DSS Options History — July 2013

In July 2013, DSS traded between $3431.75 and $4167.13. ATM implied volatility averaged 105.9%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded above realized volatility by 6.9% (HV 20d: 99.1%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 14.98.

Notable Days

  • 2013-07-01: Highest Volume — 2 contracts
  • 2013-07-29: Largest IV spike — 37.4% change
  • 2013-07-10: Highest IV Rank — 53.1%
  • 2013-07-10: Largest Expected Move — 43.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3790.33$3431.75$4167.13$4167.13$3431.75
Max Pain$6330.72$5571.03$11142.06$11142.06$5571.03
ATM IV105.9%77.5%158.7%109.3%97.2%
Expected Move30.2%22.2%43.9%31.3%27.9%
HV 20d99.1%61.7%109.7%95.5%61.7%
HV 60d88.4%82.5%91.7%87.3%82.5%
IV Rank32.2%21.0%53.1%33.6%28.8%
IV Percentile55.6%8.8%96.4%67.3%39.8%
Term Structure8.6%-45.3%66.9%32.7%-41.6%
Bid-Ask Spread %33.699.68115.1018.7514.58
Gamma HHI0.870.611.000.620.90
Net GEX1.2K-9004.3K2.5K-387
Net DEX2.6M1.4M4.1M3.6M1.4M
Net VEX-5.2K-8.6K-3.3K-8.6K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.980.17175.000.6325.00
Total Volume0.1820220
Total OI15.13611181811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$4167.13$11142.06109.3%31.3%95.5%33.6%0.0%0.0%32.7%2.5K3.6M-8.6K0.6318.75N/AN/A11612
2013-07-02$3877.44$11142.06123.0%35.3%96.4%39.0%0.0%0.0%-22.2%-9004.1M-3.8K0.3915.87N/AN/A00612
2013-07-03$4055.71$11142.06109.9%31.5%99.4%33.8%0.0%0.0%23.0%3.1K3.6M-7.6K3.1410.72N/AN/A00612
2013-07-05$4011.14$5571.0388.5%28.3%98.3%25.3%0.0%0.0%-21.0%2.5K3.5M-8.0K0.0065.82N/AN/A00612
2013-07-08$3743.73$5571.03108.1%28.2%99.3%33.1%0.0%0.0%19.7%-5033.9M-3.9K4.6661.39N/AN/A00612
2013-07-09$3543.18$5571.03127.2%33.1%97.1%40.6%0.0%0.0%-2.2%-4483.7M-3.6K1.72109.11N/AN/A00612
2013-07-10$3721.45$5571.03158.7%43.9%100.7%53.1%0.0%0.0%-45.3%-5103.9M-3.7K0.2598.40N/AN/A00612
2013-07-11$3788.30$5571.03103.8%29.8%100.1%31.4%0.0%0.0%49.6%-4363.2M-4.1K3.2811.59N/AN/A00610
2013-07-12$3788.30$5571.0398.5%28.2%100.1%29.3%0.0%0.0%38.0%3.6K2.6M-6.9K0.1913.70N/AN/A00610
2013-07-15$4011.14$5571.03118.0%33.8%104.3%37.0%0.0%0.0%49.7%4.0K2.7M-7.5K0.1815.30N/AN/A00610
2013-07-16$4055.71$5571.03100.9%28.9%104.9%30.2%0.0%0.0%18.7%4.3K2.8M-7.2K0.4564.16N/AN/A00610
2013-07-17$4144.85$5571.03117.8%33.8%106.0%36.9%0.0%0.0%37.5%3.9K2.7M-7.6K31.2514.84N/AN/A01610
2013-07-18$3788.30$5571.0377.5%22.2%108.7%21.0%0.0%0.0%51.0%3.8K2.5M-6.9K3.1115.52N/AN/A00610
2013-07-19$3855.15$5571.0387.3%25.0%109.7%24.8%0.0%0.0%66.9%3.2K2.6M-7.0K33.3318.10N/AN/A00610
2013-07-22$3766.02$5571.0382.6%23.7%109.6%23.0%0.0%0.0%31.8%-2421.6M-4.0K0.2711.98N/AN/A0066
2013-07-23$3832.87$5571.0393.6%26.8%107.0%27.3%0.0%0.0%38.2%-2521.7M-3.5K1.0418.10N/AN/A0066
2013-07-24$3766.02$5571.0393.8%26.9%106.7%27.4%0.0%0.0%-25.2%-2641.6M-3.6K0.1714.22N/AN/A0066
2013-07-25$3610.03$5571.03123.3%35.4%107.0%39.1%0.0%0.0%-28.4%-2461.5M-3.5K0.49115.10N/AN/A0066
2013-07-26$3520.89$5571.0381.9%23.5%104.8%22.7%0.0%0.0%-5.8%-3501.5M-3.6K175.0011.60N/AN/A0066
2013-07-29$3431.75$5571.03112.6%32.3%95.8%34.9%0.0%0.0%-37.4%-3591.5M-3.3K0.0012.70N/AN/A0066
2013-07-30$3476.32$5571.03117.3%33.6%66.0%36.7%0.0%0.0%-38.6%-3751.5M-3.3K0.009.68N/AN/A0166
2013-07-31$3431.75$5571.0397.2%27.9%61.7%28.8%0.0%0.0%-41.6%-3871.4M-3.4K25.0014.58N/AN/A0065