DSS Options History — May 2014

In May 2014, DSS traded between $2339.83 and $3208.91. ATM implied volatility averaged 131.5%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 33.5%. IV traded above realized volatility by 67.6% (HV 20d: 64.0%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2014-05-09: Largest IV drop — 45.8% change
2014-05-08: Highest IV Rank — 98.0%
2014-05-01: Largest Expected Move — 44.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2745.19	$2339.83	$3208.91	$2874.65	$3097.49
Max Pain	$5571.03	$5571.03	$5571.03	$5571.03	$5571.03
ATM IV	131.5%	96.6%	190.6%	155.5%	96.6%
Expected Move	33.5%	25.7%	44.6%	44.6%	27.7%
HV 20d	64.0%	53.8%	73.3%	61.3%	73.2%
HV 60d	68.7%	65.7%	73.6%	66.6%	72.9%
IV Rank	53.9%	27.8%	98.0%	71.7%	27.8%
IV Percentile	64.2%	21.0%	99.6%	89.7%	21.0%
Term Structure	18.7%	-62.5%	46.8%	-56.6%	-16.9%
Bid-Ask Spread %	23.89	7.32	88.45	88.45	7.32
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	-30	-75	0	-28	-71
Net DEX	649.7K	554.6K	760.5K	678.4K	736.0K
Net VEX	-22	-64	0	-18	-58
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.43	0.00	0.00
Total Volume	0	0	0	0	0
Total OI	6	6	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 OI	Put OI
2014-05-01	$2874.65	$5571.03	155.5%	44.6%	61.3%	71.7%	0.0%	0.0%	-56.6%	-28	678.4K	-18	0.00	88.45	N/A	N/A	4	2
2014-05-02	$2785.52	$5571.03	155.1%	44.5%	62.1%	71.4%	0.0%	0.0%	-62.5%	-26	656.7K	-19	0.00	86.64	N/A	N/A	4	2
2014-05-05	$2807.80	$5571.03	152.9%	27.6%	60.3%	69.8%	0.0%	0.0%	36.9%	-28	662.3K	-18	0.00	59.80	N/A	N/A	4	2
2014-05-06	$2607.24	$5571.03	174.1%	25.7%	64.8%	85.6%	0.0%	0.0%	29.6%	-26	615.2K	-16	0.00	12.96	N/A	N/A	4	2
2014-05-07	$2696.38	$5571.03	175.7%	27.2%	66.2%	86.9%	0.0%	0.0%	37.3%	-27	636.2K	-17	0.00	11.69	N/A	N/A	4	2
2014-05-08	$2629.53	$5571.03	190.6%	29.3%	65.8%	98.0%	0.0%	0.0%	33.4%	-26	620.4K	-16	0.00	17.33	N/A	N/A	4	2
2014-05-09	$2629.53	$5571.03	103.3%	29.6%	64.8%	32.7%	0.0%	0.0%	34.2%	-24	620.2K	-17	0.27	11.30	N/A	N/A	4	2
2014-05-12	$2674.09	$5571.03	108.6%	31.1%	65.2%	36.7%	0.0%	0.0%	34.0%	-25	630.2K	-17	0.00	10.04	N/A	N/A	4	2
2014-05-13	$2651.81	$5571.03	109.3%	31.3%	64.4%	37.2%	0.0%	0.0%	32.4%	-25	625.0K	-17	0.00	14.70	N/A	N/A	4	2
2014-05-14	$2428.97	$5571.03	110.9%	31.8%	61.8%	38.5%	0.0%	0.0%	32.8%	0	574.4K	0	0.00	13.64	N/A	N/A	4	2
2014-05-15	$2339.83	$5571.03	149.1%	42.7%	53.8%	67.0%	0.0%	0.0%	31.8%	0	554.6K	0	0.00	14.68	N/A	N/A	4	2
2014-05-16	$2495.82	$5571.03	127.0%	36.4%	59.7%	50.5%	0.0%	0.0%	35.4%	0	591.6K	0	0.15	12.57	N/A	N/A	4	2
2014-05-19	$2540.39	$5571.03	124.4%	35.7%	57.1%	48.5%	0.0%	0.0%	-9.1%	0	605.6K	0	0.00	12.27	N/A	N/A	4	2
2014-05-20	$2584.96	$5571.03	137.5%	39.4%	56.1%	58.3%	0.0%	0.0%	46.8%	0	615.5K	0	0.00	18.41	N/A	N/A	4	2
2014-05-21	$2584.96	$5571.03	130.0%	37.3%	55.9%	52.7%	0.0%	0.0%	33.0%	0	615.5K	0	0.00	14.22	N/A	N/A	4	2
2014-05-22	$2830.08	$5571.03	111.7%	32.0%	65.5%	39.0%	0.0%	0.0%	42.9%	-50	669.3K	-34	0.43	13.26	N/A	N/A	4	2
2014-05-23	$2941.50	$5571.03	117.9%	33.8%	66.2%	43.7%	0.0%	0.0%	41.3%	-59	696.5K	-43	0.00	15.61	N/A	N/A	4	2
2014-05-27	$3208.91	$5571.03	117.1%	33.6%	72.3%	43.1%	0.0%	0.0%	36.7%	-75	760.5K	-50	0.39	16.67	N/A	N/A	4	2
2014-05-28	$3119.78	$5571.03	106.4%	30.5%	73.3%	35.0%	0.0%	0.0%	-0.2%	-72	739.2K	-64	0.00	13.32	N/A	N/A	4	2
2014-05-29	$3119.78	$5571.03	108.7%	31.2%	73.2%	36.8%	0.0%	0.0%	-1.3%	-74	740.4K	-60	0.00	36.75	N/A	N/A	4	2
2014-05-30	$3097.49	$5571.03	96.6%	27.7%	73.2%	27.8%	0.0%	0.0%	-16.9%	-71	736.0K	-58	0.00	7.32	N/A	N/A	4	2