FDS Options History — January 2008

In January 2008, FDS traded between $51.74 and $56.34. ATM implied volatility averaged 37.0%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.7% (HV 20d: 29.3%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2008-01-18: Highest Volume — 1,721 contracts
  • 2008-01-07: Largest IV spike — 21.1% change
  • 2008-01-22: Highest IV Rank — 74.2%
  • 2008-01-22: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.73$51.74$56.34$55.05$56.04
Max Pain$54.76$50.00$60.00$60.00$55.00
ATM IV37.0%34.3%42.4%35.1%34.3%
Expected Move10.6%9.8%12.1%10.1%9.8%
HV 20d29.3%22.5%35.4%35.4%27.9%
HV 60d31.9%31.1%32.8%32.3%32.2%
IV Rank59.1%51.7%74.2%53.8%51.7%
IV Percentile78.7%63.5%95.2%76.1%63.5%
Term Structure2.2%0.0%4.5%1.8%3.6%
VWIV36.7%34.2%42.0%34.7%34.2%
Skew 25d5.1%1.5%7.9%3.2%2.0%
Skew 10d8.9%-2.8%16.6%7.9%11.2%
Call IV 25d35.8%32.8%39.4%34.8%34.7%
Put IV 25d40.9%36.7%46.1%38.1%36.7%
Bid-Ask Spread %22.0215.0636.7720.4318.05
Gamma HHI0.340.270.510.510.29
Net GEX80.1K-83.8K185.4K185.4K141.5K
Net DEX1.1M-2.4M3.9M525.4K-1.3M
Net VEX-21.1K-32.9K-14.6K-21.4K-32.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0010.790.490.86
Total Volume386.905151,721188314
Total OI5,0444,2536,2044,2535,759

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$55.05$60.0035.1%10.1%35.4%53.8%34.7%3.2%1.8%185.4K525.4K-21.4K0.4920.43126623,0711,182
2008-01-03$55.08$60.0034.5%9.9%31.8%52.1%34.5%1.5%1.9%184.2K481.0K-21.3K0.0016.0911103,1431,172
2008-01-04$53.23$50.0034.4%10.5%33.0%51.9%37.1%2.8%1.9%109.0K1.6M-18.3K0.1519.44222333,2431,172
2008-01-07$52.46$50.0041.7%11.4%32.7%72.3%36.1%7.3%0.9%59.6K2.2M-15.2K0.6931.9536253,3031,129
2008-01-08$52.65$50.0035.7%10.6%32.4%55.4%37.2%1.8%2.5%65.7K1.9M-15.6K2.0730.6915313,3251,113
2008-01-09$52.07$55.0040.7%10.9%31.0%69.6%37.0%5.2%4.5%59.1K2.0M-14.6K0.4326.467403203,3291,083
2008-01-10$52.91$55.0036.3%10.4%32.5%57.2%37.3%3.9%2.7%106.8K751.6K-19.7K5.9530.691056253,7651,263
2008-01-11$52.63$55.0035.7%10.2%31.7%55.5%36.6%6.8%3.4%-15.3K2.6M-19.8K1.3618.571201633,8241,661
2008-01-14$52.84$55.0035.4%10.2%31.4%54.7%37.8%5.1%2.3%-47.6K2.6M-19.9K3.0418.11501523,8721,821
2008-01-15$53.15$55.0035.6%10.2%31.9%55.2%35.6%6.2%2.0%-83.8K2.6M-19.7K0.0021.171503,8631,905
2008-01-16$52.69$55.0034.5%9.9%30.1%52.0%35.2%6.2%2.8%-61.5K3.2M-18.4K0.2419.814991223,8511,905
2008-01-17$51.80$55.0039.5%11.3%24.8%66.2%38.0%5.8%2.1%74.0K3.9M-18.9K4.8315.83351694,1661,983
2008-01-18$52.00$55.0040.7%11.7%22.9%69.5%38.1%5.5%1.6%84.6K3.6M-19.6K10.7922.221461,5754,1812,023
2008-01-22$51.74$55.0042.4%12.1%22.5%74.2%42.0%6.2%0.0%5.1K2.8M-21.3K2.1525.861182542,8001,909
2008-01-23$53.02$55.0039.8%11.4%24.3%66.9%41.3%7.9%0.1%67.7K1.2M-22.7K1.3520.0634462,8361,802
2008-01-24$55.18$55.0037.3%10.7%29.0%60.0%37.5%6.8%0.9%131.7K-973.3K-24.4K0.2617.94273722,8581,803
2008-01-25$56.32$55.0035.9%10.3%30.1%55.9%36.2%7.9%2.9%181.2K-2.4M-25.1K1.9836.77931842,9041,822
2008-01-28$56.28$55.0036.6%10.5%26.4%58.1%35.4%5.9%2.4%160.8K-2.0M-24.4K0.6115.0684512,9461,943
2008-01-29$56.34$55.0035.7%10.2%26.3%55.5%35.0%4.3%2.6%174.1K-2.3M-23.8K1.7918.801733092,9451,964
2008-01-30$54.95$55.0034.8%10.0%27.3%53.0%34.8%5.3%3.3%100.3K-30.8K-27.0K2.3918.321844393,0422,243
2008-01-31$56.04$55.0034.3%9.8%27.9%51.7%34.2%2.0%3.6%141.5K-1.3M-32.9K0.8618.051691453,1952,564