FDS Options History — December 2008

In December 2008, FDS traded between $35.65 and $44.25. ATM implied volatility averaged 71.8%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 11.6% (HV 20d: 83.4%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.57.

Notable Days

  • 2008-12-16: Highest Volume — 4,001 contracts
  • 2008-12-16: Largest IV drop — 18.3% change
  • 2008-12-09: Highest IV Rank — 78.9%
  • 2008-12-04: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.93$35.65$44.25$35.65$44.24
Max Pain$40.45$35.00$50.00$50.00$40.00
ATM IV71.8%50.4%93.4%87.1%50.4%
Expected Move19.9%14.5%25.3%25.0%14.5%
HV 20d83.4%68.5%90.5%79.5%68.5%
HV 60d77.5%74.1%79.8%74.1%77.9%
IV Rank52.4%26.1%78.9%71.1%26.1%
IV Percentile84.8%70.2%98.8%96.4%70.2%
Term Structure-1.6%-10.7%7.7%-10.7%2.5%
VWIV67.8%50.1%89.6%83.4%50.1%
Skew 25d14.1%8.6%18.0%11.8%10.5%
Skew 10d29.6%14.2%44.7%14.2%21.3%
Call IV 25d62.9%47.7%81.6%81.4%48.7%
Put IV 25d77.0%59.2%94.2%93.2%59.2%
Bid-Ask Spread %30.3916.9463.9619.9241.86
Gamma HHI0.340.240.440.330.35
Net GEX34.6K-151.4K233.8K-11.6K131.4K
Net DEX-989.8K-11.7M8.4M5.5M-10.5M
Net VEX-58.4K-70.5K-38.5K-38.5K-64.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.048.880.201.69
Total Volume962.3641114,001180296
Total OI13,5568,81818,9748,82214,478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$35.65$50.0087.1%25.0%79.5%71.1%83.4%11.8%-10.7%-11.6K5.5M-38.5K0.2019.92150304,1704,652
2008-12-02$37.70$50.0079.9%22.9%82.1%62.3%86.6%16.6%-9.6%-11.6K4.4M-40.1K0.3922.70171664,2474,571
2008-12-03$39.16$50.0079.3%22.7%83.0%61.7%89.6%14.3%-9.6%-6.3K3.5M-41.9K8.8816.94171514,3734,577
2008-12-04$36.26$50.0088.1%25.3%85.2%72.5%83.7%12.5%-10.0%-14.9K5.0M-39.4K4.3417.052048854,3804,649
2008-12-05$36.00$35.0093.0%24.7%83.6%78.4%85.8%17.8%-6.8%-33.5K5.9M-43.2K8.8218.923883,4234,5095,298
2008-12-08$38.80$40.0090.9%22.3%87.5%75.9%80.1%18.0%-4.5%-114.3K5.8M-54.7K1.3525.46751014,7717,743
2008-12-09$38.41$40.0093.4%22.1%87.3%78.9%63.2%17.3%-3.3%-118.9K6.1M-53.4K4.7528.771346374,7477,776
2008-12-10$38.36$40.0093.4%21.5%86.0%78.9%69.1%17.9%-2.5%-138.3K6.5M-54.3K0.4429.81198874,8608,252
2008-12-11$36.62$40.0079.1%22.7%87.2%61.3%74.5%16.4%-2.1%-151.4K8.4M-52.1K0.0426.282,469904,9978,220
2008-12-12$36.78$35.0077.6%22.2%81.2%59.5%74.4%16.4%-2.2%-30.5K5.3M-62.1K0.2124.27177387,2408,238
2008-12-15$35.70$35.0081.8%23.4%81.2%64.6%83.2%17.3%-3.7%-37.4K6.1M-59.9K3.1733.386622,0967,3318,262
2008-12-16$39.95$35.0066.8%19.2%90.0%46.2%67.2%12.2%2.0%51.3K-432.3K-65.8K1.1038.641,9062,0957,5429,345
2008-12-17$41.68$35.0064.5%18.5%90.5%43.4%60.2%13.6%4.4%65.6K-6.0M-70.5K1.0140.644794848,80310,171
2008-12-18$42.24$35.0063.6%18.2%90.3%42.3%57.5%13.9%4.5%149.3K-7.7M-68.8K4.7429.911054988,9289,921
2008-12-19$44.25$40.0054.8%15.7%85.4%31.5%54.8%12.7%7.7%233.8K-11.7M-67.7K2.8734.281895428,91110,009
2008-12-22$43.97$40.0053.5%15.3%85.5%29.9%52.6%15.7%3.5%122.0K-9.9M-67.9K0.9024.961811626,2816,879
2008-12-23$42.94$40.0052.7%15.1%82.7%28.9%51.5%8.6%4.9%144.3K-8.7M-68.7K1.3639.771542096,3936,970
2008-12-24$42.12$40.0058.9%16.9%83.2%36.6%53.8%11.7%2.4%141.7K-6.9M-69.2K0.4763.96137656,4967,110
2008-12-26$42.54$40.0054.9%15.7%81.8%31.6%55.8%11.9%-0.2%146.5K-7.8M-67.9K4.2025.161415926,5937,112
2008-12-29$41.65$40.0063.4%18.2%82.1%42.0%56.3%11.1%-1.9%120.2K-5.6M-68.7K2.7030.8230816,7247,472
2008-12-30$43.50$40.0053.4%15.3%70.6%29.7%58.0%12.8%-0.3%123.2K-8.9M-65.3K3.0135.021444336,7307,501
2008-12-31$44.24$40.0050.4%14.5%68.5%26.1%50.1%10.5%2.5%131.4K-10.5M-64.6K1.6941.861101866,8307,648