DSS Options History — September 2014

In September 2014, DSS traded between $1871.87 and $2740.95. ATM implied volatility averaged 157.4%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 32.1%. IV traded above realized volatility by 98.3% (HV 20d: 59.1%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-09-29: Largest IV spike — 76.9% change
  • 2014-09-15: Highest IV Rank — 100.0%
  • 2014-09-30: Largest Expected Move — 40.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2338.77$1871.87$2740.95$2562.67$1894.15
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV157.4%98.1%198.6%138.7%193.6%
Expected Move32.1%26.3%40.6%29.2%40.6%
HV 20d59.1%40.2%92.5%41.4%92.5%
HV 60d50.6%41.0%64.0%47.7%64.0%
IV Rank68.8%20.9%100.0%55.1%96.1%
IV Percentile79.8%15.1%100.0%73.8%98.8%
Term Structure-20.1%-71.3%16.5%-31.0%-71.3%
VWIV76.8%76.8%76.8%76.8%76.8%
Bid-Ask Spread %42.4321.1578.5456.9948.25
Gamma HHI0.960.641.001.001.00
Net GEX12013300
Net DEX475.2K309.9K596.7K553.3K332.9K
Net VEX-9-99000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.003.710.000.00
Total Volume00000
Total OI4.3333553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$2562.67$5571.03138.7%29.2%41.4%55.1%0.0%0.0%-31.0%0553.3K00.0056.99N/AN/A0032
2014-09-03$2540.39$5571.03158.2%30.1%41.2%71.2%0.0%0.0%16.5%0548.5K00.0060.91N/AN/A0032
2014-09-04$2518.11$5571.03149.9%34.8%41.2%64.4%0.0%0.0%13.8%0548.2K00.0040.33N/AN/A0032
2014-09-05$2562.67$5571.03170.3%34.9%40.9%81.1%0.0%0.0%12.9%0557.9K00.0040.33N/AN/A0032
2014-09-08$2607.24$5571.03166.7%37.1%41.0%78.1%0.0%0.0%-9.0%0567.6K00.0028.42N/AN/A0032
2014-09-09$2740.95$5571.03139.8%27.3%45.1%56.1%76.8%0.0%-4.9%0596.7K00.0047.46N/AN/A0032
2014-09-10$2584.96$5571.03117.4%26.5%49.3%37.6%0.0%0.0%6.3%0562.9K00.0021.15N/AN/A0032
2014-09-11$2562.67$5571.03175.5%26.7%49.0%85.4%0.0%0.0%-47.5%0558.1K00.0034.00N/AN/A0032
2014-09-12$2584.96$5571.03160.1%26.3%46.8%72.7%0.0%0.0%-14.9%0562.9K00.0022.11N/AN/A0032
2014-09-15$2629.53$5571.03198.6%30.2%40.8%100.0%0.0%0.0%-69.5%133550.5K-990.0033.48N/AN/A0032
2014-09-16$2540.39$5571.03111.0%30.9%40.7%31.1%0.0%0.0%-28.0%128531.2K-990.0033.10N/AN/A0032
2014-09-17$2495.82$5571.03138.3%29.3%40.8%52.6%0.0%0.0%-27.4%0535.1K00.0046.19N/AN/A0032
2014-09-18$2428.97$5571.03114.8%29.8%40.2%34.0%0.0%0.0%-39.3%0520.8K00.0042.88N/AN/A0032
2014-09-19$2027.86$5571.03163.3%29.8%73.4%72.2%0.0%0.0%-27.9%0434.4K03.7149.75N/AN/A0032
2014-09-22$2116.99$5571.03196.3%34.9%75.6%98.2%0.0%0.0%-0.4%0354.5K00.0044.08N/AN/A0012
2014-09-23$1871.87$5571.03188.2%33.3%85.6%91.8%0.0%0.0%0.0%0313.0K00.2047.79N/AN/A0012
2014-09-24$1894.15$5571.03196.8%35.8%86.0%98.6%0.0%0.0%-71.3%0309.9K00.0040.08N/AN/A0012
2014-09-25$1894.15$5571.03156.1%36.0%85.4%66.5%0.0%0.0%0.0%0330.8K00.0037.83N/AN/A0012
2014-09-26$2050.14$5571.0398.1%34.8%91.7%20.9%0.0%0.0%0.0%0358.4K00.0078.54N/AN/A0012
2014-09-29$2005.57$5571.03173.5%35.1%91.8%80.3%0.0%0.0%0.0%0350.6K00.0037.36N/AN/A0012
2014-09-30$1894.15$5571.03193.6%40.6%92.5%96.1%0.0%0.0%0.0%0332.9K00.0048.25N/AN/A0012