23$5504.18$5571.0374.2%21.3%97.0%20.9%75.5%0.0%15.7%-3.8K633.9K-13.0K48.4336.66N/AN/A0167
2013-05-24$5571.03$5571.0375.2%21.6%97.1%21.3%0.0%0.0%17.7%-14.3K805.7K-14.5K0.0076.88N/AN/A0068
2013-05-28$5615.60$5571.0389.9%25.8%89.8%27.0%99.8%0.0%-5.2%-12.0K667.3K-14.3K1.2144.10N/AN/A0068
2013-05-29$5593.31$5571.0377.0%22.1%80.3%22.0%77.2%0.0%15.3%-12.4K896.9K-14.0K0.2053.12N/AN/A0068
2013-05-30$5793.87$5571.0382.3%23.6%78.2%24.1%66.7%0.0%17.4%-28.3K657.8K-14.1K7.6132.61N/AN/A0068
2013-05-31$6551.53$5571.0398.0%28.1%88.9%30.2%98.0%0.0%-50.0%-18.3K-985.0K-7.9K0.1240.31N/AN/A2068