FDS Options History — June 2008

In June 2008, FDS traded between $56.36 and $66.44. ATM implied volatility averaged 42.8%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.4% (HV 20d: 35.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2008-06-16: Highest Volume — 4,109 contracts
  • 2008-06-12: Largest IV drop — 25.3% change
  • 2008-06-11: Highest IV Rank — 100.0%
  • 2008-06-16: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.62$56.36$66.44$62.66$56.36
Max Pain$63.33$60.00$65.00$60.00$65.00
ATM IV42.8%36.2%59.1%41.6%41.5%
Expected Move11.7%10.4%14.4%11.9%11.9%
HV 20d35.4%31.5%40.5%31.6%39.7%
HV 60d40.8%33.3%52.5%52.2%35.6%
IV Rank64.3%41.5%100.0%71.7%55.2%
IV Percentile80.6%54.0%100.0%90.1%85.7%
Term Structure-2.5%-9.5%2.9%-5.0%0.0%
VWIV41.1%36.9%49.7%41.6%38.4%
Skew 25d6.1%4.0%7.6%6.7%5.4%
Skew 10d11.4%5.7%17.1%13.0%5.7%
Call IV 25d38.1%33.0%46.5%40.3%37.7%
Put IV 25d44.2%38.2%53.3%46.9%43.1%
Bid-Ask Spread %17.5710.3628.4710.3618.79
Gamma HHI0.280.180.560.200.30
Net GEX201.5K-207.0K913.9K31.3K-207.0K
Net DEX-7.3M-26.1M9.6M-7.1M9.6M
Net VEX-53.9K-66.2K-44.9K-46.8K-57.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.052.920.670.06
Total Volume955.619314,10977482
Total OI12,211.4769,30317,13710,96610,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$62.66$60.0041.6%11.9%31.6%71.7%41.6%6.7%-5.0%31.3K-7.1M-46.8K0.6710.3646313,7157,251
2008-06-03$61.99$60.0045.7%13.1%31.8%83.4%48.5%6.4%-5.7%-7.5K-6.0M-46.6K2.9215.14361053,7067,252
2008-06-04$64.26$60.0044.9%12.9%34.2%81.0%45.8%5.3%-6.1%93.2K-9.1M-44.9K0.8814.584123613,7227,297
2008-06-05$65.27$60.0044.5%12.8%33.1%80.1%45.1%6.4%-5.7%183.4K-11.2M-46.4K0.2416.872564,0857,448
2008-06-06$63.79$65.0047.8%11.3%34.4%89.5%42.3%6.3%-3.5%110.7K-8.9M-47.8K0.8413.565394514,0877,454
2008-06-09$63.98$65.0050.8%11.6%34.4%97.9%39.0%6.4%-4.3%188.9K-9.7M-48.1K0.3413.62146494,5287,669
2008-06-10$62.94$65.0051.2%11.6%33.9%98.9%40.2%7.0%-4.5%178.9K-8.3M-48.7K0.1114.42144164,6637,641
2008-06-11$61.69$65.0059.1%12.6%34.7%100.0%43.1%6.9%-5.5%111.6K-6.1M-48.9K0.6516.846114004,7387,657
2008-06-12$61.80$65.0044.2%12.7%34.7%62.0%41.9%7.6%-5.6%152.1K-6.3M-50.4K0.5913.401961155,1557,932
2008-06-13$63.17$65.0040.9%11.7%31.5%53.7%42.0%7.3%-3.8%236.8K-8.7M-48.9K0.7517.442251685,1687,931
2008-06-16$64.93$65.0050.2%14.4%33.0%77.2%49.7%6.8%-9.5%336.2K-13.2M-48.6K0.3312.743,0951,0145,3017,998
2008-06-17$66.44$65.0040.7%11.7%33.8%53.2%42.4%7.4%-3.3%909.0K-21.4M-51.8K0.5628.472,2361,2546,5588,577
2008-06-18$64.40$60.0037.6%10.8%34.5%45.2%39.8%6.6%-0.3%743.5K-16.3M-59.0K1.4319.049811,4047,3089,123
2008-06-19$66.38$60.0036.9%10.6%35.9%43.2%37.8%6.8%0.4%826.1K-26.1M-59.5K0.1423.35399547,6239,514
2008-06-20$64.17$60.0037.0%10.6%38.3%43.7%37.2%6.0%-0.1%913.9K-12.6M-60.6K2.1023.166851,4377,5819,542
2008-06-23$63.13$65.0037.2%10.7%37.4%44.2%39.0%6.8%0.2%-38.2K-4.8M-66.1K0.0522.05351184,3944,909
2008-06-24$60.75$65.0036.8%10.5%37.6%43.1%36.9%4.3%2.2%-54.9K-454.7K-65.5K0.3518.961,0493624,6074,963
2008-06-25$61.11$65.0036.7%10.5%37.5%42.9%37.1%4.0%2.4%-132.5K240.1K-66.2K0.5123.48140724,5525,252
2008-06-26$58.19$65.0036.9%10.6%40.5%43.3%37.2%4.0%2.1%-170.4K6.1M-60.9K0.7617.033492654,5055,259
2008-06-27$57.61$65.0036.2%10.4%40.4%41.5%37.3%4.0%2.9%-174.4K7.0M-59.3K0.4315.742371024,5055,259
2008-06-30$56.36$65.0041.5%11.9%39.7%55.2%38.4%5.4%0.0%-207.0K9.6M-57.2K0.0618.79453294,5255,487