FDS Options History — May 2007 In May 2007, FDS traded between $61.51 and $64.89. ATM implied volatility averaged 21.2%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.2% (HV 20d: 15.0%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2007-05-24 : Highest Volume — 670 contracts2007-05-10 : Largest IV spike — 44.0% change2007-05-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $63.35 $61.51 $64.89 $61.51 $63.83 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 21.2% 16.0% 24.6% 24.6% 19.5% Expected Move 6.3% 5.6% 7.0% 7.0% 5.6% HV 20d 15.0% 12.9% 17.6% 14.8% 17.0% HV 60d 21.1% 20.0% 21.6% 21.5% 20.0% Term Structure 2.7% 0.6% 4.3% 0.6% 4.3% VWIV 22.1% 18.9% 25.4% 20.0% 18.9% Skew 25d 2.6% 0.4% 4.7% 2.6% 2.8% Skew 10d 3.8% -1.7% 8.2% 2.5% 5.3% Call IV 25d 21.5% 17.8% 23.7% 22.7% 18.4% Put IV 25d 24.1% 21.2% 26.1% 25.4% 21.2% Bid-Ask Spread % 32.85 15.34 55.55 30.08 27.29 Gamma HHI 0.33 0.27 0.45 0.27 0.39 Net GEX -18.2K -125.3K 87.5K -7.7K -86.8K Net DEX -1.9M -4.0M 787.4K 787.4K -2.5M Net VEX -30.9K -33.7K -25.3K -32.9K -32.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.00 1.62 0.70 1.57 Total Volume 172.636 25 670 240 206 Total OI 4,492.182 3,831 4,756 4,338 4,756
Daily Data (22 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 2007-05-01 $61.51 $65.00 24.6% 7.0% 14.8% 0.0% 20.0% 2.6% 0.6% -7.7K 787.4K -32.9K 0.70 30.08 141 99 2,174 2,164 2007-05-02 $62.21 $65.00 23.2% 6.6% 14.7% 0.0% 22.7% 2.7% 1.9% -23.0K -52.1K -33.3K 0.27 52.67 146 40 2,154 2,198 2007-05-03 $62.46 $65.00 22.4% 6.4% 14.7% 0.0% 22.6% 2.6% 3.0% -5.8K -315.3K -33.2K 0.00 55.55 45 0 2,210 2,204 2007-05-04 $63.28 $65.00 21.6% 6.4% 15.4% 0.0% 23.6% 0.4% 2.6% -9.4K -2.0M -33.4K 0.27 28.86 283 75 2,216 2,204 2007-05-07 $62.98 $65.00 16.9% 6.6% 15.5% 0.0% 24.4% 1.4% 2.6% 46.3K -1.8M -32.5K 0.15 25.94 306 45 2,347 2,207 2007-05-08 $63.39 $65.00 20.9% 6.9% 15.1% 0.0% 23.9% 2.8% 1.6% 87.5K -2.5M -33.7K 0.21 29.48 58 12 2,494 2,200 2007-05-09 $63.22 $65.00 16.0% 6.8% 14.2% 0.0% 23.8% 2.5% 2.1% 87.2K -2.5M -33.6K 0.00 48.47 30 0 2,509 2,212 2007-05-10 $63.23 $65.00 23.0% 6.6% 14.2% 0.0% 23.2% 2.9% 2.6% 77.8K -2.2M -32.3K 0.19 38.84 122 23 2,530 2,212 2007-05-11 $64.01 $65.00 21.4% 6.1% 14.3% 0.0% 22.0% 4.0% 3.6% 53.3K -3.5M -32.5K 0.00 40.86 129 0 2,492 2,235 2007-05-14 $63.86 $65.00 22.4% 6.4% 13.5% 0.0% 22.6% 3.1% 2.5% 44.5K -4.0M -31.4K 0.00 31.71 86 0 2,503 2,235 2007-05-15 $63.38 $65.00 21.7% 6.2% 13.7% 0.0% 22.1% 2.5% 2.9% -11.7K -2.4M -29.5K 0.00 39.28 77 0 2,489 2,235 2007-05-16 $63.38 $65.00 22.4% 6.4% 13.6% 0.0% 23.1% 2.7% 2.6% -14.6K -1.7M -29.2K 0.00 32.47 25 0 2,495 2,235 2007-05-17 $62.87 $65.00 22.7% 6.5% 12.9% 0.0% 23.1% 2.9% 2.1% -15.7K -1.7M -28.9K 0.00 40.87 77 0 2,509 2,235 2007-05-18 $64.04 $65.00 22.9% 6.6% 14.2% 0.0% 25.4% 2.4% 2.2% 33.4K -3.1M -29.3K 0.06 19.55 105 6 2,475 2,235 2007-05-21 $64.89 $65.00 21.6% 6.2% 14.4% 0.0% 20.4% 2.8% 3.5% -96.0K -3.6M -27.1K 0.86 34.94 116 100 1,878 1,953 2007-05-22 $64.24 $65.00 21.0% 6.0% 14.7% 0.0% 22.0% 1.8% 3.1% -125.3K -2.4M -27.8K 1.62 30.03 34 55 1,869 2,043 2007-05-23 $63.82 $65.00 20.9% 6.0% 14.5% 0.0% 21.2% 1.4% 2.6% -115.9K -1.8M -27.5K 0.16 28.02 186 30 1,888 2,045 2007-05-24 $62.25 $65.00 21.8% 6.2% 17.2% 0.0% 20.3% 2.4% 2.7% -74.4K 714.5K -25.3K 0.54 18.35 434 236 1,923 2,065 2007-05-25 $62.88 $65.00 20.4% 5.9% 17.6% 0.0% 21.0% 1.1% 2.2% -58.1K -581.7K -31.2K 0.04 15.34 245 10 2,270 2,280 2007-05-29 $63.87 $65.00 20.0% 5.7% 17.1% 0.0% 18.9% 4.6% 3.9% -99.3K -2.4M -31.8K 0.00 25.22 86 0 2,320 2,273 2007-05-30 $64.19 $65.00 20.1% 5.8% 17.2% 0.0% 20.1% 4.7% 3.8% -87.5K -3.1M -31.6K 1.00 28.82 65 65 2,390 2,267 2007-05-31 $63.83 $65.00 19.5% 5.6% 17.0% 0.0% 18.9% 2.8% 4.3% -86.8K -2.5M -32.1K 1.57 27.29 80 126 2,439 2,317
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