FDS Options History — March 2007

In March 2007, FDS traded between $60.00 and $66.74. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.0% (HV 20d: 25.6%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-03-13: Highest Volume — 2,049 contracts
  • 2007-03-12: Largest IV spike — 43.1% change
  • 2007-03-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.78$60.00$66.74$60.00$62.85
Max Pain$62.05$55.00$65.00$55.00$65.00
ATM IV25.6%17.4%34.9%24.9%24.1%
Expected Move7.7%6.9%10.0%7.2%6.9%
HV 20d25.6%20.5%29.4%21.4%27.7%
HV 60d21.5%19.5%22.5%19.5%22.3%
Term Structure-0.8%-5.3%2.3%1.3%2.3%
VWIV26.6%24.0%32.9%24.2%25.8%
Skew 25d2.9%-0.5%11.7%10.1%1.8%
Skew 10d5.0%0.1%19.3%16.1%3.2%
Call IV 25d24.2%18.7%28.2%19.3%25.5%
Put IV 25d27.0%24.8%31.6%29.4%27.3%
Bid-Ask Spread %30.7513.8657.2541.3742.69
Gamma HHI0.400.270.510.500.28
Net GEX-12.0K-128.3K86.9K-58.4K-39.7K
Net DEX-3.6M-9.0M1.8M-1.5M162.1K
Net VEX-37.2K-45.2K-29.7K-35.8K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.005.531.330.06
Total Volume441.045102,04935592
Total OI5,177.6363,6626,3605,4624,772

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$60.00$55.0024.9%7.2%21.4%0.0%24.2%10.1%1.3%-58.4K-1.5M-35.8K1.3341.3715201,6683,794
2007-03-02$60.44$55.0025.4%7.3%20.5%0.0%25.4%11.7%0.7%-36.1K-2.0M-35.2K0.0057.250101,6783,787
2007-03-05$60.38$60.0026.6%7.8%20.5%0.0%26.9%11.6%-1.0%-24.9K-2.2M-34.1K0.1413.8678111,6783,789
2007-03-06$61.94$60.0024.9%8.0%22.1%0.0%26.8%-0.2%-1.5%6.7K-3.9M-32.6K0.2320.39156361,7073,788
2007-03-07$62.15$60.0024.9%8.0%22.1%0.0%27.9%-0.5%-1.7%14.2K-4.3M-33.1K0.0818.93123101,7703,803
2007-03-08$63.28$60.0023.1%7.6%22.6%0.0%26.7%1.1%-1.0%21.1K-5.9M-33.3K0.0026.808801,8773,813
2007-03-09$63.31$60.0017.4%7.7%22.5%0.0%26.8%4.7%-1.3%30.9K-6.2M-32.6K0.4526.83121551,9233,813
2007-03-12$65.95$60.0024.9%7.9%25.7%0.0%27.5%0.7%-1.8%40.6K-8.4M-29.7K0.2542.50220551,9593,851
2007-03-13$65.24$60.0027.8%8.3%26.1%0.0%28.7%1.4%-2.7%59.5K-7.9M-32.4K5.5327.843141,7352,0503,896
2007-03-14$65.53$60.0024.4%8.0%26.1%0.0%27.0%1.7%-1.4%86.9K-7.4M-35.6K0.0331.5114652,1903,912
2007-03-15$66.74$60.0029.3%8.4%26.4%0.0%28.4%2.4%-3.1%16.9K-9.0M-34.1K0.5429.862991612,2313,912
2007-03-16$66.58$65.0028.5%8.2%26.1%0.0%28.3%1.5%-1.9%15.5K-8.8M-36.1K0.1225.08306372,3424,018
2007-03-19$64.70$65.0034.9%10.0%28.5%0.0%32.9%0.3%-5.3%-28.6K-2.4M-37.8K0.8227.747726331,6372,025
2007-03-20$64.70$65.0027.6%7.9%28.2%0.0%27.3%1.6%-1.3%27.4K-2.4M-45.2K0.3831.411,0784062,2272,436
2007-03-21$65.85$65.0024.4%7.0%28.6%0.0%24.4%2.5%0.6%37.8K-3.8M-42.8K0.9821.423022962,1202,445
2007-03-22$66.01$65.0026.1%7.5%28.3%0.0%25.3%2.1%-0.2%672-3.2M-41.6K0.2424.4184202,0202,459
2007-03-23$65.64$65.0025.2%7.2%28.4%0.0%24.0%0.9%-0.9%-22.2K-2.7M-40.6K0.6325.7067421,9672,449
2007-03-26$64.16$65.0024.1%6.9%29.4%0.0%24.4%1.6%1.5%-76.6K-926.0K-40.5K0.4623.762531161,9302,487
2007-03-27$62.94$65.0024.3%7.0%27.4%0.0%24.8%1.8%1.1%-104.7K420.5K-41.9K0.1042.23305312,0222,543
2007-03-28$61.78$65.0026.6%7.6%27.7%0.0%25.4%1.7%-0.8%-128.3K1.8M-40.6K0.4132.472991242,0402,531
2007-03-29$62.88$65.0024.5%7.0%27.7%0.0%25.9%2.1%0.9%-102.7K972.0K-40.7K0.0042.4828112,0192,530
2007-03-30$62.85$65.0024.1%6.9%27.7%0.0%25.8%1.8%2.3%-39.7K162.1K-41.7K0.0642.69557352,2432,529