DSS Options History — October 2013

In October 2013, DSS traded between $2005.57 and $2651.81. ATM implied volatility averaged 155.3%, placing in the 78.3% IV rank vs the trailing year. The 30-day expected move averaged 42.9%. IV traded above realized volatility by 85.5% (HV 20d: 69.7%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 2.16.

Notable Days

  • 2013-10-14: Largest IV spike — 40.0% change
  • 2013-10-08: Highest IV Rank — 100.0%
  • 2013-10-15: Largest Expected Move — 50.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2434.78$2005.57$2651.81$2562.67$2584.96
Max Pain$9285.05$5571.03$11142.06$5571.03$11142.06
ATM IV155.3%123.9%193.3%155.4%145.7%
Expected Move42.9%34.4%50.7%44.6%41.8%
HV 20d69.7%49.1%85.1%68.7%79.4%
HV 60d67.6%61.5%73.7%65.4%68.9%
IV Rank78.3%58.9%100.0%81.1%71.8%
IV Percentile91.2%81.0%100.0%94.4%86.5%
Term Structure-45.1%-95.6%-14.0%-31.0%-64.1%
Bid-Ask Spread %23.706.99108.277.8110.23
Gamma HHI1.001.001.001.001.00
Net GEX4001730161
Net DEX696.8K575.9K765.8K732.9K730.5K
Net VEX-30-12900-129
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0020.400.450.00
Total Volume00000
Total OI66666

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$2562.67$5571.03155.4%44.6%68.7%81.1%0.0%0.0%-31.0%0732.9K00.007.81N/AN/A0033
2013-10-02$2473.54$5571.03169.2%48.5%69.3%89.6%0.0%0.0%-35.3%0707.7K00.458.93N/AN/A0033
2013-10-03$2428.97$5571.03171.0%49.0%59.4%90.7%0.0%0.0%-39.4%0695.5K00.0610.23N/AN/A0033
2013-10-04$2362.12$0.00165.6%35.3%59.8%87.4%0.0%0.0%-48.3%0676.7K00.009.49N/AN/A0033
2013-10-07$2428.97$0.00179.8%34.4%60.9%96.2%0.0%0.0%-50.0%0695.9K00.007.59N/AN/A0033
2013-10-08$2362.12$0.00193.3%48.8%58.3%100.0%0.0%0.0%0.0%0676.9K00.00108.27N/AN/A0033
2013-10-09$2339.83$0.00129.9%37.2%57.2%62.4%0.0%0.0%-54.1%0670.7K00.007.47N/AN/A0033
2013-10-10$2339.83$0.00142.3%40.8%49.1%69.8%0.0%0.0%-55.3%0670.7K00.009.73N/AN/A0033
2013-10-11$2183.84$0.00123.9%35.5%53.2%58.9%0.0%0.0%-14.0%0626.0K00.559.73N/AN/A0033
2013-10-14$2005.57$0.00173.4%49.7%58.3%88.2%0.0%0.0%-95.6%0575.9K020.4086.65N/AN/A0033
2013-10-15$2027.86$0.00176.7%50.7%57.3%90.2%0.0%0.0%-71.2%0583.0K00.009.04N/AN/A0033
2013-10-16$2272.98$0.00164.3%47.1%74.2%82.8%0.0%0.0%-65.8%0655.8K00.006.99N/AN/A0033
2013-10-17$2362.12$0.00147.3%42.2%76.1%72.8%0.0%0.0%-46.4%0681.0K00.008.68N/AN/A0033
2013-10-18$2339.83$0.00160.8%46.1%71.6%80.7%0.0%0.0%-67.7%0674.6K00.009.73N/AN/A0033
2013-10-21$2651.81$0.00144.4%41.4%85.1%71.0%0.0%0.0%-20.9%0764.6K00.0912.98N/AN/A0033
2013-10-22$2607.24$0.00134.3%38.5%83.5%65.0%0.0%0.0%-22.9%0752.8K00.0087.18N/AN/A0033
2013-10-23$2607.24$0.00148.6%42.6%81.9%73.5%0.0%0.0%-24.5%88744.3K-710.0110.23N/AN/A0033
2013-10-24$2540.39$11142.06136.0%39.0%80.3%66.1%0.0%0.0%-27.1%164720.0K-1220.0087.45N/AN/A0033
2013-10-25$2629.53$11142.06143.7%41.2%80.3%70.6%0.0%0.0%-27.9%168741.1K-1220.0010.46N/AN/A0033
2013-10-28$2651.81$11142.06142.8%40.9%80.3%70.1%0.0%0.0%-34.1%173750.5K-1230.007.94N/AN/A0033
2013-10-29$2651.81$11142.06160.8%46.1%80.3%80.8%0.0%0.0%-36.8%0765.8K00.009.10N/AN/A0033
2013-10-30$2584.96$11142.06161.4%46.3%79.7%81.1%0.0%0.0%-60.5%168732.9K-1210.009.11N/AN/A0033
2013-10-31$2584.96$11142.06145.7%41.8%79.4%71.8%0.0%0.0%-64.1%161730.5K-1290.0010.23N/AN/A0033