DSS Options History — December 2013

In December 2013, DSS traded between $4077.99 and $4746.52. ATM implied volatility averaged 103.1%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 30.8%. IV traded below realized volatility by 11.2% (HV 20d: 114.3%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2013-12-20: Highest Volume — 3 contracts
  • 2013-12-26: Largest IV spike — 36.4% change
  • 2013-12-04: Highest IV Rank — 63.4%
  • 2013-12-04: Largest Expected Move — 37.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4349.65$4077.99$4746.52$4679.67$4612.81
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV103.1%75.1%131.5%117.5%75.1%
Expected Move30.8%21.5%37.7%33.7%21.5%
HV 20d114.3%62.3%127.1%120.5%62.9%
HV 60d94.3%93.2%95.2%94.4%94.3%
IV Rank46.6%30.0%63.4%55.1%30.0%
IV Percentile43.5%4.0%80.6%67.1%4.0%
Term Structure5.2%-30.3%57.3%-14.1%44.1%
VWIV122.9%110.0%131.5%118.5%110.0%
Bid-Ask Spread %34.1112.1355.6215.5644.64
Gamma HHI0.930.530.990.970.94
Net GEX2.6K-1704.0K3.7K2.9K
Net DEX619.7K39.9K870.3K870.3K40.8K
Net VEX-3.2K-4.7K-2.5K-2.7K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0052.890.250.30
Total Volume0.1430300
Total OI6.9524885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$4679.67$5571.03117.5%33.7%120.5%55.1%118.5%0.0%-14.1%3.7K870.3K-2.7K0.2515.56N/AN/A0053
2013-12-03$4456.82$5571.03112.7%32.3%123.5%52.3%0.0%0.0%-13.2%3.4K835.4K-2.8K0.2512.51N/AN/A0053
2013-12-04$4278.55$5571.03131.5%37.7%123.0%63.4%0.0%0.0%-29.1%2.9K797.4K-2.7K0.3812.86N/AN/A0053
2013-12-05$4523.68$5571.03112.2%32.2%123.0%51.9%131.5%0.0%-30.3%3.6K843.5K-2.8K0.1612.13N/AN/A0053
2013-12-06$4456.82$5571.0394.3%35.7%123.6%41.3%124.8%0.0%-4.0%3.5K812.3K-2.9K1.0040.81N/AN/A0053
2013-12-09$4300.84$5571.0390.4%32.0%125.8%39.0%0.0%0.0%15.0%3.4K799.9K-2.8K0.0054.50N/AN/A0053
2013-12-10$4211.70$5571.0390.4%37.0%127.1%39.1%129.9%0.0%0.6%3.2K768.9K-2.8K0.0032.29N/AN/A0053
2013-12-11$4189.42$5571.03105.4%30.0%126.5%47.9%0.0%0.0%4.9%2.1K853.2K-2.6K0.0049.84N/AN/A0053
2013-12-12$4167.13$5571.03124.5%35.7%126.3%59.3%0.0%0.0%-3.5%3.4K794.5K-2.8K0.0052.62N/AN/A0053
2013-12-13$4122.56$5571.03117.7%33.7%125.4%55.2%0.0%0.0%-2.8%2.1K820.8K-2.6K0.0053.93N/AN/A0053
2013-12-16$4100.28$5571.03114.0%32.7%119.6%53.0%0.0%0.0%-19.6%2.2K859.3K-2.5K0.1152.06N/AN/A0053
2013-12-17$4456.82$5571.03107.7%30.9%119.5%49.3%0.0%0.0%-5.9%4.0K852.5K-2.9K4.2055.62N/AN/A0053
2013-12-18$4300.84$5571.0381.5%23.4%120.6%33.7%0.0%0.0%57.3%3.8K793.7K-2.8K0.1121.74N/AN/A0053
2013-12-19$4278.55$5571.0399.3%28.5%118.3%44.3%0.0%0.0%18.0%2.3K813.5K-2.6K0.0024.97N/AN/A0053
2013-12-20$4077.99$5571.0380.3%23.0%119.7%33.0%0.0%0.0%55.4%2.4K813.7K-2.5K52.8927.88N/AN/A0353
2013-12-23$4144.85$5571.0392.5%26.5%119.5%40.3%0.0%0.0%31.4%-170154.8K-4.0K0.3626.25N/AN/A0022
2013-12-24$4144.85$5571.0387.7%25.1%118.2%37.4%0.0%0.0%37.0%20209.1K-4.0K0.0423.49N/AN/A0022
2013-12-26$4367.69$5571.03119.6%34.3%118.0%56.3%0.0%0.0%-18.3%94166.2K-4.2K0.8928.52N/AN/A0022
2013-12-27$4724.23$5571.03108.3%31.1%76.5%49.6%110.0%0.0%-5.7%2.1K73.8K-4.7K0.0537.10N/AN/A0022
2013-12-30$4746.52$5571.03102.7%29.4%62.3%46.3%0.0%0.0%-6.7%2.9K39.9K-4.7K0.0036.90N/AN/A0032
2013-12-31$4612.81$5571.0375.1%21.5%62.9%30.0%0.0%0.0%44.1%2.9K40.8K-4.7K0.3044.64N/AN/A0032