FDS Options History — June 2007

In June 2007, FDS traded between $60.30 and $69.36. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.1% (HV 20d: 26.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-06-19: Highest Volume — 2,768 contracts
  • 2007-06-13: Largest IV spike — 26.5% change
  • 2007-06-18: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.98$60.30$69.36$62.94$68.35
Max Pain$62.14$60.00$65.00$65.00$65.00
ATM IV22.6%16.3%30.7%20.0%22.7%
Expected Move7.0%5.7%8.8%5.7%6.5%
HV 20d26.7%17.3%34.0%17.8%33.2%
HV 60d21.1%18.5%23.4%20.2%23.2%
Term Structure0.3%-4.7%4.2%4.2%2.0%
VWIV25.0%21.9%30.7%23.4%24.6%
Skew 25d2.8%-5.4%7.0%3.4%2.6%
Skew 10d6.7%-8.0%15.8%5.5%6.1%
Call IV 25d22.6%18.6%27.9%20.2%22.9%
Put IV 25d25.4%22.5%27.7%23.6%25.5%
Bid-Ask Spread %32.9417.9544.5327.1137.75
Gamma HHI0.380.280.490.380.42
Net GEX127.2K-171.8K429.6K-82.0K253.0K
Net DEX-2.7M-9.4M3.3M-1.1M-6.2M
Net VEX-47.0K-81.5K-26.1K-31.9K-78.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.003.003.001.14
Total Volume390.619262,768192253
Total OI5,493.3332,8117,2734,8747,273

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$62.94$65.0020.0%5.7%17.8%0.0%23.4%3.4%4.2%-82.0K-1.1M-31.9K3.0027.11481442,4522,422
2007-06-04$63.25$60.0021.4%7.1%17.3%0.0%25.6%3.1%-0.4%-112.0K-972.7K-30.5K1.1731.1712142,4672,512
2007-06-05$63.65$60.0020.0%7.4%17.3%0.0%25.5%5.5%-0.8%-171.8K-1.7M-30.8K0.0331.71297102,4672,516
2007-06-06$62.34$60.0021.7%7.2%18.7%0.0%25.5%3.1%0.6%-13.4K350.7K-29.8K0.2634.0476202,5862,516
2007-06-07$60.30$60.0023.0%7.4%22.0%0.0%25.9%-5.4%-1.0%100.6K3.3M-26.6K0.1933.71170332,6042,525
2007-06-08$61.76$60.0021.3%7.7%23.9%0.0%26.4%-0.3%0.2%133.2K2.7K-26.9K2.9436.68682002,6092,248
2007-06-11$62.64$60.0016.3%7.2%24.0%0.0%25.3%2.9%-1.3%103.2K-1.0M-27.0K0.1844.5356102,5792,343
2007-06-12$62.47$60.0019.9%7.5%24.0%0.0%25.5%3.1%-0.7%75.4K-1.1M-27.7K0.6836.0044302,5872,350
2007-06-13$62.41$60.0025.1%7.5%23.9%0.0%25.7%3.2%-1.4%159.1K-1.7M-26.1K0.6833.6628192,6012,241
2007-06-14$63.21$60.0025.4%7.3%24.4%0.0%26.5%2.3%-1.6%140.9K-2.6M-26.5K0.3937.1928112,6112,218
2007-06-15$63.38$60.0024.5%7.0%24.2%0.0%24.8%3.4%-1.2%137.3K-2.8M-26.5K0.0543.6211262,6182,228
2007-06-18$63.87$60.0030.7%8.8%23.5%0.0%30.7%4.3%-4.7%198.0K-2.5M-26.9K0.1432.13699991,7641,047
2007-06-19$68.09$60.0023.2%6.7%32.5%0.0%23.1%3.8%0.2%429.6K-9.4M-27.0K0.1424.632,4223462,2471,058
2007-06-20$69.36$65.0021.4%6.1%32.6%0.0%21.9%3.2%1.6%191.3K-7.1M-73.1K0.2217.959082022,7493,688
2007-06-21$69.35$65.0021.0%6.0%32.4%0.0%23.5%2.1%2.4%171.5K-6.2M-74.7K0.3331.00260862,7363,812
2007-06-22$66.92$65.0023.9%6.9%33.9%0.0%23.5%3.1%-0.2%178.0K-2.6M-79.2K0.5532.873431892,8393,848
2007-06-25$66.68$65.0025.4%7.3%33.9%0.0%25.9%2.2%0.9%173.5K-2.3M-80.6K0.7728.3860462,9803,947
2007-06-26$66.99$65.0024.9%7.1%33.6%0.0%24.7%1.4%2.5%178.5K-2.0M-81.5K0.1232.73293353,0093,977
2007-06-27$68.16$65.0021.5%6.2%34.0%0.0%22.8%5.3%2.0%201.0K-3.6M-78.6K0.1339.61223292,9784,005
2007-06-28$68.40$65.0022.4%6.4%33.8%0.0%24.6%7.0%2.6%225.4K-5.6M-77.6K0.0025.2627313,0984,005
2007-06-29$68.35$65.0022.7%6.5%33.2%0.0%0.0%2.6%2.0%253.0K-6.2M-78.5K1.1437.751181353,2684,005