DSS Options History — June 2014

In June 2014, DSS traded between $3008.36 and $3565.46. ATM implied volatility averaged 119.2%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 32.8%. IV traded above realized volatility by 56.6% (HV 20d: 62.6%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 22.43.

Notable Days

  • 2014-06-20: Highest Volume — 3 contracts
  • 2014-06-09: Largest IV spike — 22.6% change
  • 2014-06-09: Highest IV Rank — 68.0%
  • 2014-06-09: Largest Expected Move — 42.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3194.06$3008.36$3565.46$3075.21$3052.92
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV119.2%96.8%153.4%116.8%127.9%
Expected Move32.8%22.2%42.2%33.5%36.7%
HV 20d62.6%50.5%72.2%72.1%54.3%
HV 60d70.1%62.3%74.8%72.7%62.5%
IV Rank40.4%20.7%68.0%42.8%46.3%
IV Percentile52.3%16.3%87.3%52.8%67.5%
Term Structure9.1%-27.3%51.9%-7.4%-7.5%
Bid-Ask Spread %44.669.7591.4111.8713.30
Gamma HHI0.990.951.001.001.00
Net GEX-390-2.1K2.7K-72-1.8K
Net DEX666.6K465.7K846.9K731.5K478.6K
Net VEX-574-1.8K-56-57-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.430.00335.300.120.19
Total Volume0.1430300
Total OI5.5244665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$3075.21$5571.03116.8%33.5%72.1%42.8%0.0%0.0%-7.4%-72731.5K-570.0011.87N/AN/A0042
2014-06-03$3119.78$5571.03109.1%31.3%72.2%37.1%0.0%0.0%-23.6%-75742.0K-580.009.75N/AN/A0042
2014-06-04$3142.06$5571.03127.7%36.6%65.8%51.0%0.0%0.0%38.4%-71746.8K-570.0011.87N/AN/A0042
2014-06-05$3186.63$5571.03134.0%38.4%65.2%55.7%0.0%0.0%-27.3%-77758.5K-590.1214.65N/AN/A0042
2014-06-06$3186.63$5571.03125.2%25.9%64.1%49.1%0.0%0.0%36.8%-82759.2K-620.0056.75N/AN/A0042
2014-06-09$3164.35$5571.03153.4%42.2%64.3%68.0%0.0%0.0%-17.8%-78755.3K-560.5088.67N/AN/A0042
2014-06-10$3320.33$5571.03127.3%36.1%65.8%45.8%0.0%0.0%-8.6%-75790.6K-680.0088.99N/AN/A0042
2014-06-11$3565.46$5571.03135.0%22.2%68.7%52.1%0.0%0.0%44.0%-55846.9K-830.1057.58N/AN/A0042
2014-06-12$3275.77$5571.03121.8%34.9%68.1%41.3%0.0%0.0%-12.1%2.7K490.2K-1.8K0.0091.41N/AN/A0042
2014-06-13$3231.20$5571.03122.8%35.2%66.2%42.0%0.0%0.0%-9.0%154752.1K-2070.0087.33N/AN/A0042
2014-06-16$3208.91$5571.03127.7%36.6%64.1%46.1%0.0%0.0%-21.3%161743.4K-2160.0088.53N/AN/A0042
2014-06-17$3275.77$5571.03119.8%34.3%64.1%39.6%0.0%0.0%42.6%171758.8K-2180.0063.54N/AN/A0042
2014-06-18$3208.91$5571.03112.9%32.4%65.1%34.0%0.0%0.0%33.0%191743.9K-2090.0018.47N/AN/A0042
2014-06-19$3231.20$5571.0399.5%28.5%65.0%22.9%0.0%0.0%51.9%195744.3K-2310.0061.56N/AN/A0042
2014-06-20$3119.78$5571.0396.8%27.7%59.8%20.7%0.0%0.0%31.5%197722.3K-213335.3059.17N/AN/A0342
2014-06-23$3231.20$5571.03106.8%30.6%59.5%29.0%0.0%0.0%2.1%-2.1K507.0K-1.4K0.0012.22N/AN/A0022
2014-06-24$3231.20$5571.03108.9%31.2%50.9%30.7%0.0%0.0%25.1%-2.0K497.3K-1.4K0.0012.22N/AN/A0022
2014-06-25$3164.35$5571.03108.5%31.1%50.5%30.3%0.0%0.0%24.6%-2.0K465.7K-1.5K0.0060.66N/AN/A0022
2014-06-26$3008.36$5571.03101.3%29.0%53.7%24.4%0.0%0.0%-1.8%-1.7K474.8K-1.4K0.1719.22N/AN/A0022
2014-06-27$3075.21$5571.03119.9%34.4%54.3%39.7%0.0%0.0%-2.8%-1.7K488.7K-1.3K0.0010.16N/AN/A0032
2014-06-30$3052.92$5571.03127.9%36.7%54.3%46.3%0.0%0.0%-7.5%-1.8K478.6K-1.4K0.1913.30N/AN/A0032