FDS Options History — May 2008

In May 2008, FDS traded between $59.93 and $64.71. ATM implied volatility averaged 34.9%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.8% (HV 20d: 31.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-05-20: Highest Volume — 781 contracts
  • 2008-05-12: Largest IV spike — 13.1% change
  • 2008-05-29: Highest IV Rank — 70.9%
  • 2008-05-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.16$59.93$64.71$61.83$64.71
Max Pain$55.95$55.00$60.00$55.00$60.00
ATM IV34.9%29.2%41.3%32.1%39.5%
Expected Move10.6%8.8%11.8%9.2%11.3%
HV 20d31.0%27.0%34.5%34.3%29.7%
HV 60d51.2%50.4%52.0%51.0%51.9%
IV Rank52.8%36.6%70.9%45.3%65.7%
IV Percentile53.9%27.0%89.7%36.9%80.6%
Term Structure-1.8%-4.1%4.8%4.2%-3.6%
VWIV36.6%30.3%42.5%30.3%40.7%
Skew 25d5.4%4.4%6.3%5.2%4.9%
Skew 10d12.6%7.8%20.5%7.8%11.7%
Call IV 25d34.2%26.7%39.3%27.9%38.1%
Put IV 25d39.7%33.0%45.0%33.1%43.0%
Bid-Ask Spread %17.509.9330.2022.4320.32
Gamma HHI0.310.210.600.280.30
Net GEX131.3K-71.5K415.1K170.6K85.5K
Net DEX-9.7M-15.3M-5.9M-11.2M-9.4M
Net VEX-48.4K-57.7K-40.8K-57.2K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.009.550.270.32
Total Volume201.762178161597
Total OI10,313.7149,49510,66010,47010,550

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$61.83$55.0032.1%9.2%34.3%45.3%30.3%5.2%4.2%170.6K-11.2M-57.2K0.2722.4348133,8926,578
2008-05-02$60.95$55.0030.8%8.8%34.5%41.6%0.0%6.3%4.8%161.4K-9.9M-57.7K0.1923.87100193,9116,590
2008-05-05$61.33$55.0032.4%10.4%34.5%46.2%35.3%5.8%-1.6%182.5K-10.6M-55.7K0.1630.2064103,9536,609
2008-05-06$61.54$55.0031.7%10.3%34.5%44.2%39.5%5.8%-1.5%203.9K-11.0M-55.6K0.009.931404,0036,604
2008-05-07$60.08$55.0032.0%10.3%34.0%45.2%35.1%5.2%-1.8%181.3K-8.8M-56.6K0.9922.012022004,0036,604
2008-05-08$59.93$55.0030.1%10.5%34.1%39.8%35.8%5.3%-2.2%176.8K-7.8M-50.8K1.3818.1321293,8036,404
2008-05-09$60.03$55.0029.2%10.3%32.9%36.6%0.0%5.9%-1.8%196.3K-8.1M-50.6K0.0022.48103,8016,423
2008-05-12$61.63$55.0033.1%10.7%32.0%47.5%36.3%4.6%-2.7%224.5K-11.1M-46.1K0.6110.841651013,8016,413
2008-05-13$61.57$55.0031.2%10.7%31.2%42.3%36.1%4.8%-3.2%218.6K-10.9M-46.9K0.6711.5448323,8796,512
2008-05-14$61.63$55.0030.8%10.5%28.2%41.2%39.2%5.1%-2.1%218.2K-11.2M-45.3K0.0012.560163,9096,522
2008-05-15$64.50$55.0034.3%9.8%31.5%50.9%35.6%4.6%-1.5%297.2K-15.3M-40.8K0.3619.84217793,9096,524
2008-05-16$64.12$55.0034.6%9.9%27.0%51.9%33.9%4.4%-1.8%415.1K-14.5M-41.5K0.2521.73311794,0966,564
2008-05-19$63.68$55.0035.3%10.1%27.0%53.7%33.4%5.5%-1.6%55.1K-10.4M-41.7K2.0021.7618363,2636,232
2008-05-20$62.08$55.0038.7%11.1%28.8%63.5%38.6%6.1%-2.8%13.2K-8.3M-43.6K9.5514.65747073,2816,268
2008-05-21$62.00$55.0038.3%11.0%28.3%62.4%35.1%5.3%-2.4%-42.6K-7.4M-47.8K0.1512.92111173,3446,874
2008-05-22$62.29$55.0039.4%11.3%27.2%65.5%35.7%5.8%-3.6%-36.0K-7.7M-48.5K0.2413.30107263,3966,876
2008-05-23$60.65$55.0038.7%11.1%28.7%63.5%35.5%5.7%-2.1%-71.5K-5.9M-49.5K0.0014.0824803,4566,902
2008-05-27$62.94$60.0039.1%11.2%31.3%64.8%37.8%6.0%-3.5%8.7K-7.0M-45.8K1.0715.6257613,2216,902
2008-05-28$63.47$60.0039.9%11.4%31.0%66.8%42.5%6.3%-3.8%20.5K-7.5M-46.1K1.3512.021331793,2676,959
2008-05-29$64.36$60.0041.3%11.8%31.2%70.9%38.5%5.7%-4.1%78.2K-9.2M-43.9K1.0617.3047503,3907,100
2008-05-30$64.71$60.0039.5%11.3%29.7%65.7%40.7%4.9%-3.6%85.5K-9.4M-44.3K0.3220.324541433,4327,118