FDS Options History — September 2007

In September 2007, FDS traded between $56.42 and $68.55. ATM implied volatility averaged 36.3%, placing in the 71.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.0% (HV 20d: 38.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2007-09-25: Highest Volume — 2,382 contracts
2007-09-13: Largest IV spike — 22.5% change
2007-09-24: Highest IV Rank — 88.1%
2007-09-10: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.29	$56.42	$68.55	$58.94	$68.55
Max Pain	$56.84	$55.00	$60.00	$60.00	$60.00
ATM IV	36.3%	26.8%	41.1%	38.8%	26.8%
Expected Move	10.6%	7.7%	12.0%	11.1%	7.7%
HV 20d	38.3%	27.2%	66.6%	66.6%	33.1%
HV 60d	43.3%	41.8%	44.5%	43.5%	44.5%
IV Rank	71.5%	38.1%	88.1%	80.0%	38.1%
IV Percentile	90.6%	74.2%	99.5%	96.4%	74.2%
Term Structure	-1.8%	-6.3%	2.1%	-0.2%	2.1%
VWIV	37.0%	27.5%	42.2%	41.5%	27.5%
Skew 25d	5.2%	0.8%	12.7%	2.3%	4.7%
Skew 10d	7.9%	-0.7%	14.6%	5.1%	7.4%
Call IV 25d	34.8%	26.8%	40.6%	37.9%	26.8%
Put IV 25d	40.0%	31.5%	45.6%	40.2%	31.5%
Bid-Ask Spread %	33.09	17.71	73.13	73.13	22.63
Gamma HHI	0.51	0.38	0.92	0.51	0.54
Net GEX	-84.2K	-322.0K	2.8M	-203.8K	-322.0K
Net DEX	6.5M	-1.7M	12.2M	9.2M	1.1M
Net VEX	-55.1K	-73.1K	-44.7K	-54.4K	-73.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.07	2.92	1.03	0.47
Total Volume	606.368	50	2,382	353	1,062
Total OI	7,231.316	5,572	7,991	6,792	7,355

Daily Data (19 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
2007-09-04	$58.94	$60.00	38.8%	11.1%	66.6%	80.0%	41.5%	2.3%	-0.2%	-203.8K	9.2M	-54.4K	1.03	73.13	174	179	2,677	4,115
2007-09-05	$58.21	$60.00	40.9%	11.7%	65.8%	87.6%	39.1%	4.6%	-3.0%	-212.2K	10.4M	-51.1K	1.93	50.07	72	139	2,731	4,179
2007-09-06	$58.25	$60.00	35.8%	10.3%	65.7%	69.8%	39.1%	7.7%	0.8%	-230.3K	10.4M	-50.6K	1.92	52.50	166	319	2,700	4,175
2007-09-07	$56.78	$55.00	39.3%	10.8%	48.8%	82.0%	36.9%	3.5%	-0.8%	-261.0K	12.1M	-48.0K	0.07	28.58	301	20	2,831	4,375
2007-09-10	$56.42	$55.00	37.7%	12.0%	40.3%	76.5%	42.0%	4.3%	-3.1%	-278.5K	12.2M	-46.2K	1.80	28.32	20	36	2,899	4,331
2007-09-11	$57.17	$55.00	35.6%	11.6%	36.9%	69.2%	36.4%	5.3%	-3.1%	-292.5K	12.1M	-44.7K	0.25	28.28	40	10	2,905	4,306
2007-09-12	$58.47	$55.00	31.8%	11.3%	33.5%	55.8%	42.2%	6.9%	-2.5%	-243.4K	10.0M	-47.3K	0.57	24.49	210	119	2,908	4,266
2007-09-13	$58.27	$55.00	39.0%	11.2%	33.4%	81.0%	0.0%	5.0%	-3.0%	-246.6K	9.8M	-47.9K	2.50	26.41	20	50	2,952	4,326
2007-09-14	$60.38	$55.00	39.0%	11.2%	28.1%	81.0%	37.1%	12.7%	-3.2%	-199.1K	7.9M	-49.9K	0.63	32.14	434	274	2,972	4,361
2007-09-17	$59.46	$55.00	37.1%	10.6%	27.2%	74.1%	39.5%	6.5%	-2.1%	-268.9K	8.4M	-51.3K	0.56	29.01	167	94	3,165	4,583
2007-09-18	$60.76	$55.00	37.9%	10.9%	27.2%	77.2%	37.5%	5.7%	-2.6%	-190.1K	6.2M	-52.7K	0.79	30.38	82	65	3,292	4,630
2007-09-19	$61.93	$55.00	40.4%	11.6%	27.7%	85.7%	37.2%	7.0%	-3.5%	-165.7K	4.3M	-53.6K	1.34	40.09	82	110	3,265	4,655
2007-09-20	$61.70	$55.00	38.0%	10.9%	27.8%	77.3%	35.7%	4.8%	-2.7%	-256.9K	3.8M	-52.4K	0.20	32.57	282	57	3,251	4,678
2007-09-21	$64.92	$55.00	37.4%	10.7%	32.3%	75.3%	37.1%	5.8%	-3.2%	2.8M	-1.7M	-55.0K	0.68	44.34	766	523	3,351	4,640
2007-09-24	$64.22	$55.00	41.1%	11.8%	32.9%	88.1%	41.4%	0.8%	-6.3%	-274.9K	4.0M	-58.6K	0.67	32.38	1,268	845	1,756	3,816
2007-09-25	$66.10	$60.00	34.8%	10.0%	33.0%	66.4%	33.7%	3.2%	-1.0%	-148.4K	650.9K	-66.6K	0.68	17.81	1,421	961	2,470	4,219
2007-09-26	$65.82	$60.00	29.8%	8.5%	33.0%	48.6%	29.5%	3.0%	1.3%	-296.4K	3.0M	-71.1K	1.10	17.71	306	338	2,369	4,750
2007-09-27	$68.12	$60.00	28.5%	8.2%	34.3%	43.9%	32.1%	5.5%	1.8%	-291.2K	428.0K	-71.6K	2.92	17.89	130	379	2,312	4,829
2007-09-28	$68.55	$60.00	26.8%	7.7%	33.1%	38.1%	27.5%	4.7%	2.1%	-322.0K	1.1M	-73.1K	0.47	22.63	723	339	2,316	5,039