FDS Options History — December 2007

In December 2007, FDS traded between $55.70 and $66.00. ATM implied volatility averaged 38.0%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.9% (HV 20d: 36.1%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.77.

Notable Days

2007-12-18: Highest Volume — 1,422 contracts
2007-12-13: Largest IV drop — 18.8% change
2007-12-10: Highest IV Rank — 83.7%
2007-12-04: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.42	$55.70	$66.00	$63.38	$55.70
Max Pain	$65.75	$60.00	$70.00	$70.00	$60.00
ATM IV	38.0%	32.0%	45.7%	38.7%	34.7%
Expected Move	10.5%	9.2%	11.7%	11.1%	10.0%
HV 20d	36.1%	32.7%	40.2%	33.2%	35.9%
HV 60d	32.4%	31.0%	33.2%	32.0%	33.2%
IV Rank	62.0%	45.1%	83.7%	63.8%	52.7%
IV Percentile	83.0%	67.5%	99.6%	87.9%	72.8%
Term Structure	-0.1%	-4.1%	3.7%	-1.6%	2.6%
VWIV	36.2%	20.0%	45.1%	38.9%	20.0%
Skew 25d	4.1%	1.7%	7.1%	4.2%	4.1%
Skew 10d	10.3%	3.8%	22.8%	14.1%	13.6%
Call IV 25d	35.1%	31.6%	41.2%	37.8%	33.8%
Put IV 25d	39.2%	34.4%	42.9%	42.0%	37.9%
Bid-Ask Spread %	30.09	19.26	41.98	27.58	21.18
Gamma HHI	0.56	0.36	0.66	0.59	0.60
Net GEX	-538.1K	-1.2M	245.5K	-862.8K	227.6K
Net DEX	11.6M	-966.5K	28.2M	13.2M	-37.9K
Net VEX	-33.1K	-49.5K	-16.3K	-45.5K	-22.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.04	6.76	6.76	0.15
Total Volume	366.1	45	1,422	481	279
Total OI	7,718.05	3,184	10,387	8,425	4,070

Daily Data (20 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
2007-12-03	$63.38	$70.00	38.7%	11.1%	33.2%	63.8%	38.9%	4.2%	-1.6%	-862.8K	13.2M	-45.5K	6.76	27.58	62	419	2,537	5,888
2007-12-04	$65.70	$70.00	40.9%	11.7%	35.6%	70.1%	38.0%	5.2%	-4.1%	-939.3K	8.0M	-49.5K	0.22	41.98	201	45	2,559	6,168
2007-12-05	$65.05	$70.00	39.9%	11.4%	35.6%	67.3%	39.7%	2.8%	-2.8%	-981.6K	10.8M	-47.3K	1.04	29.64	48	50	2,444	6,176
2007-12-06	$63.60	$70.00	40.3%	11.5%	35.6%	68.4%	41.4%	1.7%	-3.0%	-959.0K	13.8M	-45.0K	0.98	31.28	112	110	2,473	6,176
2007-12-07	$64.18	$70.00	43.1%	10.4%	35.4%	76.3%	35.7%	4.3%	-0.5%	-945.2K	13.0M	-45.0K	5.12	22.41	60	307	2,506	6,107
2007-12-10	$65.12	$70.00	45.7%	10.8%	34.8%	83.7%	45.1%	7.1%	-0.5%	-1.0M	10.6M	-43.2K	0.77	19.26	39	30	2,535	6,317
2007-12-11	$64.83	$70.00	45.3%	11.0%	34.2%	82.4%	41.4%	4.3%	-3.1%	-1.1M	11.7M	-40.9K	1.93	36.34	44	85	2,547	6,312
2007-12-12	$65.40	$70.00	45.7%	10.5%	32.7%	83.7%	36.2%	4.7%	-1.1%	-1.1M	10.2M	-40.4K	0.67	28.59	98	66	2,554	6,322
2007-12-13	$66.00	$70.00	37.1%	10.6%	32.8%	59.5%	38.7%	6.3%	-1.5%	-1.2M	8.6M	-38.8K	6.50	30.44	6	39	2,585	6,331
2007-12-14	$65.15	$70.00	34.9%	10.0%	33.2%	53.2%	35.8%	4.7%	0.4%	-1.2M	10.7M	-37.0K	0.69	32.41	170	118	2,591	6,347
2007-12-17	$62.67	$65.00	37.8%	10.8%	36.0%	61.5%	38.6%	4.0%	-1.5%	-1.1M	17.0M	-31.6K	0.70	27.37	345	242	2,724	6,417
2007-12-18	$59.30	$65.00	36.9%	10.6%	39.3%	58.9%	36.4%	5.1%	-0.0%	-395.7K	27.1M	-19.9K	1.35	25.40	605	817	2,941	6,536
2007-12-19	$57.31	$65.00	38.9%	11.2%	40.2%	64.5%	35.9%	5.9%	0.9%	-233.0K	28.2M	-16.3K	0.11	39.35	974	111	2,952	6,403
2007-12-20	$57.67	$60.00	34.6%	9.9%	39.5%	52.3%	35.4%	3.4%	2.6%	90.0K	26.0M	-21.7K	0.66	31.21	245	161	3,835	6,320
2007-12-21	$58.22	$60.00	33.0%	9.5%	39.2%	48.0%	33.5%	2.2%	3.7%	88.0K	25.7M	-23.4K	6.75	33.19	8	54	3,976	6,411
2007-12-24	$58.14	$60.00	32.0%	9.2%	39.2%	45.1%	33.0%	3.8%	1.5%	171.1K	-788.2K	-22.4K	0.25	36.40	101	25	2,050	1,134
2007-12-26	$58.37	$60.00	32.6%	9.3%	39.2%	46.7%	32.6%	1.7%	1.7%	183.8K	-966.5K	-22.3K	0.04	37.04	928	39	2,089	1,148
2007-12-27	$56.06	$60.00	34.6%	9.9%	35.5%	52.4%	34.5%	3.0%	1.7%	227.3K	-423.9K	-24.2K	0.25	29.93	55	14	2,779	1,162
2007-12-28	$56.50	$60.00	33.9%	9.7%	35.8%	50.5%	33.6%	2.7%	1.7%	245.5K	-755.5K	-24.4K	0.40	20.89	150	60	2,791	1,148
2007-12-31	$55.70	$60.00	34.7%	10.0%	35.9%	52.7%	20.0%	4.1%	2.6%	227.6K	-37.9K	-22.4K	0.15	21.18	243	36	2,890	1,180