FDS Options History — July 2008

In July 2008, FDS traded between $54.21 and $58.52. ATM implied volatility averaged 39.1%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.5% (HV 20d: 35.5%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2008-07-23: Highest Volume — 1,008 contracts
  • 2008-07-22: Largest IV drop — 15.1% change
  • 2008-07-08: Highest IV Rank — 60.1%
  • 2008-07-07: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.46$54.21$58.52$56.15$57.67
Max Pain$59.09$55.00$65.00$65.00$60.00
ATM IV39.1%32.4%43.5%41.6%32.8%
Expected Move11.2%9.3%12.5%11.9%9.4%
HV 20d35.5%28.1%39.8%39.6%32.4%
HV 60d34.5%32.9%36.2%35.6%34.6%
IV Rank48.9%32.0%60.1%55.3%32.8%
IV Percentile64.7%17.1%90.9%85.7%17.9%
Term Structure0.2%-1.5%2.1%1.0%1.6%
VWIV37.2%32.4%43.2%39.0%32.8%
Skew 25d5.8%3.3%8.7%4.3%8.7%
Skew 10d10.6%3.3%19.5%7.4%19.5%
Call IV 25d36.4%30.1%42.8%39.7%30.1%
Put IV 25d42.2%36.8%46.9%44.1%38.9%
Bid-Ask Spread %21.099.8932.2420.2325.47
Gamma HHI0.270.220.400.300.24
Net GEX-60.7K-244.5K136.1K-151.1K42.9K
Net DEX6.0M-3.5M14.1M9.4M-974.9K
Net VEX-54.0K-61.9K-46.9K-58.2K-56.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.002.230.490.00
Total Volume294.727291,008615151
Total OI9,937.2737,17312,22610,3288,316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$56.15$65.0041.6%11.9%39.6%55.3%39.0%4.3%1.0%-151.1K9.4M-58.2K0.4920.234142014,8435,485
2008-07-02$57.01$65.0041.2%11.8%37.4%54.3%38.9%4.1%1.8%-131.0K7.8M-61.9K0.1528.54207325,1455,656
2008-07-03$56.14$65.0041.0%11.7%36.6%53.8%38.9%4.5%2.1%-124.7K9.2M-60.4K0.2428.51142345,2945,675
2008-07-07$54.73$60.0043.0%12.5%36.8%58.9%43.2%3.3%-1.4%-149.0K12.2M-52.0K0.3511.05221785,3475,702
2008-07-08$56.70$60.0043.5%12.2%39.7%60.1%39.7%4.0%-1.5%-96.6K9.1M-55.6K2.239.891453245,3425,747
2008-07-09$55.64$60.0043.2%12.2%39.8%59.3%42.0%6.1%-0.5%-138.7K10.8M-54.1K0.5512.593321835,4065,782
2008-07-10$55.00$60.0042.3%12.1%39.5%57.2%0.0%6.9%-0.7%-185.8K13.0M-51.1K0.0015.8010005,4545,881
2008-07-11$54.28$60.0042.0%12.1%39.5%56.5%41.7%6.3%-0.4%-212.3K13.7M-49.1K0.4915.5096475,4235,841
2008-07-14$54.37$60.0043.1%12.4%38.2%59.2%0.0%6.6%-0.8%-224.2K13.6M-47.5K0.9815.0462615,5045,865
2008-07-15$54.21$60.0043.0%12.3%36.0%58.9%40.3%7.6%-1.1%-244.5K14.1M-46.9K0.8823.631551365,5205,918
2008-07-16$56.03$60.0041.7%12.0%37.3%55.7%39.2%6.7%-0.3%-224.9K11.6M-49.8K0.3716.055542045,5426,043
2008-07-17$57.15$55.0042.3%12.1%37.6%57.1%37.8%7.1%-0.9%8.7K9.2M-51.2K0.1014.60207215,9326,195
2008-07-18$57.03$55.0040.9%11.7%35.1%53.7%38.1%6.4%0.4%25.4K9.1M-50.4K0.4916.41156766,0256,201
2008-07-21$56.75$55.0038.5%11.0%33.7%47.3%36.9%7.0%0.0%40.4K-646.3K-48.3K1.5725.071822853,8133,360
2008-07-22$57.91$55.0032.6%9.4%34.7%32.5%33.4%7.1%1.7%88.2K-2.1M-52.6K0.9125.181161063,9543,620
2008-07-23$58.50$55.0033.9%9.7%32.6%35.8%33.9%5.3%1.4%136.1K-3.5M-53.4K0.7128.195904184,0153,637
2008-07-24$57.53$55.0034.0%9.7%32.9%36.0%34.0%5.2%1.3%65.9K-1.3M-60.6K0.2123.48131284,1424,012
2008-07-25$57.17$55.0035.9%10.3%28.1%40.8%32.8%5.1%0.0%42.7K-710.0K-59.2K1.5630.8939614,1774,028
2008-07-28$55.61$60.0037.3%10.7%29.5%44.4%33.3%5.8%-1.2%-58.1K2.3M-55.5K0.0417.852814,1794,076
2008-07-29$57.94$60.0032.4%9.3%32.2%32.0%32.4%5.3%1.4%63.9K-1.5M-57.6K0.7927.8563504,1704,076
2008-07-30$58.52$60.0033.0%9.5%32.3%33.5%35.6%4.8%0.7%92.1K-2.3M-56.8K2.1332.2415324,1794,098
2008-07-31$57.67$60.0032.8%9.4%32.4%32.8%32.8%8.7%1.6%42.9K-974.9K-56.5K0.0025.4715104,1894,127