FDS Options History — March 2008

In March 2008, FDS traded between $44.53 and $57.36. ATM implied volatility averaged 38.7%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 10.2% (HV 20d: 48.9%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.51.

Notable Days

2008-03-18: Highest Volume — 7,689 contracts
2008-03-13: Largest IV drop — 21.8% change
2008-03-12: Highest IV Rank — 93.2%
2008-03-17: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.68	$44.53	$57.36	$52.15	$53.87
Max Pain	$53.75	$50.00	$55.00	$55.00	$55.00
ATM IV	38.7%	34.3%	49.1%	40.1%	34.6%
Expected Move	10.7%	9.8%	13.7%	11.5%	9.9%
HV 20d	48.9%	20.0%	78.7%	26.2%	78.6%
HV 60d	38.4%	28.8%	49.7%	28.9%	49.7%
IV Rank	63.8%	51.7%	93.2%	68.0%	52.5%
IV Percentile	74.2%	51.2%	99.6%	86.9%	54.0%
Term Structure	-0.9%	-7.5%	2.7%	-2.9%	0.2%
VWIV	37.5%	32.8%	46.8%	35.4%	40.1%
Skew 25d	6.1%	4.2%	10.6%	5.5%	7.5%
Skew 10d	11.2%	-2.3%	23.1%	8.7%	13.8%
Call IV 25d	36.8%	28.8%	57.6%	35.5%	32.3%
Put IV 25d	42.9%	38.1%	63.9%	41.0%	39.8%
Bid-Ask Spread %	15.70	6.32	28.10	17.43	28.10
Gamma HHI	0.32	0.21	0.47	0.33	0.23
Net GEX	-270.7K	-456.4K	-26.3K	-286.3K	-145.9K
Net DEX	4.0M	-5.2M	17.3M	6.1M	423.5K
Net VEX	-62.8K	-79.3K	-46.8K	-57.8K	-71.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	0.07	6.69	2.68	3.41
Total Volume	1,068.15	15	7,689	81	163
Total OI	10,105.55	8,158	15,761	8,158	10,840

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
2008-03-03	$52.15	$55.00	40.1%	11.5%	26.2%	68.0%	35.4%	5.5%	-2.9%	-286.3K	6.1M	-57.8K	2.68	17.43	22	59	2,970	5,188
2008-03-04	$52.90	$55.00	35.4%	10.1%	26.9%	54.6%	39.3%	10.6%	-1.1%	-285.0K	5.1M	-57.2K	4.00	14.65	3	12	2,971	5,214
2008-03-05	$53.49	$55.00	35.7%	10.2%	24.1%	55.6%	35.4%	9.3%	-1.5%	-284.6K	4.4M	-56.1K	2.71	6.32	59	160	2,964	5,197
2008-03-06	$52.65	$55.00	35.8%	10.3%	20.0%	55.7%	37.6%	6.6%	-1.6%	-316.1K	5.9M	-57.1K	3.40	6.66	30	102	3,005	5,305
2008-03-07	$52.00	$55.00	40.4%	10.6%	20.5%	68.8%	34.1%	5.1%	-1.1%	-312.4K	6.5M	-56.3K	0.67	12.78	115	77	3,024	5,272
2008-03-10	$51.14	$55.00	44.0%	11.1%	21.2%	78.8%	38.7%	4.4%	-1.9%	-326.8K	7.8M	-53.6K	2.63	9.17	48	126	3,064	5,290
2008-03-11	$52.69	$55.00	43.9%	9.9%	23.6%	78.5%	37.7%	5.3%	-0.1%	-324.1K	5.8M	-55.4K	1.68	13.58	170	286	3,068	5,337
2008-03-12	$52.50	$50.00	49.1%	10.9%	23.7%	93.2%	34.7%	5.2%	-2.1%	-315.4K	5.6M	-55.0K	1.50	14.20	234	352	3,149	5,411
2008-03-13	$51.42	$50.00	38.4%	11.0%	24.8%	63.0%	38.3%	4.2%	-2.1%	-348.5K	7.7M	-55.1K	2.40	11.50	112	269	3,281	5,567
2008-03-14	$49.00	$50.00	39.6%	11.4%	30.1%	66.5%	43.2%	6.3%	-3.0%	-347.8K	10.9M	-53.8K	3.96	13.95	241	955	3,370	5,657
2008-03-17	$44.53	$50.00	47.9%	13.7%	44.4%	89.6%	46.8%	6.0%	-7.5%	-325.2K	17.3M	-46.8K	3.84	8.66	1,481	5,685	3,514	6,321
2008-03-18	$52.43	$50.00	39.3%	11.3%	75.0%	65.6%	37.9%	4.7%	-0.8%	-358.3K	1.8M	-68.8K	1.88	20.53	2,671	5,018	4,398	9,257
2008-03-19	$52.94	$55.00	36.3%	10.4%	75.0%	57.2%	37.2%	5.2%	1.6%	-456.4K	2.4M	-79.3K	0.65	16.56	601	392	5,206	10,412
2008-03-20	$54.52	$55.00	35.0%	10.0%	75.6%	53.6%	34.6%	6.6%	2.7%	-347.7K	-277.8K	-76.2K	0.07	10.66	236	17	5,388	10,373
2008-03-24	$56.63	$55.00	35.8%	10.3%	76.6%	55.8%	35.1%	5.9%	1.2%	-66.6K	-4.0M	-69.4K	0.67	27.67	260	175	3,340	6,755
2008-03-25	$57.36	$55.00	36.7%	10.5%	76.7%	58.3%	32.8%	6.0%	-0.6%	-26.3K	-5.2M	-68.6K	5.78	24.39	73	422	3,469	6,885
2008-03-26	$55.40	$55.00	36.1%	10.4%	77.1%	56.7%	36.0%	6.6%	-0.2%	-106.2K	-1.8M	-72.1K	1.10	10.22	29	32	3,481	7,093
2008-03-27	$53.06	$55.00	34.3%	9.8%	78.7%	51.7%	38.5%	5.9%	1.1%	-212.6K	2.0M	-72.9K	6.69	22.86	32	214	3,467	7,093
2008-03-28	$52.88	$55.00	34.5%	9.9%	78.5%	52.1%	36.8%	4.5%	0.9%	-222.1K	2.5M	-72.5K	0.55	24.04	277	153	3,480	7,035
2008-03-31	$53.87	$55.00	34.6%	9.9%	78.6%	52.5%	40.1%	7.5%	0.2%	-145.9K	423.5K	-71.8K	3.41	28.10	37	126	3,716	7,124