FDS Options History — August 2007

In August 2007, FDS traded between $55.54 and $66.91. ATM implied volatility averaged 34.4%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 17.8% (HV 20d: 52.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.81.

Notable Days

  • 2007-08-30: Highest Volume — 1,079 contracts
  • 2007-08-09: Largest IV spike — 77.7% change
  • 2007-08-09: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.48$55.54$66.91$66.19$59.93
Max Pain$62.83$60.00$65.00$60.00$60.00
ATM IV34.4%19.9%44.4%26.4%34.9%
Expected Move9.8%7.1%11.5%7.6%10.0%
HV 20d52.2%17.2%66.8%17.2%66.5%
HV 60d37.9%23.7%43.9%23.7%43.7%
IV Rank70.4%20.8%100.0%54.9%66.7%
IV Percentile87.0%7.4%100.0%88.3%91.0%
Term Structure-0.2%-3.0%3.6%2.4%1.3%
VWIV33.2%19.6%40.9%26.4%40.3%
Skew 25d3.9%-2.7%9.5%5.3%7.3%
Skew 10d6.9%-3.0%16.9%9.8%9.8%
Call IV 25d32.6%19.5%42.8%23.1%34.0%
Put IV 25d36.5%25.2%43.9%28.5%41.3%
Bid-Ask Spread %48.5826.3867.6446.1060.01
Gamma HHI0.490.370.570.450.50
Net GEX-197.4K-251.6K-36.3K-185.5K-178.9K
Net DEX10.0M828.6K15.3M2.6M8.5M
Net VEX-54.8K-65.7K-42.7K-65.7K-57.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0720.001.263.70
Total Volume273.87161,079212216
Total OI6,624.7396,0567,4726,2236,698

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$66.19$60.0026.4%7.6%17.2%54.9%26.4%5.3%2.4%-185.5K2.6M-65.7K1.2646.10941182,3283,895
2007-08-02$66.91$60.0024.6%7.1%17.7%45.9%19.6%5.0%3.4%-184.0K828.6K-65.6K0.0731.19151102,3643,945
2007-08-03$64.36$60.0025.1%7.2%22.1%48.5%26.2%6.8%1.0%-201.0K4.0M-65.2K1.5534.691271972,4123,954
2007-08-06$64.65$65.0025.0%8.0%22.0%47.9%26.6%3.6%1.0%-248.4K5.5M-65.0K0.8647.91107922,4314,110
2007-08-07$62.55$65.0019.9%7.6%22.7%20.8%27.9%5.3%1.6%-242.8K7.8M-63.1K0.5954.421901122,4934,147
2007-08-08$62.91$65.0022.2%7.5%22.3%33.2%29.5%4.0%3.6%-217.6K7.9M-62.8K0.7949.9833262,6114,174
2007-08-09$55.54$65.0039.5%9.7%48.3%100.0%30.1%-2.7%-1.0%-193.6K15.3M-45.5K1.9561.573035902,6204,173
2007-08-10$59.88$65.0037.9%10.4%56.8%93.2%35.6%5.9%-1.9%-103.8K10.8M-57.6K0.6767.645003352,7254,161
2007-08-13$62.54$65.0037.3%10.0%59.2%90.4%36.7%5.7%-1.0%-125.3K6.0M-64.8K1.0165.491621632,9704,292
2007-08-14$59.36$65.0044.4%10.5%61.7%100.0%36.8%-1.6%-1.3%-54.8K9.9M-60.0K1.2958.141682163,0204,280
2007-08-15$59.00$65.0040.1%11.3%61.6%84.8%39.9%1.5%-3.0%-36.3K11.0M-59.5K0.6358.26116733,0504,392
2007-08-16$55.66$65.0040.3%11.5%64.0%85.3%40.9%-0.2%-2.0%-207.0K14.3M-49.9K1.0760.50941013,0654,407
2007-08-17$57.34$65.0039.1%11.2%65.5%81.1%38.9%0.1%-2.6%-213.0K12.8M-52.7K1.0365.5960623,0764,369
2007-08-20$56.41$65.0038.5%11.0%65.5%79.1%37.0%3.5%-1.1%-236.8K12.4M-48.7K0.3342.41144472,1133,943
2007-08-21$56.40$65.0038.0%10.9%65.5%77.6%36.5%4.0%-2.5%-224.0K12.6M-48.3K0.1851.6465122,2193,984
2007-08-22$56.92$65.0036.0%10.3%65.8%70.4%34.4%2.5%-0.0%-243.0K12.2M-48.8K0.2235.7489202,2503,983
2007-08-23$56.94$60.0036.5%10.5%65.8%72.2%0.0%3.2%-0.7%-227.1K12.2M-48.6K20.0036.311202,2983,983
2007-08-24$57.02$60.0035.6%10.2%65.8%68.8%32.8%4.1%0.2%-242.7K12.7M-47.2K0.2339.3244102,2943,999
2007-08-27$56.25$60.0037.0%10.6%65.8%73.9%33.0%5.3%-0.5%-251.6K13.1M-44.3K2.2048.335112,2983,999
2007-08-28$56.02$60.0037.4%10.7%65.3%75.2%34.0%5.2%-0.5%-242.1K13.5M-42.7K0.4942.3643212,3023,989
2007-08-29$56.62$60.0040.0%11.5%65.5%84.3%31.0%6.1%-1.9%-244.1K13.0M-45.5K0.5633.43174982,3144,000
2007-08-30$58.55$60.0034.8%10.0%66.8%66.0%36.3%9.5%1.7%-237.4K10.5M-51.6K0.9926.385425372,3543,885
2007-08-31$59.93$60.0034.9%10.0%66.5%66.7%40.3%7.3%1.3%-178.9K8.5M-57.2K3.7060.01461702,6884,010