FDS Options History — September 2008

In September 2008, FDS traded between $50.00 and $63.59. ATM implied volatility averaged 47.7%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 5.2% (HV 20d: 42.5%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.51.

Notable Days

  • 2008-09-23: Highest Volume — 3,097 contracts
  • 2008-09-23: Largest IV drop — 39.0% change
  • 2008-09-16: Highest IV Rank — 100.0%
  • 2008-09-22: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.12$50.00$63.59$63.59$52.25
Max Pain$61.43$55.00$65.00$60.00$55.00
ATM IV47.7%30.1%67.1%30.1%55.8%
Expected Move14.0%8.6%19.2%8.6%16.0%
HV 20d42.5%27.8%60.4%27.8%60.4%
HV 60d36.9%32.7%42.9%32.7%42.9%
IV Rank57.4%11.2%100.0%11.2%72.0%
IV Percentile77.8%6.3%100.0%6.3%96.8%
Term Structure-2.4%-10.2%8.3%8.3%-5.0%
VWIV50.1%29.4%70.4%31.2%55.4%
Skew 25d8.0%2.8%14.4%5.2%10.6%
Skew 10d13.4%-10.9%34.2%10.5%17.1%
Call IV 25d43.0%29.1%62.7%29.1%48.2%
Put IV 25d51.0%34.3%73.6%34.3%58.8%
Bid-Ask Spread %26.9710.4582.0224.2842.97
Gamma HHI0.290.210.390.390.26
Net GEX-172.0K-388.0K199.5K199.5K-371.0K
Net DEX9.2M-5.8M21.3M-5.8M13.0M
Net VEX-49.8K-64.6K-38.1K-43.2K-63.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.0526.440.853.01
Total Volume786.476373,09737581
Total OI8,942.0486,44011,6867,5679,341

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$63.59$60.0030.1%8.6%27.8%11.2%31.2%5.2%8.3%199.5K-5.8M-43.2K0.8524.2820173,4794,088
2008-09-03$62.09$60.0034.7%10.0%29.1%25.2%0.0%5.2%7.5%133.4K-3.2M-43.0K3.1818.0711353,4844,094
2008-09-04$58.96$60.0035.0%10.0%33.8%26.2%29.4%5.4%7.9%-20.2K2.2M-40.6K3.1812.933471,1023,4824,112
2008-09-05$57.93$65.0034.8%12.2%33.5%25.4%42.5%8.8%-4.0%-43.6K6.9M-39.2K1.0013.5085853,7494,655
2008-09-08$60.45$65.0036.8%12.3%34.9%31.5%46.4%6.2%-3.6%49.5K3.0M-39.7K0.8410.4531263,7454,635
2008-09-09$59.44$65.0038.5%12.6%35.1%36.7%42.9%4.2%-3.9%4.4K4.7M-39.1K0.5215.844412303,7764,661
2008-09-10$60.18$65.0037.1%12.6%35.5%32.5%47.9%5.9%-4.2%43.5K4.0M-39.5K1.9513.85631233,8464,771
2008-09-11$59.13$65.0046.0%13.2%35.7%59.6%49.9%5.8%-5.5%18.8K5.6M-38.1K26.4413.03256613,8884,731
2008-09-12$57.36$65.0051.2%14.7%35.2%75.9%51.2%5.8%-6.0%-102.3K9.4M-38.1K5.1117.961648383,8955,201
2008-09-15$54.20$65.0057.4%16.4%38.6%94.6%56.8%9.0%-6.9%-252.8K14.8M-39.3K6.2141.132561,5903,8885,824
2008-09-16$54.00$65.0059.1%17.0%38.6%100.0%59.3%7.0%-6.3%-328.9K18.1M-49.6K2.3926.871924593,7506,926
2008-09-17$51.74$65.0066.4%19.0%40.1%100.0%66.1%7.3%-10.2%-388.0K21.3M-47.9K1.4435.153805473,7957,225
2008-09-18$52.75$65.0063.8%18.3%41.4%93.5%59.7%8.1%-8.8%-310.5K18.7M-54.5K2.2530.461623644,0187,340
2008-09-19$56.50$65.0060.2%17.3%49.6%84.5%58.1%14.4%-7.9%-276.8K13.9M-61.1K0.0527.33507234,0987,588
2008-09-22$53.06$65.0067.1%19.2%53.1%100.0%70.4%10.9%-9.1%-272.9K10.9M-54.6K3.0725.545191,5931,7424,698
2008-09-23$54.22$55.0040.9%11.7%53.3%35.5%42.7%12.6%5.5%-372.3K10.2M-63.5K1.7439.521,1311,9662,3965,844
2008-09-24$53.04$55.0043.1%12.3%53.1%40.8%44.0%12.4%3.5%-382.3K12.2M-64.4K0.6421.922701732,6626,185
2008-09-25$54.01$55.0042.6%12.2%53.4%39.7%45.4%9.0%3.1%-307.6K9.7M-64.2K1.0819.452813032,6895,829
2008-09-26$53.67$55.0043.3%12.4%53.3%41.4%44.1%10.7%2.3%-315.8K10.1M-64.6K3.8634.1321812,8106,037
2008-09-29$50.00$55.0058.6%16.8%57.7%79.1%58.3%2.8%-7.3%-315.3K13.8M-57.0K4.9882.021366772,8095,997
2008-09-30$52.25$55.0055.8%16.0%60.4%72.0%55.4%10.6%-5.0%-371.0K13.0M-63.8K3.0142.971454362,8856,456