FDS Options History — January 2007

In January 2007, FDS traded between $55.30 and $58.78. ATM implied volatility averaged 22.2%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.3% (HV 20d: 18.9%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2007-01-22: Highest Volume — 2,091 contracts
  • 2007-01-31: Largest IV drop — 10.0% change
  • 2007-01-19: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.95$55.30$58.78$55.78$58.08
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV22.2%18.7%24.8%22.4%18.7%
Expected Move6.5%5.4%7.1%6.4%5.4%
HV 20d18.9%18.2%19.7%19.7%18.2%
Term Structure1.6%0.0%3.6%1.9%3.3%
VWIV22.4%19.3%24.9%22.4%21.5%
Skew 25d3.0%0.7%4.5%4.5%3.1%
Skew 10d5.9%2.6%8.6%8.3%7.0%
Call IV 25d23.2%22.0%25.0%23.2%22.1%
Put IV 25d26.2%24.4%27.9%27.7%25.2%
Bid-Ask Spread %38.9816.1358.5358.5334.05
Gamma HHI0.400.290.580.290.47
Net GEX-190.0K-516.5K68.7K-105.1K-302.6K
Net DEX552.2K-3.3M4.3M465.5K1.6M
Net VEX-32.8K-44.2K-22.9K-30.4K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0027.643.640.19
Total Volume214.232,0916564
Total OI4,841.353,8256,0664,1706,034

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$55.78$55.0022.4%6.4%0.0%0.0%22.4%4.5%1.9%-105.1K465.5K-30.4K3.6458.5314511,2322,938
2007-01-04$56.05$55.0022.4%6.4%0.0%0.0%19.3%3.0%1.7%-86.8K-205.7K-28.9K2.0028.015101,2462,956
2007-01-05$55.35$55.0022.3%7.0%0.0%0.0%0.0%3.5%0.2%-111.9K659.8K-29.6K0.0030.09301,2502,966
2007-01-08$55.38$55.0021.8%7.0%0.0%0.0%0.0%3.5%0.0%-113.4K789.4K-29.6K0.0029.480451,2482,966
2007-01-09$55.30$55.0021.6%6.9%0.0%0.0%21.1%3.8%0.6%-110.3K763.9K-28.5K0.2536.21821,2482,961
2007-01-10$55.34$55.0021.4%6.9%0.0%0.0%0.0%4.4%1.1%-104.3K632.8K-29.2K3.5034.364141,2562,941
2007-01-11$55.95$55.0022.8%6.5%0.0%0.0%23.8%3.7%2.3%-83.7K-226.3K-27.2K0.0529.53202101,2562,940
2007-01-12$57.61$55.0022.1%6.3%0.0%0.0%22.4%3.5%0.3%-54.6K-2.2M-25.1K0.6635.1035231,3622,950
2007-01-16$58.78$55.0022.5%6.4%0.0%0.0%22.3%1.8%1.1%52.8K-3.3M-23.0K0.0045.684401,3722,972
2007-01-17$58.78$55.0022.8%6.5%0.0%0.0%22.9%3.0%0.5%68.7K-3.3M-22.9K3.9548.10953751,3862,972
2007-01-18$57.58$55.0023.2%6.7%0.0%0.0%24.6%0.7%1.6%-129.3K-1.7M-27.8K2.6047.2320521,3773,283
2007-01-19$57.50$55.0024.8%7.1%0.0%0.0%24.9%2.2%1.1%-125.2K-1.6M-27.8K1.6716.1312201,3703,277
2007-01-22$57.11$55.0022.6%6.5%0.0%0.0%22.7%3.2%3.6%-141.6K876.8K-27.5K27.6438.92732,0188512,974
2007-01-23$56.65$55.0023.0%6.6%0.0%0.0%22.6%2.2%1.9%-516.5K4.3M-43.8K0.5537.3675418764,743
2007-01-24$57.17$55.0024.1%6.9%0.0%0.0%23.4%3.9%2.4%-466.1K3.8M-44.2K0.1646.05127209344,753
2007-01-25$57.06$55.0022.2%6.4%19.7%0.0%21.7%4.2%2.5%-466.5K3.8M-44.1K1.7653.661853261,0424,763
2007-01-26$57.56$55.0021.6%6.2%19.2%0.0%22.7%2.1%1.0%-372.3K2.4M-43.2K0.4855.2044211,2064,841
2007-01-29$57.65$55.0019.9%5.7%18.6%0.0%20.1%2.0%2.3%-349.1K2.2M-42.0K0.0034.6822701,2274,839
2007-01-30$58.38$55.0020.8%6.0%18.5%0.0%23.0%2.0%2.0%-283.2K1.2M-39.9K0.0041.161901,1804,839
2007-01-31$58.08$55.0018.7%5.4%18.2%0.0%21.5%3.1%3.3%-302.6K1.6M-41.1K0.1934.0554101,1954,839