FDS Options History — August 2008

In August 2008, FDS traded between $57.74 and $66.49. ATM implied volatility averaged 33.1%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.7% (HV 20d: 29.5%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2008-08-08: Highest Volume — 1,420 contracts
  • 2008-08-08: Largest IV spike — 17.0% change
  • 2008-08-04: Highest IV Rank — 36.6%
  • 2008-08-25: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.72$57.74$66.49$58.45$62.71
Max Pain$58.81$55.00$60.00$60.00$60.00
ATM IV33.1%29.2%37.2%32.3%29.2%
Expected Move9.3%8.4%10.2%9.3%8.4%
HV 20d29.5%27.7%32.1%32.1%28.2%
HV 60d34.1%32.9%35.5%34.4%32.9%
IV Rank23.4%8.2%36.6%31.7%8.2%
IV Percentile23.1%2.4%54.4%15.5%2.4%
Term Structure4.7%1.7%8.2%1.7%8.2%
VWIV33.7%28.7%37.8%37.8%36.0%
Skew 25d4.7%3.5%10.0%10.0%3.7%
Skew 10d9.3%1.5%15.7%10.1%8.6%
Call IV 25d30.6%27.6%33.3%27.6%28.4%
Put IV 25d35.3%32.2%38.6%37.5%32.2%
Bid-Ask Spread %22.8311.0549.9114.3120.45
Gamma HHI0.420.240.810.240.35
Net GEX342.8K24.9K1.2M86.8K153.3K
Net DEX-8.4M-20.9M-626.6K-2.0M-4.3M
Net VEX-49.3K-56.4K-44.0K-56.4K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.1310.333.330.66
Total Volume270.09571,42011753
Total OI8,163.8576,9269,6718,3597,582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$58.45$60.0032.3%9.3%32.1%31.7%37.8%10.0%1.7%86.8K-2.0M-56.4K3.3314.3127904,2324,127
2008-08-04$57.74$55.0034.3%9.9%30.9%36.6%36.4%5.3%3.5%24.9K-626.6K-53.9K3.1928.2516514,2404,167
2008-08-05$58.77$55.0032.9%9.5%29.0%33.2%32.4%4.6%4.3%102.5K-2.5M-53.6K0.2149.91139294,2354,168
2008-08-06$60.20$55.0033.3%9.5%29.0%34.1%33.0%4.6%4.1%214.2K-5.0M-53.8K1.5027.9020304,3424,195
2008-08-07$61.27$55.0031.6%9.4%28.8%25.5%31.0%4.8%4.3%324.4K-7.1M-52.8K10.3335.573314,3584,207
2008-08-08$63.37$55.0037.0%9.1%29.6%32.3%33.5%3.6%4.3%431.0K-11.3M-52.3K0.3230.411,0783424,3564,221
2008-08-11$63.92$60.0037.2%9.2%29.5%32.9%31.7%3.5%3.9%924.2K-14.0M-54.2K0.1329.98556715,2044,467
2008-08-12$63.63$60.0037.0%9.4%29.6%32.3%34.1%3.7%3.5%763.4K-12.7M-51.8K0.6136.5882504,9044,526
2008-08-13$64.07$60.0033.9%9.5%28.0%22.7%35.3%4.2%3.4%940.0K-13.7M-50.9K0.6330.0449314,9274,515
2008-08-14$65.67$60.0032.8%9.4%28.4%19.4%35.6%3.6%3.3%1.2M-18.2M-48.4K0.6121.42137844,9234,521
2008-08-15$66.49$60.0032.5%9.3%28.2%18.5%36.8%4.0%3.1%395.7K-20.9M-47.8K0.2022.869361874,9534,583
2008-08-18$65.45$60.0033.0%9.4%29.1%19.8%33.6%5.3%4.8%222.8K-10.4M-44.0K1.6417.691402293,3663,560
2008-08-19$64.02$60.0032.6%9.4%30.4%18.8%32.5%4.8%5.1%195.7K-8.3M-47.1K0.5613.0866373,4593,691
2008-08-20$63.00$60.0032.3%9.2%31.3%17.7%0.0%5.7%6.1%172.7K-7.0M-47.3K3.5011.1520703,4913,728
2008-08-21$63.34$60.0032.6%9.4%30.3%18.8%35.2%5.1%5.3%180.7K-7.5M-46.7K2.5811.05551423,5013,768
2008-08-22$64.00$60.0032.0%9.2%30.1%16.8%28.7%5.5%5.0%193.2K-8.1M-46.4K1.2112.7829353,5253,826
2008-08-25$61.76$60.0035.5%10.2%31.4%27.7%34.5%4.6%4.8%119.4K-4.9M-45.8K1.0913.6366723,5443,861
2008-08-26$62.48$60.0034.7%10.0%28.5%25.2%34.4%4.3%5.9%150.7K-5.9M-44.6K1.3814.2339543,5613,865
2008-08-27$63.24$60.0029.9%8.6%28.6%10.4%30.1%3.9%7.2%188.0K-5.4M-44.2K1.3117.432252943,2703,894
2008-08-28$63.49$60.0029.2%8.4%27.7%8.4%30.7%4.3%7.5%181.6K-5.5M-46.6K6.0020.79163,4744,104
2008-08-29$62.71$60.0029.2%8.4%28.2%8.2%36.0%3.7%8.2%153.3K-4.3M-45.7K0.6620.4532213,4754,107