DSS Options History — December 2014

In December 2014, DSS traded between $891.36 and $1247.91. ATM implied volatility averaged 169.7%, placing in the 76.7% IV rank vs the trailing year. The 30-day expected move averaged 47.8%. IV traded above realized volatility by 23.0% (HV 20d: 146.7%). Max pain ranged from $5571.03 to $5571.03. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2014-12-26: Largest IV spike — 116.7% change
  • 2014-12-17: Highest IV Rank — 99.1%
  • 2014-12-17: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1106.10$891.36$1247.91$1158.77$1002.79
Max Pain$5571.03$5571.03$5571.03$5571.03$5571.03
ATM IV169.7%66.1%198.6%163.8%66.1%
Expected Move47.8%38.6%56.9%44.7%55.1%
HV 20d146.7%97.9%191.9%185.9%113.1%
HV 60d133.0%128.7%136.5%130.2%134.7%
IV Rank76.7%0.0%99.1%71.9%0.0%
IV Percentile83.3%0.0%99.6%88.1%0.0%
Term Structure-23.0%-44.3%-7.1%-7.1%-22.5%
Bid-Ask Spread %76.469.75156.7879.49143.46
Net GEX00000
Net DEX152.2K28.0K226.5K213.0K28.0K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.142.510.142.51
Total Volume00000
Total OI2.0450330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$1158.77$5571.03163.8%44.7%185.9%71.9%0.0%0.0%0.0%0213.0K00.1479.49N/AN/A0012
2014-12-02$1047.35$5571.03176.4%0.0%189.2%81.7%0.0%0.0%0.0%0192.6K00.14106.46N/AN/A0012
2014-12-03$1025.07$5571.03181.7%46.1%189.2%85.9%0.0%0.0%0.0%0186.8K00.1410.91N/AN/A0012
2014-12-04$1091.92$5571.03175.9%40.3%190.8%81.4%0.0%0.0%0.0%0200.3K00.0012.14N/AN/A0012
2014-12-05$1203.34$5571.03167.4%0.0%191.9%74.7%0.0%0.0%-7.1%0220.6K00.14114.46N/AN/A0012
2014-12-08$1203.34$5571.03173.5%38.6%191.1%79.5%0.0%0.0%-39.0%0220.7K00.1456.82N/AN/A0012
2014-12-09$1247.91$5571.03172.2%0.0%187.9%78.5%0.0%0.0%-11.5%0226.5K00.1470.21N/AN/A0012
2014-12-10$1203.34$5571.03177.7%0.0%188.7%82.8%0.0%0.0%-13.7%0220.3K00.14114.09N/AN/A0012
2014-12-11$1181.06$5571.03182.6%44.9%187.8%86.6%0.0%0.0%-44.3%0215.6K00.1460.46N/AN/A0012
2014-12-12$1247.91$5571.03179.4%48.5%187.5%84.1%0.0%0.0%-22.5%0226.4K00.1419.42N/AN/A0012
2014-12-15$1114.21$5571.03171.4%49.1%112.0%77.9%0.0%0.0%0.0%0200.4K00.1412.80N/AN/A0012
2014-12-16$1114.21$5571.03160.1%45.9%105.0%69.0%0.0%0.0%0.0%0201.6K00.1434.72N/AN/A0012
2014-12-17$1114.21$5571.03198.6%56.9%102.9%99.1%0.0%0.0%0.0%0200.2K00.1482.65N/AN/A0012
2014-12-18$1002.79$5571.03188.8%54.1%107.6%91.5%0.0%0.0%0.0%0181.9K00.1497.71N/AN/A0012
2014-12-19$891.36$5571.03172.8%49.5%97.9%78.9%0.0%0.0%0.0%0161.9K00.009.75N/AN/A0012
2014-12-22$1025.07$0.00188.4%0.0%112.3%91.1%0.0%0.0%0.0%041.1K01.67148.68N/AN/A0000
2014-12-23$1114.21$0.00180.4%0.0%116.9%84.9%0.0%0.0%0.0%044.1K01.6795.71N/AN/A0000
2014-12-24$1181.06$0.0088.6%0.0%115.1%13.1%0.0%0.0%0.0%047.2K01.67156.78N/AN/A0000
2014-12-26$1091.92$0.00192.1%55.1%118.1%94.0%0.0%0.0%0.0%044.1K00.1519.15N/AN/A0000
2014-12-29$1047.35$0.00177.6%0.0%118.7%82.7%0.0%0.0%0.0%042.1K02.51105.26N/AN/A0000
2014-12-30$1025.07$0.00198.0%0.0%118.3%98.6%0.0%0.0%0.0%033.2K00.00131.08N/AN/A0000
2014-12-31$1002.79$0.0066.1%0.0%113.1%0.0%0.0%0.0%0.0%028.0K00.00143.46N/AN/A0000