FDS Options History — February 2007

Name: FDS Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, FDS traded between $59.04 and $63.25. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.3% (HV 20d: 16.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.34.

Notable Days

2007-02-23: Highest Volume — 1,847 contracts
2007-02-26: Largest IV spike — 11.6% change
2007-02-27: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.60	$59.04	$63.25	$59.22	$60.86
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	20.9%	19.0%	23.9%	20.1%	23.7%
Expected Move	6.1%	5.7%	6.8%	5.8%	6.8%
HV 20d	16.5%	13.2%	20.7%	18.8%	20.7%
Term Structure	4.9%	2.2%	6.4%	2.7%	2.4%
VWIV	22.1%	19.6%	24.2%	19.6%	23.6%
Skew 25d	3.3%	1.1%	11.3%	2.9%	4.0%
Skew 10d	8.3%	5.8%	18.1%	7.4%	9.2%
Call IV 25d	20.7%	18.4%	24.0%	22.8%	24.0%
Put IV 25d	24.0%	21.2%	29.7%	25.7%	28.0%
Bid-Ask Spread %	38.76	29.23	60.03	48.57	46.71
Gamma HHI	0.50	0.40	0.61	0.43	0.48
Net GEX	170.8K	-189.0K	503.0K	-189.0K	-34.2K
Net DEX	-5.0M	-9.0M	498.4K	498.4K	-2.4M
Net VEX	-41.1K	-48.3K	-35.4K	-39.9K	-35.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.00	6.42	0.00	0.13
Total Volume	424.474	21	1,847	72	44
Total OI	6,414.421	5,463	7,070	6,061	5,463

Daily Data (19 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 Vol	Put Vol	Call OI	Put OI
2007-02-01	$59.22	$55.00	20.1%	5.8%	18.8%	0.0%	19.6%	2.9%	2.7%	-189.0K	498.4K	-39.9K	0.00	48.57	72	0	1,222	4,839
2007-02-02	$59.37	$55.00	19.6%	5.9%	18.7%	0.0%	20.8%	3.3%	6.4%	-126.8K	-465.6K	-35.8K	0.10	36.64	1,140	119	1,202	4,839
2007-02-05	$59.13	$55.00	19.7%	5.9%	18.0%	0.0%	22.4%	2.9%	6.4%	114.9K	-3.4M	-48.3K	2.10	40.50	388	813	2,266	4,804
2007-02-06	$59.47	$55.00	19.7%	5.9%	18.0%	0.0%	23.7%	3.0%	6.4%	234.5K	-4.4M	-46.5K	1.33	38.50	15	20	2,293	4,384
2007-02-07	$60.15	$55.00	19.0%	6.0%	18.1%	0.0%	22.7%	3.3%	6.3%	297.7K	-5.6M	-44.3K	0.66	29.53	47	31	2,294	4,384
2007-02-08	$59.89	$55.00	20.2%	5.8%	18.3%	0.0%	24.2%	3.3%	6.3%	330.5K	-5.2M	-44.8K	0.00	34.75	27	0	2,291	4,384
2007-02-09	$59.29	$55.00	22.3%	6.4%	18.8%	0.0%	23.8%	3.0%	4.7%	256.1K	-4.1M	-45.6K	2.96	30.09	122	361	2,310	4,384
2007-02-12	$59.04	$55.00	21.5%	6.2%	16.1%	0.0%	21.5%	3.4%	5.5%	248.1K	-3.5M	-45.6K	6.42	35.71	12	77	2,338	4,604
2007-02-13	$59.48	$55.00	21.4%	6.1%	14.7%	0.0%	22.4%	4.5%	5.7%	386.1K	-3.9M	-45.2K	0.35	31.42	113	40	2,331	4,604
2007-02-14	$60.09	$55.00	21.4%	6.1%	15.1%	0.0%	21.5%	3.4%	4.9%	503.0K	-5.5M	-44.5K	0.11	33.86	47	5	2,402	4,624
2007-02-15	$61.18	$55.00	21.0%	6.0%	13.9%	0.0%	0.0%	3.8%	5.6%	291.9K	-7.9M	-41.5K	0.00	33.19	21	0	2,423	4,629
2007-02-16	$61.73	$55.00	20.9%	6.0%	14.0%	0.0%	20.3%	1.8%	5.6%	182.7K	-8.6M	-40.3K	0.29	34.93	132	38	2,411	4,629
2007-02-20	$62.57	$55.00	20.0%	5.7%	13.8%	0.0%	22.3%	2.6%	4.6%	131.6K	-7.6M	-39.3K	3.99	44.24	186	743	2,162	3,973
2007-02-21	$63.25	$55.00	20.0%	5.7%	13.2%	0.0%	20.7%	2.2%	4.9%	170.1K	-9.0M	-35.4K	1.73	58.75	30	52	2,296	3,664
2007-02-22	$62.68	$55.00	20.0%	5.7%	14.1%	0.0%	20.4%	1.1%	4.9%	197.1K	-8.5M	-36.3K	1.14	60.03	44	50	2,322	3,693
2007-02-23	$62.55	$55.00	19.9%	5.7%	14.1%	0.0%	22.0%	1.9%	4.9%	201.7K	-8.5M	-37.5K	2.42	29.23	540	1,307	2,360	3,743
2007-02-26	$61.79	$55.00	22.2%	6.4%	15.2%	0.0%	22.2%	1.5%	3.5%	113.3K	-5.8M	-37.5K	0.55	32.38	869	475	2,084	3,758
2007-02-27	$59.73	$55.00	23.9%	6.8%	20.2%	0.0%	23.8%	11.3%	2.2%	-63.3K	-1.4M	-36.5K	1.18	37.33	39	46	1,671	3,794
2007-02-28	$60.86	$55.00	23.7%	6.8%	20.7%	0.0%	23.6%	4.0%	2.4%	-34.2K	-2.4M	-35.5K	0.13	46.71	39	5	1,669	3,794