DSS Options History — September 2013 In September 2013, DSS traded between $2518.11 and $3119.78. ATM implied volatility averaged 137.4%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 36.2%. IV traded above realized volatility by 74.6% (HV 20d: 62.8%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 16.49.
Notable Days 2013-09-20 : Highest Volume — 1 contracts2013-09-12 : Largest IV drop — 43.3% change2013-09-11 : Highest IV Rank — 95.8%2013-09-30 : Largest Expected Move — 47.0%Monthly Statistics Metric Avg Min Max Open Close Price $2767.69 $2518.11 $3119.78 $3119.78 $2540.39 Max Pain $5571.03 $5571.03 $5571.03 $5571.03 $5571.03 ATM IV 137.4% 98.7% 179.1% 122.8% 163.9% Expected Move 36.2% 28.0% 47.0% 35.2% 47.0% HV 20d 62.8% 55.5% 71.0% 71.0% 68.3% HV 60d 78.0% 66.5% 82.9% 78.5% 66.5% IV Rank 64.8% 38.9% 95.8% 38.9% 86.4% IV Percentile 85.0% 42.5% 99.2% 86.1% 96.0% Term Structure -21.5% -56.3% 36.3% -23.6% -28.8% Bid-Ask Spread % 22.17 7.94 94.95 9.01 10.23 Gamma HHI 0.98 0.89 1.00 0.92 1.00 Net GEX 55 0 215 88 0 Net DEX 1.2M 719.6K 1.5M 1.5M 726.5K Net VEX -75 -246 0 -173 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 16.49 0.00 195.30 0.00 0.00 Total Volume 0.05 0 1 0 0 Total OI 9.5 6 11 11 6
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 2013-09-03 $3119.78 $5571.03 122.8% 35.2% 71.0% 38.9% 0.0% 0.0% -23.6% 88 1.5M -173 0.00 9.01 N/A N/A 0 0 6 5 2013-09-04 $3075.21 $5571.03 136.3% 39.1% 67.2% 44.3% 0.0% 0.0% -26.5% 99 1.4M -185 0.00 10.16 N/A N/A 0 0 6 5 2013-09-05 $2763.23 $5571.03 135.0% 38.7% 67.1% 43.7% 0.0% 0.0% -53.6% 0 1.3M 0 0.06 12.46 N/A N/A 0 0 6 5 2013-09-06 $2718.66 $5571.03 165.5% 28.0% 67.0% 55.8% 0.0% 0.0% -30.5% 97 1.3M -188 0.00 8.85 N/A N/A 0 0 6 5 2013-09-09 $2740.95 $5571.03 157.4% 30.8% 63.2% 82.3% 0.0% 0.0% -40.5% 0 1.3M 0 0.21 7.94 N/A N/A 0 0 6 5 2013-09-10 $2584.96 $5571.03 175.7% 36.5% 63.9% 93.7% 0.0% 0.0% 17.2% 0 1.2M 0 0.00 87.49 N/A N/A 0 0 6 5 2013-09-11 $2651.81 $5571.03 179.1% 34.2% 55.5% 95.8% 0.0% 0.0% 36.3% 0 1.3M 0 1.82 10.23 N/A N/A 0 0 6 5 2013-09-12 $2852.37 $5571.03 101.5% 29.1% 57.8% 47.7% 0.0% 0.0% -20.6% 0 1.3M 0 0.10 9.60 N/A N/A 0 0 6 5 2013-09-13 $2852.37 $5571.03 108.0% 31.0% 57.8% 51.7% 0.0% 0.0% -42.9% 199 1.3M -230 0.00 9.60 N/A N/A 0 0 6 5 2013-09-16 $2874.65 $5571.03 98.7% 28.3% 56.7% 46.0% 0.0% 0.0% -24.1% 0 1.4M 0 0.00 8.43 N/A N/A 0 0 6 5 2013-09-17 $2941.50 $5571.03 114.3% 32.8% 57.6% 55.6% 0.0% 0.0% 13.7% 203 1.4M -246 0.07 12.85 N/A N/A 0 0 6 5 2013-09-18 $2896.94 $5571.03 123.8% 35.5% 56.9% 61.5% 0.0% 0.0% 9.2% 215 1.3M -241 0.29 9.60 N/A N/A 0 0 6 5 2013-09-19 $2919.22 $5571.03 126.6% 36.3% 57.0% 63.3% 0.0% 0.0% -49.7% 203 1.3M -242 0.00 11.07 N/A N/A 0 0 6 5 2013-09-20 $2696.38 $5571.03 150.7% 43.2% 62.3% 78.1% 0.0% 0.0% -56.3% 0 1.2M 0 195.30 94.95 N/A N/A 0 1 6 5 2013-09-23 $2763.23 $5571.03 127.8% 36.6% 62.6% 64.0% 0.0% 0.0% -32.4% 0 789.6K 0 0.00 86.48 N/A N/A 0 0 3 3 2013-09-24 $2629.53 $5571.03 123.1% 35.3% 63.2% 61.1% 0.0% 0.0% -16.8% 0 751.4K 0 0.00 9.30 N/A N/A 0 0 3 3 2013-09-25 $2518.11 $5571.03 131.7% 37.8% 64.3% 66.4% 0.0% 0.0% -19.3% 0 719.6K 0 0.00 11.91 N/A N/A 0 0 3 3 2013-09-26 $2651.81 $5571.03 153.5% 44.0% 68.1% 79.9% 0.0% 0.0% -19.5% 0 757.8K 0 0.01 10.23 N/A N/A 0 0 3 3 2013-09-27 $2562.67 $5571.03 153.3% 43.9% 68.4% 79.8% 0.0% 0.0% -22.2% 0 732.9K 0 0.00 13.03 N/A N/A 0 0 3 3 2013-09-30 $2540.39 $5571.03 163.9% 47.0% 68.3% 86.4% 0.0% 0.0% -28.8% 0 726.5K 0 0.00 10.23 N/A N/A 0 0 3 3
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