DSS Options History — March 2014

In March 2014, DSS traded between $2852.37 and $3855.15. ATM implied volatility averaged 110.2%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded above realized volatility by 57.2% (HV 20d: 53.0%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.23.

Notable Days

2014-03-21: Highest Volume — 1 contracts
2014-03-07: Largest IV spike — 43.6% change
2014-03-21: Highest IV Rank — 64.4%
2014-03-21: Largest Expected Move — 41.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3443.43	$2852.37	$3855.15	$3610.03	$2852.37
Max Pain	$5571.03	$5571.03	$5571.03	$5571.03	$5571.03
ATM IV	110.2%	77.5%	145.6%	129.9%	111.8%
Expected Move	30.2%	20.3%	41.7%	37.3%	32.0%
HV 20d	53.0%	43.8%	83.3%	48.7%	83.3%
HV 60d	79.7%	77.7%	85.6%	79.4%	85.6%
IV Rank	37.9%	13.4%	64.4%	52.7%	39.1%
IV Percentile	52.3%	7.1%	86.1%	77.8%	56.0%
Term Structure	-3.3%	-39.1%	38.7%	-39.1%	-24.7%
Bid-Ask Spread %	55.75	10.16	110.19	66.86	10.16
Gamma HHI	0.73	0.52	0.95	0.69	0.95
Net GEX	-542	-1.6K	1.7K	-1.3K	1.6K
Net DEX	593.4K	383.3K	790.5K	564.0K	383.3K
Net VEX	-1.6K	-2.4K	-129	-2.1K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.23	0.00	39.86	0.00	0.00
Total Volume	0.143	0	1	0	0
Total OI	5.667	4	6	6	6

Daily Data (21 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
2014-03-03	$3610.03	$5571.03	129.9%	37.3%	48.7%	52.7%	0.0%	0.0%	-39.1%	-1.3K	564.0K	-2.1K	0.00	66.86	N/A	N/A	0	0	3	3
2014-03-04	$3766.02	$5571.03	108.4%	31.1%	50.4%	36.5%	0.0%	0.0%	17.9%	-1.5K	591.8K	-2.2K	0.60	62.22	N/A	N/A	0	0	3	3
2014-03-05	$3832.87	$5571.03	79.9%	22.9%	49.6%	15.2%	0.0%	0.0%	16.8%	-1.3K	570.0K	-2.3K	0.00	65.77	N/A	N/A	0	0	3	3
2014-03-06	$3721.45	$5571.03	77.5%	22.2%	48.2%	13.4%	0.0%	0.0%	-20.1%	-1.5K	568.5K	-2.2K	0.17	59.15	N/A	N/A	0	0	3	3
2014-03-07	$3832.87	$0.00	111.3%	22.6%	48.5%	38.7%	0.0%	0.0%	37.3%	-1.4K	526.0K	-2.4K	0.00	14.18	N/A	N/A	0	0	3	3
2014-03-10	$3855.15	$0.00	114.2%	25.2%	48.4%	40.9%	0.0%	0.0%	12.2%	-1.6K	597.0K	-2.3K	0.00	108.52	N/A	N/A	0	0	3	3
2014-03-11	$3855.15	$0.00	106.8%	20.3%	47.5%	35.4%	0.0%	0.0%	38.7%	-1.3K	545.8K	-2.4K	1.75	18.15	N/A	N/A	0	0	3	3
2014-03-12	$3699.16	$0.00	129.5%	35.3%	47.3%	52.3%	0.0%	0.0%	-14.1%	-1.2K	565.6K	-2.1K	0.00	110.19	N/A	N/A	0	0	3	3
2014-03-13	$3587.74	$0.00	106.2%	30.4%	47.7%	34.9%	0.0%	0.0%	-0.6%	-1.1K	510.6K	-2.2K	0.00	109.01	N/A	N/A	0	0	3	3
2014-03-14	$3587.74	$0.00	101.2%	29.0%	47.7%	31.2%	0.0%	0.0%	2.6%	-1.2K	532.0K	-2.2K	0.00	64.20	N/A	N/A	0	0	3	3
2014-03-17	$3409.47	$0.00	101.0%	28.9%	46.6%	31.0%	0.0%	0.0%	-11.6%	-1.2K	532.8K	-2.0K	13.00	60.28	N/A	N/A	0	0	3	3
2014-03-18	$3253.48	$0.00	114.9%	32.9%	43.8%	41.4%	0.0%	0.0%	-8.1%	-76	789.2K	-129	0.00	87.23	N/A	N/A	0	0	3	3
2014-03-19	$3320.33	$0.00	110.8%	31.8%	44.8%	38.4%	0.0%	0.0%	-1.0%	156	790.5K	-256	0.04	14.16	N/A	N/A	0	0	3	3
2014-03-20	$3208.91	$0.00	108.9%	31.2%	45.4%	36.9%	0.0%	0.0%	-4.1%	161	755.5K	-266	16.45	11.35	N/A	N/A	0	0	3	3
2014-03-21	$3275.77	$0.00	145.6%	41.7%	46.4%	64.4%	0.0%	0.0%	-27.5%	97	779.9K	-297	39.86	90.13	N/A	N/A	0	1	3	3
2014-03-24	$3164.35	$0.00	105.1%	30.1%	46.7%	34.1%	0.0%	0.0%	3.4%	-572	650.1K	-647	0.00	10.82	N/A	N/A	0	0	2	2
2014-03-25	$3052.92	$0.00	111.5%	32.0%	46.3%	38.9%	0.0%	0.0%	-13.4%	-549	632.3K	-631	0.00	61.24	N/A	N/A	0	0	2	2
2014-03-26	$3431.75	$0.00	125.1%	35.9%	63.6%	49.0%	0.0%	0.0%	1.0%	-430	680.2K	-778	0.00	19.11	N/A	N/A	1	0	2	2
2014-03-27	$2963.79	$0.00	111.4%	31.9%	80.5%	38.8%	0.0%	0.0%	-16.7%	1.1K	474.7K	-1.5K	0.00	70.32	N/A	N/A	1	0	3	2
2014-03-28	$3030.64	$5571.03	102.6%	29.4%	81.3%	32.2%	0.0%	0.0%	-17.5%	1.7K	420.9K	-2.0K	0.00	57.62	N/A	N/A	0	0	4	2
2014-03-31	$2852.37	$5571.03	111.8%	32.0%	83.3%	39.1%	0.0%	0.0%	-24.7%	1.6K	383.3K	-1.9K	0.00	10.16	N/A	N/A	0	0	4	2