DSS Options History — August 2014 In August 2014, DSS traded between $2518.11 and $3052.92. ATM implied volatility averaged 114.0%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 72.7% (HV 20d: 41.3%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-08-20 : Largest IV spike — 45.7% change2014-08-29 : Highest IV Rank — 75.5%2014-08-05 : Largest Expected Move — 34.9%Monthly Statistics Metric Avg Min Max Open Close Price $2761.11 $2518.11 $3052.92 $2986.07 $2518.11 Max Pain $5571.03 $5571.03 $5571.03 $5571.03 $5571.03 ATM IV 114.0% 80.6% 163.5% 97.4% 163.5% Expected Move 26.9% 13.2% 34.9% 29.6% 34.3% HV 20d 41.3% 36.3% 47.4% 47.4% 41.8% HV 60d 51.0% 47.0% 56.0% 55.6% 47.5% IV Rank 34.8% 7.4% 75.5% 21.2% 75.5% IV Percentile 40.3% 3.2% 91.7% 14.7% 91.7% Term Structure 25.8% -20.3% 44.8% 42.6% 25.8% VWIV 104.9% 67.8% 122.5% 121.2% 67.8% Bid-Ask Spread % 40.62 8.61 105.71 45.38 40.33 Gamma HHI 0.74 0.51 1.00 0.55 1.00 Net GEX 76 0 126 94 0 Net DEX 589.9K 543.6K 650.5K 637.0K 543.6K Net VEX -57 -103 0 -72 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0 0 0 0 0 Total OI 5 5 5 5 5
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 2014-08-01 $2986.07 $5571.03 97.4% 29.6% 47.4% 21.2% 0.0% 0.0% 0.0% 94 637.0K -72 0.00 45.38 N/A N/A 0 0 3 2 2014-08-04 $3052.92 $5571.03 95.2% 31.1% 46.9% 19.4% 0.0% 0.0% 42.6% 97 650.5K -75 0.00 35.24 N/A N/A 0 0 3 2 2014-08-05 $3052.92 $5571.03 102.8% 34.9% 40.4% 25.6% 121.2% 0.0% 44.7% 98 648.2K -82 0.00 25.22 N/A N/A 0 0 3 2 2014-08-06 $3030.64 $5571.03 89.8% 33.0% 38.2% 15.0% 0.0% 0.0% 43.7% 90 645.7K -82 0.00 17.29 N/A N/A 0 0 3 2 2014-08-07 $2919.22 $5571.03 87.3% 29.3% 37.8% 12.9% 102.3% 0.0% 40.7% 84 624.3K -68 0.00 28.99 N/A N/A 0 0 3 2 2014-08-08 $2963.79 $5571.03 97.4% 33.5% 38.2% 21.2% 0.0% 0.0% 40.9% 117 628.4K -103 0.00 27.78 N/A N/A 0 0 3 2 2014-08-11 $2896.94 $5571.03 80.6% 31.2% 38.3% 7.4% 0.0% 0.0% 36.9% 114 614.8K -91 0.00 19.65 N/A N/A 0 0 3 2 2014-08-12 $2874.65 $5571.03 99.6% 31.2% 37.7% 23.0% 0.0% 0.0% 30.0% 114 610.3K -91 0.00 31.83 N/A N/A 0 0 3 2 2014-08-13 $2896.94 $5571.03 109.6% 30.3% 37.6% 31.2% 107.1% 0.0% 32.2% 111 616.0K -83 0.00 23.83 N/A N/A 0 0 3 2 2014-08-14 $2763.23 $5571.03 107.1% 29.3% 36.3% 29.2% 122.5% 0.0% 27.7% 118 584.1K -99 0.00 26.66 N/A N/A 0 0 3 2 2014-08-15 $2584.96 $5571.03 110.9% 26.2% 42.0% 32.3% 108.4% 0.0% 16.8% 106 549.5K -81 0.00 41.94 N/A N/A 0 0 3 2 2014-08-18 $2674.09 $5571.03 97.7% 26.0% 44.2% 21.4% 0.0% 0.0% 33.1% 120 570.2K -76 0.00 105.71 N/A N/A 0 0 3 2 2014-08-19 $2696.38 $5571.03 98.3% 24.9% 43.9% 21.9% 0.0% 0.0% 5.7% 126 573.6K -86 0.00 59.40 N/A N/A 0 0 3 2 2014-08-20 $2607.24 $5571.03 143.2% 22.1% 41.1% 58.8% 0.0% 0.0% -20.3% 102 556.9K -57 0.00 62.78 N/A N/A 0 0 3 2 2014-08-21 $2674.09 $5571.03 135.1% 13.2% 41.5% 52.2% 0.0% 0.0% 44.8% 0 577.3K 0 0.00 102.38 N/A N/A 0 0 3 2 2014-08-22 $2584.96 $5571.03 134.4% 16.7% 42.4% 51.6% 0.0% 0.0% -12.4% 0 558.1K 0 0.00 8.61 N/A N/A 0 0 3 2 2014-08-25 $2540.39 $5571.03 116.5% 20.1% 42.4% 36.9% 0.0% 0.0% 30.0% 0 548.5K 0 0.00 19.87 N/A N/A 0 0 3 2 2014-08-26 $2540.39 $5571.03 130.5% 17.1% 42.5% 48.4% 0.0% 0.0% 29.1% 0 548.5K 0 0.00 11.69 N/A N/A 0 0 3 2 2014-08-27 $2584.96 $5571.03 147.7% 22.4% 43.2% 62.5% 0.0% 0.0% -2.2% 100 553.6K -50 0.00 61.43 N/A N/A 0 0 3 2 2014-08-28 $2540.39 $5571.03 149.0% 27.5% 43.2% 63.6% 67.8% 0.0% 26.9% 0 548.5K 0 0.00 56.99 N/A N/A 0 0 3 2 2014-08-29 $2518.11 $5571.03 163.5% 34.3% 41.8% 75.5% 0.0% 0.0% 25.8% 0 543.6K 0 0.00 40.33 N/A N/A 0 0 3 2
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