DSS Options History — January 2014

In January 2014, DSS traded between $3052.92 and $5481.89. ATM implied volatility averaged 99.5%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 1.8% (HV 20d: 97.7%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2014-01-14: Highest Volume — 1 contracts
  • 2014-01-21: Largest IV spike — 51.9% change
  • 2014-01-14: Highest IV Rank — 65.9%
  • 2014-01-28: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4016.45$3052.92$5481.89$4679.67$3364.90
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV99.5%71.8%147.6%80.8%88.2%
Expected Move27.9%20.6%34.8%23.2%25.3%
HV 20d97.7%55.3%120.5%60.4%113.5%
HV 60d101.9%93.9%107.5%94.2%106.0%
IV Rank34.1%9.2%65.9%33.3%21.5%
IV Percentile37.4%2.8%87.3%11.1%18.7%
Term Structure33.6%-7.3%74.9%39.6%74.9%
VWIV100.4%65.6%122.2%65.6%122.2%
Bid-Ask Spread %56.8114.3298.5131.4058.98
Gamma HHI0.720.570.950.950.67
Net GEX1.4K-1.3K8.2K3.3K-1.1K
Net DEX239.5K-297.0K524.0K33.8K466.4K
Net VEX-3.5K-5.9K-1.9K-4.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.770.020.00
Total Volume0.0480100
Total OI55555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$4679.67$5571.0380.8%23.2%60.4%33.3%65.6%0.0%39.6%3.3K33.8K-4.7K0.0231.40N/AN/A0032
2014-01-03$4635.10$5571.0390.8%26.0%58.5%39.3%0.0%0.0%20.4%3.3K7.4K-4.9K0.0032.30N/AN/A0032
2014-01-06$4679.67$5571.03102.3%30.3%55.3%46.1%105.9%0.0%5.6%3.5K34.8K-4.8K0.0033.24N/AN/A0032
2014-01-07$5481.89$5571.03113.1%27.5%77.9%52.5%94.8%0.0%13.6%6.9K-271.9K-5.6K0.2122.30N/AN/A0032
2014-01-08$5437.33$5571.03105.2%31.0%76.3%47.8%114.4%0.0%7.1%8.2K-258.4K-5.9K0.0425.32N/AN/A0032
2014-01-09$5259.05$5571.0389.5%28.3%77.2%38.5%98.8%0.0%9.2%7.9K-297.0K-5.9K0.0122.62N/AN/A0032
2014-01-10$5080.78$5571.0392.1%29.1%78.7%24.4%100.7%0.0%7.9%7.4K-154.7K-5.6K0.7725.71N/AN/A0032
2014-01-13$4791.09$5571.03108.5%27.7%82.2%36.6%0.0%0.0%6.3%2.8K-102.1K-5.3K0.0042.72N/AN/A0032
2014-01-14$4033.43$5571.03147.6%31.3%103.9%65.9%122.2%0.0%-7.3%661276.3K-4.0K0.0168.95N/AN/A1032
2014-01-15$3476.32$5571.0380.7%23.1%116.4%15.8%0.0%0.0%38.7%-1.3K483.3K-2.3K0.4859.64N/AN/A0032
2014-01-16$3364.90$5571.0385.9%24.6%111.5%19.8%0.0%0.0%49.2%-1.3K498.6K-2.1K0.0214.74N/AN/A0032
2014-01-17$3275.77$5571.0371.8%20.6%111.3%9.2%0.0%0.0%56.7%-1.1K469.0K-2.2K0.0388.84N/AN/A0032
2014-01-21$3052.92$5571.03109.1%31.3%113.0%37.1%0.0%0.0%30.6%-992465.7K-1.9K0.0096.33N/AN/A0032
2014-01-22$3298.05$5571.03101.7%29.1%117.1%31.5%0.0%0.0%51.1%-1.1K478.5K-2.1K0.0589.38N/AN/A0032
2014-01-23$3320.33$5571.03102.0%29.3%116.9%31.8%0.0%0.0%49.9%-1.1K511.2K-2.1K0.1314.32N/AN/A0032
2014-01-24$3565.46$5571.0394.8%27.2%120.5%26.4%0.0%0.0%57.7%-1.3K524.0K-2.3K0.2489.09N/AN/A0032
2014-01-27$3431.75$5571.0396.2%27.6%118.8%27.5%0.0%0.0%43.0%-1.2K479.9K-2.4K0.0094.59N/AN/A0032
2014-01-28$3364.90$5571.03121.2%34.8%113.8%46.1%0.0%0.0%34.1%-1.2K469.7K-2.2K0.0098.51N/AN/A0032
2014-01-29$3364.90$5571.03106.7%30.6%113.7%35.3%0.0%0.0%51.6%-1.1K470.3K-2.3K0.0094.91N/AN/A0032
2014-01-30$3387.19$5571.03100.5%28.8%114.0%30.7%0.0%0.0%66.6%-1.0K444.3K-2.4K0.0089.09N/AN/A0032
2014-01-31$3364.90$5571.0388.2%25.3%113.5%21.5%0.0%0.0%74.9%-1.1K466.4K-2.3K0.0058.98N/AN/A0032