DSS Options History — June 2013 In June 2013, DSS traded between $4635.10 and $6573.82. ATM implied volatility averaged 92.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 21.2% (HV 20d: 71.6%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 4.39.
Notable Days 2013-06-20 : Highest Volume — 8 contracts2013-06-10 : Largest IV spike — 59.4% change2013-06-28 : Highest IV Rank — 42.3%2013-06-28 : Largest Expected Move — 37.7%Monthly Statistics Metric Avg Min Max Open Close Price $5985.52 $4635.10 $6573.82 $6128.13 $5125.35 Max Pain $7242.34 $5571.03 $11142.06 $5571.03 $11142.06 ATM IV 92.8% 59.5% 131.5% 61.3% 131.5% Expected Move 26.4% 17.0% 37.7% 17.6% 37.7% HV 20d 71.6% 59.1% 86.6% 86.5% 68.0% HV 60d 70.0% 68.4% 76.5% 69.1% 76.5% IV Rank 28.0% 15.2% 42.3% 15.9% 42.3% IV Percentile 39.3% 2.8% 91.6% 3.2% 91.6% Term Structure 22.5% -18.1% 75.6% 28.6% 41.4% VWIV 115.0% 18.9% 246.4% 48.2% 185.5% Bid-Ask Spread % 51.33 26.00 95.87 34.82 59.14 Gamma HHI 0.80 0.50 1.00 0.50 0.86 Net GEX -5.9K -17.2K 9.7K -8.7K -7.2K Net DEX 86.5K -2.2M 3.8M -196.4K 3.2M Net VEX -8.4K -14.5K -170 -14.5K -12.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.39 0.03 15.31 0.77 15.31 Total Volume 0.65 0 8 0 0 Total OI 15.5 14 23 14 18
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 Call Vol Put Vol Call OI Put OI 2013-06-03 $6128.13 $5571.03 61.3% 17.6% 86.5% 15.9% 48.2% 0.0% 28.6% -8.7K -196.4K -14.5K 0.77 34.82 N/A N/A 0 0 6 8 2013-06-04 $6217.27 $5571.03 60.6% 17.4% 86.6% 15.6% 18.9% 0.0% 75.6% -2.7K -1.5M -5.7K 0.20 40.88 N/A N/A 0 0 6 8 2013-06-05 $6061.28 $5571.03 75.6% 21.7% 86.6% 21.5% 0.0% 0.0% 11.8% -17.2K -314.6K -13.7K 7.50 34.89 N/A N/A 0 0 6 8 2013-06-06 $6194.99 $5571.03 59.5% 17.0% 76.4% 15.2% 24.2% 0.0% 61.4% 9.7K -1.5M -6.4K 0.35 40.27 N/A N/A 0 0 6 8 2013-06-07 $6194.99 $5571.03 68.5% 26.7% 75.9% 18.7% 0.0% 0.0% -14.9% 3.8K -631.1K -12.1K 0.12 26.00 N/A N/A 0 0 6 8 2013-06-10 $6417.83 $5571.03 109.3% 20.5% 76.6% 34.6% 0.0% 0.0% -2.8% -481 -840.9K -11.5K 0.03 44.94 N/A N/A 0 0 6 8 2013-06-11 $6395.54 $5571.03 76.1% 22.0% 73.5% 21.6% 0.0% 0.0% 20.8% -5.2K -1.5M -5.9K 0.64 62.17 N/A N/A 0 0 6 8 2013-06-12 $6573.82 $5571.03 74.4% 21.2% 71.9% 21.0% 0.0% 0.0% 36.0% -3.6K -1.7M -4.9K 0.06 36.85 N/A N/A 0 0 6 8 2013-06-13 $6573.82 $5571.03 76.4% 21.9% 71.4% 21.8% 0.0% 0.0% 27.8% -4.4K -2.2M -271 2.00 45.30 N/A N/A 0 0 6 8 2013-06-14 $6551.53 $5571.03 76.2% 21.8% 65.8% 21.7% 0.0% 0.0% 30.8% -6.3K -1.5M -5.9K 0.00 48.88 N/A N/A 0 0 6 8 2013-06-17 $6484.68 $5571.03 88.6% 25.4% 64.6% 26.5% 0.0% 0.0% 53.3% -6.4K -1.4M -5.7K 8.32 29.28 N/A N/A 0 1 6 8 2013-06-18 $6440.11 $5571.03 90.6% 26.0% 64.2% 27.3% 0.0% 0.0% 42.6% -2.0K -1.4M -5.5K 14.03 85.04 N/A N/A 0 1 6 9 2013-06-19 $6284.12 $5571.03 93.0% 26.7% 59.1% 28.2% 225.9% 0.0% 16.0% -16.4K 178.4K -13.9K 12.05 95.87 N/A N/A 0 0 6 9 2013-06-20 $6061.28 $5571.03 93.2% 26.7% 60.8% 28.3% 0.0% 0.0% 32.4% -8.8K -1.6M -170 1.48 37.62 N/A N/A 3 5 6 9 2013-06-21 $5883.01 $11142.06 113.9% 32.7% 60.0% 36.0% 0.0% 0.0% 0.2% -8.0K 1.5M -4.7K 3.96 64.56 N/A N/A 0 1 9 14 2013-06-24 $5348.19 $11142.06 129.4% 37.1% 69.3% 42.0% 53.7% 0.0% -7.4% -15.3K 2.2M -13.5K 8.93 84.54 N/A N/A 0 1 6 11 2013-06-25 $5147.63 $11142.06 128.5% 36.8% 70.3% 41.7% 112.3% 0.0% -13.5% -8.2K 3.5M -10.9K 3.93 27.53 N/A N/A 0 1 6 11 2013-06-26 $4991.64 $11142.06 124.6% 35.7% 71.0% 40.1% 119.6% 0.0% -18.1% -5.1K 3.8M -10.9K 0.39 70.29 N/A N/A 0 0 6 12 2013-06-27 $4635.10 $11142.06 124.0% 35.5% 73.2% 39.4% 246.4% 0.0% 28.5% -4.9K 3.6M -10.0K 3.34 57.71 N/A N/A 0 0 6 12 2013-06-28 $5125.35 $11142.06 131.5% 37.7% 68.0% 42.3% 185.5% 0.0% 41.4% -7.2K 3.2M -12.2K 15.31 59.14 N/A N/A 0 0 6 12
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