FDS Options History — November 2008

In November 2008, FDS traded between $33.18 and $40.06. ATM implied volatility averaged 79.2%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 7.6% (HV 20d: 71.6%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 4.27.

Notable Days

2008-11-24: Highest Volume — 1,801 contracts
2008-11-06: Largest IV spike — 11.9% change
2008-11-20: Highest IV Rank — 78.0%
2008-11-20: Largest Expected Move — 26.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.86	$33.18	$40.06	$39.31	$40.00
Max Pain	$55.79	$45.00	$60.00	$45.00	$50.00
ATM IV	79.2%	66.6%	92.7%	70.6%	75.7%
Expected Move	22.8%	19.1%	26.6%	20.3%	21.7%
HV 20d	71.6%	58.2%	84.2%	84.2%	68.2%
HV 60d	65.7%	61.4%	71.1%	61.4%	70.7%
IV Rank	61.5%	46.0%	78.0%	51.0%	57.2%
IV Percentile	94.1%	88.1%	98.8%	92.5%	88.9%
Term Structure	-8.0%	-16.4%	4.6%	2.5%	-7.7%
VWIV	75.9%	49.6%	92.4%	73.1%	69.2%
Skew 25d	14.2%	9.9%	17.4%	13.7%	11.1%
Skew 10d	25.1%	15.2%	39.1%	39.1%	26.0%
Call IV 25d	71.9%	59.6%	87.6%	63.9%	70.3%
Put IV 25d	86.1%	72.4%	100.6%	77.6%	81.4%
Bid-Ask Spread %	30.24	14.78	63.04	60.08	17.94
Gamma HHI	0.42	0.27	0.56	0.54	0.29
Net GEX	-197.9K	-361.0K	-17.7K	-244.2K	-17.7K
Net DEX	16.2M	3.6M	21.4M	14.9M	3.6M
Net VEX	-29.3K	-42.5K	-15.2K	-29.7K	-42.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.27	0.00	36.18	0.00	0.16
Total Volume	337.526	4	1,801	20	73
Total OI	10,199.526	7,856	12,308	9,547	8,784

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$39.31	$45.00	70.6%	20.3%	84.2%	51.0%	0.0%	13.7%	2.5%	-244.2K	14.9M	-29.7K	0.00	60.08	20	0	3,219	6,328
2008-11-04	$40.06	$45.00	66.6%	19.1%	82.7%	46.0%	73.1%	12.8%	4.6%	-262.5K	14.6M	-30.0K	3.13	40.01	23	72	3,219	6,328
2008-11-05	$37.90	$45.00	68.6%	19.7%	83.8%	48.4%	72.0%	11.0%	3.8%	-242.7K	16.4M	-25.1K	0.61	61.74	157	96	3,203	6,378
2008-11-06	$36.15	$45.00	76.7%	22.0%	82.5%	58.4%	69.3%	9.9%	1.9%	-207.1K	17.2M	-21.7K	0.00	32.10	0	31	3,137	6,408
2008-11-07	$36.90	$60.00	75.6%	22.2%	82.3%	57.1%	62.0%	14.6%	-11.6%	-234.3K	17.5M	-21.2K	3.00	63.04	1	3	3,137	6,431
2008-11-10	$36.26	$60.00	77.1%	22.6%	69.6%	58.9%	73.3%	14.3%	-12.2%	-222.4K	18.0M	-18.1K	1.83	16.08	29	53	3,138	6,434
2008-11-11	$34.89	$60.00	77.4%	22.9%	69.5%	59.3%	49.6%	14.6%	-12.3%	-171.6K	18.6M	-15.2K	36.18	17.82	38	1,375	3,164	6,465
2008-11-12	$33.98	$60.00	78.7%	23.5%	58.2%	60.9%	0.0%	15.2%	-9.9%	-173.1K	20.3M	-26.5K	12.62	26.30	42	530	3,126	7,810
2008-11-13	$37.14	$60.00	80.8%	23.2%	66.8%	63.5%	83.6%	17.4%	-9.9%	-328.4K	19.9M	-33.6K	2.04	20.33	28	57	3,154	8,200
2008-11-14	$38.18	$60.00	78.8%	22.6%	67.9%	61.0%	86.0%	14.5%	-11.2%	-361.0K	18.3M	-36.6K	0.56	20.99	152	85	3,182	8,237
2008-11-17	$36.90	$60.00	86.0%	24.7%	68.4%	69.9%	80.5%	13.4%	-12.3%	-333.6K	20.0M	-32.0K	1.06	32.55	31	33	3,172	8,252
2008-11-18	$36.12	$60.00	85.1%	24.4%	66.2%	68.7%	77.3%	16.8%	-12.4%	-271.8K	21.2M	-28.3K	0.57	28.90	91	52	3,182	8,262
2008-11-19	$35.83	$60.00	87.1%	25.0%	65.5%	71.2%	80.9%	16.6%	-11.5%	-251.1K	21.0M	-28.4K	0.51	26.42	170	86	3,273	8,286
2008-11-20	$33.18	$60.00	92.7%	26.6%	68.2%	78.0%	92.4%	13.1%	-16.4%	-143.7K	21.4M	-25.5K	0.08	18.75	823	68	3,350	8,298
2008-11-21	$34.10	$60.00	90.8%	26.0%	68.8%	75.7%	85.1%	16.8%	-15.2%	-192.1K	21.2M	-29.8K	13.60	43.08	5	68	3,981	8,327
2008-11-24	$36.89	$60.00	81.6%	23.4%	72.1%	64.4%	80.6%	14.8%	-7.8%	-63.6K	10.9M	-30.1K	0.23	18.90	1,468	333	2,695	5,161
2008-11-25	$37.41	$60.00	81.4%	23.3%	66.6%	64.2%	73.6%	14.9%	-9.4%	-21.0K	8.1M	-40.7K	0.11	14.78	148	17	3,980	5,428
2008-11-26	$39.20	$50.00	72.8%	20.9%	68.6%	53.6%	82.0%	13.6%	-5.5%	-19.2K	4.1M	-42.5K	0.57	14.78	99	56	4,042	4,620
2008-11-28	$40.00	$50.00	75.7%	21.7%	68.2%	57.2%	69.2%	11.1%	-7.7%	-17.7K	3.6M	-42.4K	0.16	17.94	63	10	4,112	4,672