FDS Options History — October 2007

In October 2007, FDS traded between $67.54 and $73.53. ATM implied volatility averaged 31.9%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.1% (HV 20d: 29.8%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2007-10-22: Highest Volume — 794 contracts
  • 2007-10-11: Largest IV spike — 18.1% change
  • 2007-10-22: Highest IV Rank — 67.4%
  • 2007-10-22: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.06$67.54$73.53$68.45$70.52
Max Pain$68.04$60.00$70.00$60.00$65.00
ATM IV31.9%26.5%35.1%29.3%32.3%
Expected Move9.3%8.2%10.1%8.4%9.3%
HV 20d29.8%26.1%32.7%32.7%28.8%
HV 60d45.2%44.0%45.9%44.5%45.1%
IV Rank55.9%37.0%67.4%47.0%57.5%
IV Percentile81.3%69.6%85.6%80.2%78.9%
Term Structure1.4%-0.4%4.4%0.5%3.8%
VWIV32.8%28.3%39.2%30.2%31.0%
Skew 25d4.8%-0.2%10.8%9.0%4.9%
Skew 10d7.5%-5.1%19.1%7.3%14.5%
Call IV 25d30.6%23.2%34.5%23.2%30.9%
Put IV 25d35.4%30.0%40.5%32.1%35.8%
Bid-Ask Spread %34.2418.7353.5051.3028.02
Gamma HHI0.450.390.510.500.40
Net GEX-305.7K-441.6K-193.8K-331.0K-385.3K
Net DEX-1.1M-7.6M5.1M776.5K374.6K
Net VEX-70.0K-75.4K-65.3K-74.1K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.054.651.220.19
Total Volume274.7393179453480
Total OI8,143.4787,5718,8717,5887,988

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$68.45$60.0029.3%8.4%32.7%47.0%30.2%9.0%0.5%-331.0K776.5K-74.1K1.2251.302412932,4325,156
2007-10-02$68.85$65.0031.1%8.9%31.5%53.0%30.9%-0.1%-0.4%-325.4K15.2K-74.9K0.4648.473811772,5365,250
2007-10-03$69.20$65.0028.5%8.2%30.6%44.2%29.7%4.6%1.3%-313.3K-305.2K-75.4K0.4525.8769312,6475,287
2007-10-04$69.17$65.0028.7%8.2%30.7%44.9%28.3%3.3%2.5%-291.8K-665.4K-74.9K4.6518.77231072,6735,298
2007-10-05$71.55$70.0031.2%9.1%29.1%53.7%30.2%5.9%1.4%-278.4K-4.5M-71.7K0.0823.43265222,6725,363
2007-10-08$69.99$70.0029.1%9.1%30.9%46.3%30.5%2.3%1.1%-269.4K-2.3M-72.4K0.4221.593461452,7725,351
2007-10-09$71.50$70.0030.0%9.4%31.1%49.2%28.9%6.5%0.9%-213.1K-4.6M-71.5K0.0518.96212112,9135,389
2007-10-10$73.53$70.0026.5%8.7%31.4%37.0%33.8%10.8%0.5%-193.8K-7.6M-66.6K0.5526.162291252,9125,393
2007-10-11$73.30$70.0031.3%9.0%31.4%53.9%31.9%3.5%0.1%-201.8K-7.5M-66.5K1.1328.191812052,9235,433
2007-10-12$71.95$70.0031.8%9.1%31.8%55.7%31.4%3.0%0.6%-229.3K-6.2M-68.3K0.3524.98230802,9765,491
2007-10-15$71.51$70.0031.7%9.1%31.0%55.2%33.1%2.1%1.8%-229.9K-5.1M-67.9K0.1818.73276503,0025,486
2007-10-16$70.86$70.0033.0%9.5%31.3%59.8%32.1%2.8%1.9%-193.9K-4.5M-69.4K0.3322.75215703,1865,500
2007-10-17$70.70$70.0033.2%9.5%31.2%60.5%33.3%-0.2%0.7%-218.2K-3.7M-69.3K1.3631.232062803,2295,510
2007-10-18$70.70$70.0033.2%9.5%31.0%60.7%33.3%3.7%1.2%-201.6K-3.2M-69.0K0.2934.58181533,2215,552
2007-10-19$68.50$70.0034.4%9.8%29.3%64.6%34.2%0.7%0.5%-325.9K1.6M-69.8K1.9546.47621213,3085,563
2007-10-22$69.12$70.0035.1%10.1%28.9%67.4%35.8%6.9%-0.4%-405.5K3.2M-68.7K0.8339.774343602,5724,999
2007-10-23$69.70$70.0034.9%10.0%27.4%66.5%35.5%6.2%-0.1%-362.7K1.9M-69.9K0.3337.2792302,6925,116
2007-10-24$68.24$70.0035.0%10.0%28.6%66.8%39.2%6.4%1.6%-402.1K4.3M-70.3K1.2250.9741502,7085,126
2007-10-25$67.54$70.0032.9%9.4%26.1%59.5%38.7%8.1%4.4%-441.6K5.1M-69.8K1.1153.5085942,7025,131
2007-10-26$68.16$65.0032.5%9.3%26.3%58.0%32.6%6.6%2.7%-433.6K3.7M-69.2K1.8250.5811202,7495,182
2007-10-29$69.51$65.0033.5%9.6%27.2%61.5%0.0%9.0%3.4%-373.8K1.3M-66.4K0.2844.1965182,7495,182
2007-10-30$68.75$65.0034.0%9.7%27.4%63.2%36.5%5.4%3.3%-409.5K2.7M-68.0K0.9341.7027252,7765,204
2007-10-31$70.52$65.0032.3%9.3%28.8%57.5%31.0%4.9%3.8%-385.3K374.6K-65.3K0.1928.0267132,7835,205