FDS Options History — October 2008

In October 2008, FDS traded between $34.08 and $51.05. ATM implied volatility averaged 80.1%, placing in the 74.7% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 6.6% (HV 20d: 73.6%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.96.

Notable Days

  • 2008-10-10: Highest Volume — 3,342 contracts
  • 2008-10-06: Largest IV spike — 30.6% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-16: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.90$34.08$51.05$51.05$38.79
Max Pain$47.83$45.00$55.00$55.00$45.00
ATM IV80.1%55.6%110.5%55.6%67.6%
Expected Move21.2%15.9%25.3%15.9%19.4%
HV 20d73.6%57.0%85.6%60.3%84.3%
HV 60d53.6%42.4%61.9%42.4%61.9%
IV Rank74.7%47.2%100.0%71.7%47.2%
IV Percentile97.5%92.5%100.0%96.4%92.5%
Term Structure-3.3%-9.7%4.0%-4.8%4.0%
VWIV71.8%49.2%91.5%49.3%67.8%
Skew 25d14.3%4.9%22.8%10.6%13.4%
Skew 10d26.2%6.6%42.6%15.6%40.3%
Call IV 25d65.4%49.2%77.4%49.2%63.2%
Put IV 25d79.7%59.8%93.4%59.8%76.5%
Bid-Ask Spread %42.1814.8763.7627.1957.23
Gamma HHI0.390.250.560.250.54
Net GEX-236.4K-355.2K-149.0K-346.0K-227.8K
Net DEX16.3M12.8M20.2M13.8M15.2M
Net VEX-38.5K-61.7K-22.1K-61.7K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.0111.490.050.16
Total Volume612.087293,3429989
Total OI9,721.9578,67212,0129,3989,576

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$51.05$55.0055.6%15.9%60.3%71.7%49.3%10.6%-4.8%-346.0K13.8M-61.7K0.0527.199452,9926,406
2008-10-02$49.25$55.0060.3%17.3%59.1%83.3%61.8%10.3%-7.3%-351.5K15.9M-57.4K1.0228.741901932,9896,508
2008-10-03$47.62$55.0056.6%16.2%59.7%74.2%49.2%9.8%-5.5%-342.1K17.6M-51.6K1.8755.10951783,1216,479
2008-10-06$45.96$55.0074.0%17.7%57.0%100.0%61.6%4.9%0.7%-310.1K18.8M-44.9K6.5428.41593863,1646,504
2008-10-07$43.47$55.0070.8%17.7%58.9%93.2%61.3%11.8%-0.8%-273.4K20.2M-39.0K5.0726.932411,2213,2046,594
2008-10-08$44.64$50.0079.6%19.1%60.0%100.0%66.3%12.6%-1.6%-252.9K16.4M-42.5K3.9119.74562193,3285,976
2008-10-09$41.90$50.0088.1%20.8%62.4%100.0%72.8%11.0%-3.0%-211.5K17.9M-34.8K6.7340.39523503,3696,032
2008-10-10$43.02$50.00110.5%24.9%64.1%100.0%91.5%16.0%-9.2%-196.9K16.3M-38.9K4.8026.695762,7663,3715,906
2008-10-13$48.00$45.0089.9%19.5%75.7%74.7%77.9%22.8%0.0%-355.2K12.8M-52.1K2.5014.874831,2093,7116,943
2008-10-14$46.06$45.0098.7%21.4%76.7%85.4%70.1%20.0%-4.1%-282.8K14.5M-49.7K0.4520.02196883,9517,092
2008-10-15$40.98$45.00108.0%24.0%85.2%96.9%90.1%17.5%-0.6%-211.5K18.4M-39.1K3.2046.80501604,0157,032
2008-10-16$42.15$45.0088.3%25.3%85.6%72.6%80.4%22.0%-9.7%-157.9K18.6M-37.3K0.8433.981,0068484,0296,932
2008-10-17$41.85$45.0083.2%23.9%80.3%66.4%85.1%19.3%-4.4%-177.2K18.4M-42.8K11.4939.70354024,5457,467
2008-10-20$42.23$45.0082.7%23.7%78.7%65.8%82.7%19.7%-9.1%-183.5K12.9M-40.2K0.5334.5019102,8065,866
2008-10-21$39.93$45.0072.1%20.7%79.2%52.8%69.4%15.1%-3.4%-206.0K14.3M-33.7K2.8850.352176252,8255,873
2008-10-22$38.69$45.0077.4%22.2%79.4%59.3%76.1%13.4%-3.4%-201.8K15.3M-32.8K3.6157.0318652,9996,180
2008-10-23$36.65$45.0082.1%23.5%79.4%65.1%74.2%11.8%-3.2%-189.4K16.3M-27.8K1.0763.7661653,0076,215
2008-10-24$35.80$45.0082.1%23.5%79.3%65.0%67.6%8.3%-1.9%-176.1K16.4M-26.1K0.0157.6450833,0656,261
2008-10-27$34.08$45.0082.3%23.6%77.8%65.3%0.0%8.6%-4.2%-149.0K16.5M-22.1K10.0060.15303003,2846,248
2008-10-28$36.89$45.0079.4%22.8%82.5%61.8%75.5%19.5%-1.7%-213.5K16.9M-26.4K0.3663.66114412,7836,358
2008-10-29$36.86$45.0082.2%23.6%82.6%65.1%75.9%14.2%-3.8%-210.6K16.3M-26.5K0.1257.90476592,8526,289
2008-10-30$37.93$45.0071.3%20.4%83.8%51.7%73.9%15.5%2.2%-211.4K15.8M-28.0K0.8359.371201003,1726,286
2008-10-31$38.79$45.0067.6%19.4%84.3%47.2%67.8%13.4%4.0%-227.8K15.2M-30.5K0.1657.2377123,2606,316