DSS Options History — August 2013 In August 2013, DSS traded between $3119.78 and $3743.73. ATM implied volatility averaged 116.0%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 27.7%. IV traded above realized volatility by 45.3% (HV 20d: 70.7%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.68.
Notable Days 2013-08-14 : Largest IV drop — 58.4% change2013-08-12 : Highest IV Rank — 60.9%2013-08-07 : Largest Expected Move — 36.8%Monthly Statistics Metric Avg Min Max Open Close Price $3345.66 $3119.78 $3743.73 $3364.90 $3142.06 Max Pain $5571.03 $5571.03 $5571.03 $5571.03 $5571.03 ATM IV 116.0% 71.6% 178.2% 119.4% 97.7% Expected Move 27.7% 18.0% 36.8% 34.2% 28.0% HV 20d 70.7% 58.5% 79.8% 58.9% 71.2% HV 60d 82.1% 78.5% 85.1% 82.5% 78.5% IV Rank 36.2% 18.6% 60.9% 37.6% 29.0% IV Percentile 60.4% 2.4% 98.4% 85.3% 40.2% Term Structure 10.6% -52.9% 60.7% -45.5% -16.5% Bid-Ask Spread % 13.06 5.06 59.95 9.68 7.39 Gamma HHI 0.87 0.50 0.97 0.94 0.82 Net GEX -217 -418 25 -372 25 Net DEX 1.4M 1.1M 1.7M 1.3M 1.5M Net VEX -2.1K -3.7K -136 -3.2K -143 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.68 0.00 31.33 8.75 0.09 Total Volume 0 0 0 0 0 Total OI 11 11 11 11 11
Daily Data (22 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 2013-08-01 $3364.90 $5571.03 119.4% 34.2% 58.9% 37.6% 0.0% 0.0% -45.5% -372 1.3M -3.2K 8.75 9.68 N/A N/A 0 0 6 5 2013-08-02 $3164.35 $5571.03 123.5% 35.4% 61.7% 39.2% 0.0% 0.0% -52.9% -329 1.2M -3.2K 0.00 10.82 N/A N/A 0 0 6 5 2013-08-05 $3208.91 $5571.03 141.7% 18.0% 58.5% 46.4% 0.0% 0.0% 50.0% -317 1.2M -3.0K 0.00 5.06 N/A N/A 0 0 6 5 2013-08-06 $3409.47 $5571.03 159.7% 21.6% 60.4% 53.5% 0.0% 0.0% 44.8% -331 1.2M -3.2K 0.02 8.21 N/A N/A 0 0 6 5 2013-08-07 $3721.45 $5571.03 130.9% 36.8% 66.0% 42.1% 0.0% 0.0% -26.8% -411 1.3M -3.7K 0.01 32.57 N/A N/A 0 0 6 5 2013-08-08 $3632.31 $5571.03 131.7% 29.8% 66.2% 42.4% 0.0% 0.0% -15.8% -408 1.3M -3.6K 0.20 11.54 N/A N/A 0 0 6 5 2013-08-09 $3364.90 $5571.03 150.5% 23.3% 71.2% 49.9% 0.0% 0.0% 31.1% -412 1.3M -3.3K 0.81 9.46 N/A N/A 0 0 6 5 2013-08-12 $3454.04 $5571.03 178.2% 24.7% 68.4% 60.9% 0.0% 0.0% 30.9% -418 1.3M -3.2K 0.13 8.44 N/A N/A 0 0 6 5 2013-08-13 $3743.73 $5571.03 172.3% 30.1% 75.0% 58.5% 0.0% 0.0% 20.6% -391 1.4M -3.5K 0.25 8.28 N/A N/A 0 0 6 5 2013-08-14 $3431.75 $5571.03 71.6% 20.5% 79.8% 18.6% 0.0% 0.0% 28.3% -327 1.3M -3.3K 10.70 6.29 N/A N/A 0 0 6 5 2013-08-15 $3364.90 $5571.03 87.4% 25.1% 74.1% 24.9% 0.0% 0.0% 20.2% 0 1.7M -140 10.00 7.89 N/A N/A 0 0 6 5 2013-08-16 $3454.04 $5571.03 89.3% 25.6% 74.6% 25.7% 0.0% 0.0% 47.5% -317 1.2M -3.2K 0.14 12.71 N/A N/A 0 0 6 5 2013-08-19 $3387.19 $5571.03 83.9% 24.1% 74.5% 23.5% 0.0% 0.0% 6.7% -307 1.2M -3.2K 0.07 11.25 N/A N/A 0 0 6 5 2013-08-20 $3275.77 $5571.03 89.5% 25.7% 74.6% 25.7% 0.0% 0.0% 59.4% -287 1.1M -3.3K 0.00 11.15 N/A N/A 0 0 6 5 2013-08-21 $3231.20 $5571.03 97.9% 28.1% 74.5% 29.0% 0.0% 0.0% 60.7% 23 1.5M -146 0.00 10.53 N/A N/A 0 0 6 5 2013-08-22 $3275.77 $5571.03 92.5% 26.5% 73.7% 26.9% 0.0% 0.0% 51.5% -272 1.1M -3.1K 0.00 9.12 N/A N/A 0 0 6 5 2013-08-23 $3342.62 $5571.03 104.4% 29.9% 73.8% 31.6% 0.0% 0.0% -7.8% 16 1.6M -148 0.00 14.64 N/A N/A 0 0 6 5 2013-08-26 $3208.91 $5571.03 96.3% 27.6% 74.6% 28.4% 0.0% 0.0% -11.2% 17 1.5M -144 31.33 59.95 N/A N/A 0 0 6 5 2013-08-27 $3164.35 $5571.03 106.3% 30.5% 74.5% 32.4% 0.0% 0.0% -12.6% 16 1.5M -147 0.00 10.53 N/A N/A 0 0 6 5 2013-08-28 $3119.78 $5571.03 106.4% 30.5% 74.5% 32.4% 0.0% 0.0% -14.1% 16 1.5M -136 0.00 9.01 N/A N/A 0 0 6 5 2013-08-29 $3142.06 $5571.03 119.9% 34.4% 74.4% 37.8% 0.0% 0.0% -15.1% 15 1.5M -137 0.00 12.74 N/A N/A 0 0 6 5 2013-08-30 $3142.06 $5571.03 97.7% 28.0% 71.2% 29.0% 0.0% 0.0% -16.5% 25 1.5M -143 0.09 7.39 N/A N/A 0 0 6 5
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