DSS Options History — July 2014

In July 2014, DSS traded between $2807.80 and $3186.63. ATM implied volatility averaged 137.1%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 34.1%. IV traded above realized volatility by 87.2% (HV 20d: 49.9%). Max pain ranged from $5571.03 to $11142.06. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-07-22: Largest IV spike — 61.2% change
  • 2014-07-25: Highest IV Rank — 94.3%
  • 2014-07-11: Largest Expected Move — 40.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3021.52$2807.80$3186.63$3075.21$2919.22
Max Pain$6190.03$5571.03$11142.06$5571.03$5571.03
ATM IV137.1%86.1%186.4%132.5%160.3%
Expected Move34.1%28.3%40.7%38.0%30.3%
HV 20d49.9%45.3%59.9%54.1%46.9%
HV 60d59.1%55.9%63.2%61.8%55.9%
IV Rank53.8%11.9%94.3%50.0%72.9%
IV Percentile69.3%6.3%99.2%73.0%89.7%
Term Structure-37.2%-120.5%24.3%-24.2%-86.8%
VWIV98.9%66.5%112.1%66.5%111.4%
Bid-Ask Spread %48.057.39110.5611.7731.83
Gamma HHI0.930.511.001.000.54
Net GEX-803-1.9K99-1.8K92
Net DEX566.9K452.8K660.6K484.5K622.5K
Net VEX-636-1.4K0-1.4K-72
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume00000
Total OI4.8184555

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$3075.21$5571.03132.5%38.0%54.1%50.0%0.0%0.0%-24.2%-1.8K484.5K-1.4K0.0011.77N/AN/A0032
2014-07-02$3030.64$5571.03133.9%38.4%54.2%51.2%0.0%0.0%15.9%-1.8K474.7K-1.4K0.0058.83N/AN/A0032
2014-07-03$3075.21$5571.03127.3%36.5%54.2%45.7%0.0%0.0%-46.8%-1.8K488.7K-1.4K0.007.39N/AN/A0032
2014-07-07$3164.35$5571.03130.9%38.3%55.3%48.7%0.0%0.0%14.2%-1.9K499.4K-1.4K0.00108.25N/AN/A0032
2014-07-08$2963.79$5571.03149.3%36.6%59.9%63.9%0.0%0.0%7.7%-1.8K452.8K-1.4K0.0058.99N/AN/A0032
2014-07-09$3075.21$5571.03149.2%31.3%58.8%63.8%0.0%0.0%12.7%-1.7K490.6K-1.3K0.0011.77N/AN/A0032
2014-07-10$3186.63$5571.03134.9%38.7%53.9%52.0%0.0%0.0%-15.1%-1.9K502.6K-1.4K0.00108.13N/AN/A0032
2014-07-11$3142.06$5571.03142.0%40.7%45.3%57.8%0.0%0.0%-22.9%-1.8K492.1K-1.4K0.00105.89N/AN/A0032
2014-07-14$3075.21$5571.03108.2%31.0%45.6%30.1%0.0%0.0%-31.2%-1.8K480.6K-1.3K0.0013.30N/AN/A0032
2014-07-15$3008.36$5571.03107.3%30.8%46.1%29.4%0.0%0.0%24.3%-1648.1K00.0087.64N/AN/A0032
2014-07-16$2963.79$5571.03116.9%33.5%45.4%37.2%0.0%0.0%-35.0%-1638.5K00.0011.46N/AN/A0032
2014-07-17$2807.80$5571.03122.6%35.2%48.4%41.9%0.0%0.0%-38.7%0604.9K00.0012.56N/AN/A0032
2014-07-18$2874.65$5571.03137.3%39.4%49.4%54.0%0.0%0.0%-58.9%0619.3K00.0011.07N/AN/A0032
2014-07-21$2874.65$0.0086.1%30.4%48.2%11.9%0.0%0.0%0.0%0619.3K00.00110.56N/AN/A0022
2014-07-22$2919.22$0.00138.7%35.4%46.5%55.1%0.0%0.0%-44.7%0628.9K00.0081.77N/AN/A0022
2014-07-23$3052.92$0.00183.6%34.8%49.8%92.1%0.0%0.0%-120.5%0657.7K00.0061.69N/AN/A0022
2014-07-24$3119.78$0.00131.2%28.3%50.0%49.0%66.5%0.0%-44.7%-1.8K467.8K-1.4K0.0034.21N/AN/A0022
2014-07-25$3075.21$11142.06186.4%29.7%46.8%94.3%0.0%0.0%-108.2%36660.6K-240.0049.48N/AN/A0032
2014-07-28$3075.21$11142.06142.6%32.1%46.1%58.3%112.1%0.0%-55.1%38660.2K-270.0017.57N/AN/A0032
2014-07-29$3030.64$5571.03144.3%29.4%46.3%59.7%105.5%0.0%-59.1%79647.3K-540.0037.41N/AN/A0032
2014-07-30$2963.79$5571.03150.0%31.9%46.9%64.4%111.4%0.0%-64.2%99630.6K-670.0025.52N/AN/A0032
2014-07-31$2919.22$5571.03160.3%30.3%46.9%72.9%0.0%0.0%-86.8%92622.5K-720.0031.83N/AN/A0032