FDS Options History — July 2007

In July 2007, FDS traded between $64.90 and $68.88. ATM implied volatility averaged 24.8%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.2% (HV 20d: 24.6%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-07-11: Highest Volume — 323 contracts
  • 2007-07-24: Largest IV spike — 14.4% change
  • 2007-07-18: Highest IV Rank — 62.3%
  • 2007-07-18: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.04$64.90$68.88$68.73$65.99
Max Pain$60.71$60.00$65.00$65.00$60.00
ATM IV24.8%21.8%27.8%22.0%25.2%
Expected Move7.2%6.2%8.0%6.3%7.2%
HV 20d24.6%15.8%33.3%33.2%17.1%
HV 60d23.5%22.9%23.9%23.2%23.7%
IV Rank48.2%30.6%62.3%39.3%49.0%
IV Percentile76.0%34.1%94.1%61.9%82.6%
Term Structure1.2%-1.7%3.0%3.0%1.7%
VWIV24.4%18.8%28.1%22.5%23.7%
Skew 25d4.0%2.2%5.5%2.9%5.5%
Skew 10d8.5%4.1%14.7%6.4%9.8%
Call IV 25d23.0%19.6%25.0%22.7%21.8%
Put IV 25d27.0%24.8%28.9%25.5%27.3%
Bid-Ask Spread %38.4121.8451.3535.9637.33
Gamma HHI0.420.330.480.420.46
Net GEX86.7K-211.7K299.4K256.9K-185.1K
Net DEX-2.6M-7.6M4.6M-7.1M2.4M
Net VEX-72.6K-78.9K-65.9K-78.9K-66.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.003.750.980.65
Total Volume96.76223238951
Total OI7,170.3816,1367,8407,4376,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$68.73$65.0022.0%6.3%33.2%0.0%0.0%2.9%3.0%256.9K-7.1M-78.9K0.9835.9645443,3324,105
2007-07-03$68.51$65.0022.6%6.5%33.3%0.0%22.5%5.4%2.4%249.8K-6.7M-78.3K0.0029.1512803,3114,125
2007-07-05$68.22$65.0023.4%6.7%32.2%39.3%0.0%4.1%1.5%284.2K-6.2M-77.8K0.0030.36203,4024,125
2007-07-06$68.43$60.0022.7%7.3%29.0%35.4%27.1%3.4%-0.7%277.0K-7.3M-76.5K0.0028.742003,4024,125
2007-07-09$68.88$60.0023.9%7.0%28.2%41.7%23.8%4.5%-0.2%282.8K-7.6M-74.3K3.4821.8423803,3894,125
2007-07-10$66.90$60.0024.8%7.6%30.6%46.5%0.0%2.2%-1.7%283.5K-4.2M-75.0K0.1037.908793,3924,187
2007-07-11$65.75$60.0026.5%7.6%31.4%55.8%26.3%3.4%0.8%256.2K-716.3K-77.0K0.3236.84245783,4104,187
2007-07-12$66.50$60.0027.4%7.8%31.5%60.1%27.9%3.8%0.3%283.0K-2.4M-76.9K2.2945.1828643,4994,202
2007-07-13$66.56$60.0026.3%7.6%31.3%54.8%18.8%4.0%1.3%299.4K-2.6M-75.9K0.1645.61160263,5024,253
2007-07-16$67.11$60.0026.5%7.6%31.3%55.5%24.2%3.6%0.4%280.1K-4.2M-73.9K0.0047.919903,5454,278
2007-07-17$67.20$60.0027.4%7.9%31.3%60.5%0.0%4.0%0.8%271.6K-4.8M-73.6K0.1848.944993,5624,278
2007-07-18$67.09$60.0027.8%8.0%21.3%62.3%28.1%4.0%-0.8%235.5K-4.1M-73.5K0.0851.354843,5454,284
2007-07-19$67.60$60.0024.5%7.0%20.3%45.2%25.0%2.7%0.2%-51.2K-5.9M-70.7K0.0050.853403,5354,277
2007-07-20$67.37$60.0025.1%7.2%20.3%48.4%22.3%4.9%2.0%-123.8K-5.3M-70.2K0.0239.995313,5364,277
2007-07-23$67.53$60.0021.8%6.2%15.8%30.6%22.1%5.1%3.0%-163.4K-369.8K-68.2K0.0241.419922,2603,876
2007-07-24$67.36$60.0024.9%7.1%15.8%47.2%23.9%4.1%1.1%-148.0K91.1K-68.6K2.6347.1316422,3153,876
2007-07-25$66.75$60.0024.5%7.0%16.0%44.9%24.7%3.5%2.4%-173.9K1.1M-68.1K0.1334.004052,3173,910
2007-07-26$65.54$60.0024.5%7.0%15.9%45.2%24.5%3.0%2.2%-188.9K2.9M-67.9K3.7535.49612292,3233,910
2007-07-27$64.98$60.0025.3%7.2%15.9%49.1%24.5%4.9%1.8%-194.3K3.7M-67.5K0.1530.84105162,3183,870
2007-07-30$64.90$60.0024.3%7.0%15.9%44.2%25.0%4.1%2.7%-211.7K4.6M-65.9K0.2029.882552,3233,875
2007-07-31$65.99$60.0025.2%7.2%17.1%49.0%23.7%5.5%1.7%-185.1K2.4M-66.0K0.6537.3331202,3403,875