FDS Options History — November 2007

In November 2007, FDS traded between $59.08 and $69.26. ATM implied volatility averaged 40.1%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 10.6% (HV 20d: 29.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2007-11-08: Highest Volume — 691 contracts
  • 2007-11-12: Largest IV spike — 33.1% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.60$59.08$69.26$68.29$62.68
Max Pain$69.52$65.00$70.00$65.00$70.00
ATM IV40.1%31.8%51.5%33.8%37.4%
Expected Move11.7%9.1%13.3%9.7%10.7%
HV 20d29.6%25.8%36.5%31.1%33.4%
HV 60d32.4%29.8%45.6%45.6%32.4%
IV Rank72.7%55.6%100.0%62.5%60.3%
IV Percentile93.2%77.3%100.0%81.9%84.8%
Term Structure-1.8%-5.7%5.0%3.4%-1.3%
VWIV41.3%31.8%48.3%32.9%40.6%
Skew 25d5.7%2.4%9.9%3.2%4.5%
Skew 10d12.3%5.3%20.6%9.1%11.0%
Call IV 25d38.8%31.7%42.8%33.3%37.7%
Put IV 25d44.5%35.6%49.1%36.4%42.2%
Bid-Ask Spread %37.6326.0150.8531.6645.05
Gamma HHI0.520.440.580.440.56
Net GEX-597.0K-783.8K-431.5K-431.5K-781.3K
Net DEX12.1M2.5M18.9M3.1M14.9M
Net VEX-56.1K-67.7K-42.2K-66.2K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.009.031.581.02
Total Volume18629691328105
Total OI8,3697,8949,0768,0048,342

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$68.29$65.0033.8%9.7%31.1%62.5%32.9%3.2%3.4%-431.5K3.1M-66.2K1.5831.661272012,8025,202
2007-11-02$69.26$65.0031.8%9.1%29.0%55.6%31.8%3.8%5.0%-433.2K2.5M-67.7K0.8750.8575652,8755,361
2007-11-05$67.99$70.0034.8%10.7%28.7%66.0%40.9%8.3%-1.3%-481.0K4.2M-65.5K0.5548.2377422,8575,371
2007-11-06$67.23$70.0036.1%11.1%27.5%70.8%37.8%2.4%-1.4%-528.7K6.0M-65.2K0.2650.7138102,8615,388
2007-11-07$65.73$70.0039.3%11.7%25.8%82.1%40.1%5.5%-3.3%-545.8K8.5M-64.5K0.3344.42102342,8605,398
2007-11-08$64.74$70.0038.9%12.6%26.0%80.7%44.7%8.7%-4.4%-521.8K10.1M-63.2K1.5631.562704212,8875,362
2007-11-09$63.32$70.0038.7%12.4%26.2%80.0%43.2%5.5%-4.5%-557.9K12.7M-63.6K1.4435.341081553,0175,705
2007-11-12$62.25$70.0051.5%13.3%26.5%100.0%44.5%5.2%-5.7%-584.0K14.0M-60.2K0.4526.1156253,0835,845
2007-11-13$64.14$70.0042.0%12.6%29.5%73.1%40.6%9.9%-4.8%-615.0K11.4M-62.1K0.2137.3453113,0805,818
2007-11-14$63.84$70.0039.5%12.4%29.5%66.0%45.9%6.8%-4.0%-630.3K10.9M-59.9K9.0326.01403613,0555,739
2007-11-15$64.01$70.0043.4%12.4%29.6%77.2%41.6%6.6%-4.4%-662.0K12.0M-60.5K0.0042.613103,0536,016
2007-11-16$64.10$70.0042.2%12.1%27.9%73.7%41.1%6.5%-3.1%-691.3K12.1M-59.6K3.0034.7910303,0606,016
2007-11-19$62.01$70.0043.7%12.5%29.4%78.0%42.4%5.3%-0.3%-628.1K14.6M-53.7K0.0046.105002,2935,601
2007-11-20$60.54$70.0043.2%12.4%29.6%76.7%42.0%5.0%-1.2%-584.1K17.5M-48.8K0.3537.26155542,3295,601
2007-11-21$59.08$70.0041.6%11.9%29.9%72.0%42.6%4.6%-0.1%-528.1K18.9M-43.3K0.5136.75118602,4245,610
2007-11-23$60.02$70.0042.4%12.1%30.9%74.2%40.6%5.4%-0.6%-580.0K17.8M-45.5K0.1242.022632,4195,662
2007-11-26$60.28$70.0042.6%12.2%30.6%75.0%41.8%5.9%-1.1%-604.9K17.7M-43.4K3.2426.7025812,4215,664
2007-11-27$59.97$70.0042.4%12.2%29.1%74.3%41.8%4.2%-1.3%-590.5K18.5M-42.2K0.0627.988652,4365,715
2007-11-28$63.35$70.0039.0%11.2%36.5%64.8%42.9%5.9%-1.4%-783.8K13.2M-48.8K6.0129.98784692,5125,720
2007-11-29$62.86$70.0038.6%11.1%34.8%63.7%48.3%6.1%-1.7%-773.3K14.4M-47.6K8.5838.74262232,4885,801
2007-11-30$62.68$70.0037.4%10.7%33.4%60.3%40.6%4.5%-1.3%-781.3K14.9M-46.9K1.0245.0552532,4935,849