FDS Options History — April 2008

In April 2008, FDS traded between $51.55 and $61.50. ATM implied volatility averaged 32.7%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 24.7% (HV 20d: 57.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2008-04-16: Highest Volume — 763 contracts
  • 2008-04-18: Largest IV drop — 12.0% change
  • 2008-04-14: Highest IV Rank — 59.9%
  • 2008-04-14: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.54$51.55$61.50$55.58$60.03
Max Pain$54.09$50.00$55.00$55.00$55.00
ATM IV32.7%29.5%37.3%33.9%32.9%
Expected Move9.4%8.5%10.7%9.7%9.4%
HV 20d57.4%33.7%79.2%79.2%33.7%
HV 60d50.6%49.5%52.0%50.1%51.3%
IV Rank47.0%38.1%59.9%50.4%47.6%
IV Percentile42.5%33.3%69.4%48.4%38.9%
Term Structure3.4%1.0%5.3%1.0%2.9%
VWIV33.2%28.7%38.7%35.5%32.1%
Skew 25d5.4%3.5%6.7%6.1%6.0%
Skew 10d8.7%4.6%12.1%12.1%4.6%
Call IV 25d30.6%27.5%33.7%31.7%29.7%
Put IV 25d36.0%33.3%38.6%37.8%35.7%
Bid-Ask Spread %19.1713.8327.4313.8320.83
Gamma HHI0.280.210.560.230.28
Net GEX-17.9K-330.7K490.3K-37.2K121.4K
Net DEX-3.6M-11.0M5.1M-2.7M-8.3M
Net VEX-65.0K-70.3K-60.6K-70.3K-60.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0010.001.445.00
Total Volume187.545376323730
Total OI10,901.8189,76412,17110,92510,443

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$55.58$55.0033.9%9.7%79.2%50.4%35.5%6.1%1.0%-37.2K-2.7M-70.3K1.4413.83971403,7517,174
2008-04-02$55.45$55.0034.0%9.7%79.1%50.7%34.6%6.7%1.1%-37.5K-2.4M-69.9K0.3715.9457213,8297,261
2008-04-03$54.79$55.0033.1%9.5%79.2%48.2%0.0%5.9%1.0%-87.9K-1.1M-70.1K0.0025.041003,7947,257
2008-04-04$54.16$50.0033.7%9.7%79.1%49.8%35.8%5.1%2.8%-117.9K-137.4K-69.0K5.5214.93331823,7947,257
2008-04-07$54.32$50.0033.2%9.7%78.9%48.4%0.0%4.8%2.7%-111.5K-388.4K-68.6K0.0015.35303,8257,387
2008-04-08$54.54$50.0031.8%9.5%78.6%44.5%31.5%5.1%3.1%-95.3K-606.6K-67.0K0.1916.20227433,8287,387
2008-04-09$53.07$50.0032.9%9.5%78.6%47.6%33.2%5.6%3.9%-183.2K1.7M-67.6K5.0720.3415763,9497,384
2008-04-10$53.62$55.0033.0%9.4%78.7%47.7%34.8%5.2%3.6%-173.7K1.3M-66.9K6.5821.94664343,9347,445
2008-04-11$52.58$55.0033.4%9.6%78.6%49.0%33.4%4.3%3.9%-260.0K3.5M-67.0K0.4115.5132133,9757,603
2008-04-14$51.55$55.0037.3%10.7%76.9%59.9%38.7%4.9%1.9%-330.7K5.1M-63.3K1.1618.7475873,9207,335
2008-04-15$53.13$55.0034.0%9.7%68.1%50.7%38.1%5.4%3.6%-196.5K2.5M-62.6K1.0024.3810103,9627,410
2008-04-16$55.48$55.0033.4%9.6%39.1%48.9%34.1%5.8%3.6%20.7K-2.7M-60.8K0.6219.744712923,9427,360
2008-04-17$56.28$55.0033.5%9.6%39.2%49.4%30.6%4.9%3.9%5.5K-6.0M-65.2K0.3424.17241824,3237,616
2008-04-18$59.25$55.0029.5%8.5%41.9%38.1%31.4%3.7%5.1%490.3K-11.0M-63.4K0.6213.932661664,4747,697
2008-04-21$58.87$55.0030.2%8.7%40.1%40.1%33.1%3.5%5.1%40.0K-6.3M-64.5K4.1123.169373,4626,302
2008-04-22$58.49$55.0030.6%8.8%40.0%41.3%32.9%5.9%4.7%32.2K-5.9M-63.6K1.1027.4386953,4626,302
2008-04-23$59.46$55.0030.1%8.6%38.0%39.6%30.1%6.6%5.3%59.9K-7.2M-64.8K0.0327.203113,5456,418
2008-04-24$60.88$55.0031.8%9.1%34.3%44.5%28.7%5.7%3.8%83.4K-9.5M-60.8K0.4916.163301633,5426,418
2008-04-25$61.50$55.0031.7%9.1%34.1%44.3%28.9%5.6%3.9%138.0K-10.5M-60.6K0.2714.1566183,8106,491
2008-04-28$60.72$55.0032.9%9.4%34.6%47.6%33.0%6.0%3.5%132.1K-9.4M-61.0K10.0015.284403,8636,507
2008-04-29$60.08$55.0032.3%9.3%33.7%45.8%32.1%6.6%3.9%114.7K-8.4M-61.8K0.1817.4457103,8596,543
2008-04-30$60.03$55.0032.9%9.4%33.7%47.6%0.0%6.0%2.9%121.4K-8.3M-60.8K5.0020.835253,8906,553