DSS Options History — February 2014

In February 2014, DSS traded between $3142.06 and $3944.29. ATM implied volatility averaged 120.6%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 32.2%. IV traded above realized volatility by 48.9% (HV 20d: 71.6%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-02-26: Largest IV spike — 62.1% change
  • 2014-02-10: Highest IV Rank — 68.7%
  • 2014-02-06: Largest Expected Move — 42.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3572.50$3142.06$3944.29$3342.62$3654.60
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV120.6%81.1%151.3%119.1%115.8%
Expected Move32.2%23.1%42.0%34.1%33.2%
HV 20d71.6%46.1%113.5%113.5%48.5%
HV 60d99.8%79.9%106.1%105.4%79.9%
IV Rank45.7%16.1%68.7%44.5%42.1%
IV Percentile64.1%11.5%88.5%68.7%61.1%
Term Structure8.9%-50.9%50.7%50.7%-50.9%
Bid-Ask Spread %70.7659.3194.9288.8466.86
Gamma HHI0.690.601.000.660.69
Net GEX-1.1K-1.5K4-1.0K-1.3K
Net DEX532.4K463.6K756.5K463.6K574.3K
Net VEX-2.1K-2.6K-8-2.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.008.000.002.00
Total Volume00000
Total OI5.4215656

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$3342.62$5571.03119.1%34.1%113.5%44.5%0.0%0.0%50.7%-1.0K463.6K-2.3K0.0088.84N/AN/A0032
2014-02-04$3275.77$5571.03119.4%34.2%113.1%44.8%0.0%0.0%35.2%-1.2K505.9K-2.1K0.0090.62N/AN/A0032
2014-02-05$3142.06$5571.03127.7%36.6%92.1%51.0%0.0%0.0%48.5%4756.5K-80.0094.92N/AN/A0032
2014-02-06$3208.91$5571.03146.4%42.0%93.5%65.0%0.0%0.0%42.1%-986476.4K-2.0K0.0094.23N/AN/A0032
2014-02-07$3275.77$5571.03142.5%37.8%95.0%62.0%0.0%0.0%-36.2%-1.1K506.6K-2.0K0.7559.31N/AN/A0032
2014-02-10$3387.19$5571.03151.3%25.7%97.0%68.7%0.0%0.0%46.7%-1.2K527.5K-2.0K0.0064.91N/AN/A0032
2014-02-11$3565.46$5571.03113.4%25.8%99.0%40.3%0.0%0.0%40.8%-1.2K499.1K-2.2K0.1361.37N/AN/A0032
2014-02-12$3476.32$5571.03143.6%23.1%80.0%62.8%0.0%0.0%38.0%-1.2K483.7K-2.3K0.0162.40N/AN/A0032
2014-02-13$3476.32$5571.0397.2%27.9%60.1%28.2%0.0%0.0%39.7%-1.0K482.4K-2.3K0.0063.22N/AN/A0032
2014-02-14$3676.88$5571.03118.5%34.0%61.9%44.1%0.0%0.0%-15.1%-1.1K492.1K-2.4K0.5161.78N/AN/A0032
2014-02-18$3877.44$5571.03119.2%34.2%63.1%44.6%0.0%0.0%-23.9%-1.3K520.6K-2.5K0.3860.63N/AN/A0032
2014-02-19$3899.72$5571.03128.2%36.7%55.8%51.3%0.0%0.0%-11.4%-1.1K488.2K-2.6K0.1474.27N/AN/A0033
2014-02-20$3922.01$5571.03119.5%34.3%50.2%44.8%0.0%0.0%-12.6%-1.3K519.6K-2.6K8.0068.19N/AN/A0033
2014-02-21$3944.29$5571.03114.6%32.9%50.2%41.2%0.0%0.0%-14.6%-1.3K531.1K-2.6K0.6763.36N/AN/A0033
2014-02-24$3832.87$5571.03100.8%28.9%46.1%30.9%0.0%0.0%15.2%-1.5K585.1K-2.3K0.0075.75N/AN/A0033
2014-02-25$3676.88$5571.0381.1%23.2%46.5%16.1%0.0%0.0%13.4%-1.5K572.0K-2.2K0.0659.49N/AN/A0033
2014-02-26$3565.46$5571.03131.4%37.7%47.4%53.7%0.0%0.0%-36.9%-1.3K554.3K-2.1K0.0074.01N/AN/A0033
2014-02-27$3676.88$5571.03101.4%29.1%48.4%31.3%0.0%0.0%1.0%-1.4K575.9K-2.1K0.0060.28N/AN/A0033
2014-02-28$3654.60$5571.03115.8%33.2%48.5%42.1%0.0%0.0%-50.9%-1.3K574.3K-2.1K2.0066.86N/AN/A0033