FDS Options History — January 2009

In January 2009, FDS traded between $39.80 and $45.89. ATM implied volatility averaged 55.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 3.5% (HV 20d: 51.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.49.

Notable Days

2009-01-16: Highest Volume — 6,145 contracts
2009-01-14: Largest IV spike — 31.0% change
2009-01-14: Highest IV Rank — 50.2%
2009-01-20: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.31	$39.80	$45.89	$45.60	$39.80
Max Pain	$42.50	$40.00	$45.00	$40.00	$40.00
ATM IV	55.4%	49.1%	70.1%	53.6%	49.9%
Expected Move	15.4%	14.1%	17.4%	15.4%	14.3%
HV 20d	51.9%	39.7%	68.1%	68.1%	45.1%
HV 60d	70.1%	66.4%	77.3%	77.3%	66.5%
IV Rank	32.3%	24.5%	50.2%	30.0%	25.4%
IV Percentile	71.4%	62.3%	81.3%	72.6%	62.3%
Term Structure	7.2%	0.2%	11.1%	0.2%	11.1%
VWIV	52.2%	44.9%	58.8%	49.2%	50.6%
Skew 25d	12.8%	7.9%	14.4%	11.5%	7.9%
Skew 10d	27.1%	16.7%	38.9%	19.1%	16.7%
Call IV 25d	48.4%	45.4%	53.8%	49.1%	47.9%
Put IV 25d	61.2%	55.8%	66.6%	60.6%	55.8%
Bid-Ask Spread %	36.91	17.18	79.42	79.42	19.20
Gamma HHI	0.36	0.20	0.50	0.27	0.34
Net GEX	215.5K	77.6K	406.2K	93.9K	149.3K
Net DEX	-5.6M	-15.5M	4.5M	-13.8M	4.5M
Net VEX	-73.6K	-91.2K	-62.0K	-63.5K	-91.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.49	0.19	63.48	0.88	1.98
Total Volume	937.2	25	6,145	143	372
Total OI	16,664.35	14,514	21,082	14,608	21,082

Daily Data (20 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
2009-01-02	$45.60	$40.00	53.6%	15.4%	68.1%	30.0%	49.2%	11.5%	0.2%	93.9K	-13.8M	-63.5K	0.88	79.42	76	67	6,916	7,692
2009-01-05	$45.09	$45.00	54.7%	14.8%	60.9%	31.4%	50.1%	12.8%	7.9%	98.9K	-12.8M	-62.0K	0.35	17.18	703	246	6,979	7,716
2009-01-06	$45.89	$45.00	52.7%	14.8%	60.6%	28.9%	51.7%	12.1%	8.3%	124.9K	-15.5M	-63.9K	1.02	22.80	582	595	7,418	7,886
2009-01-07	$44.07	$45.00	56.3%	15.1%	58.5%	33.4%	48.3%	13.2%	6.5%	148.4K	-10.6M	-71.3K	0.19	22.19	534	103	7,939	8,426
2009-01-08	$44.24	$45.00	53.3%	14.6%	58.2%	29.7%	44.9%	14.2%	7.6%	172.7K	-11.8M	-72.3K	3.48	45.62	128	446	8,328	8,429
2009-01-09	$43.01	$45.00	52.4%	14.5%	59.5%	28.6%	0.0%	12.6%	7.5%	197.9K	-7.8M	-75.0K	44.50	38.67	12	534	8,372	8,826
2009-01-12	$43.03	$45.00	57.8%	14.8%	56.3%	35.2%	0.0%	13.2%	7.9%	115.5K	-6.5M	-72.8K	2.14	43.75	28	60	8,384	9,290
2009-01-13	$43.21	$45.00	53.5%	14.6%	56.3%	29.9%	0.0%	12.9%	8.6%	110.7K	-7.1M	-71.4K	1.27	44.90	11	14	8,412	9,324
2009-01-14	$41.52	$45.00	70.1%	16.6%	57.3%	50.2%	52.9%	13.8%	6.2%	406.2K	-2.6M	-67.4K	1.39	43.47	72	100	8,389	9,320
2009-01-15	$42.09	$45.00	58.0%	16.6%	42.0%	35.4%	54.8%	13.3%	7.0%	345.6K	-4.2M	-65.9K	2.32	42.29	41	95	8,367	9,360
2009-01-16	$42.83	$45.00	49.1%	14.1%	39.7%	24.5%	53.2%	12.6%	9.4%	77.6K	-6.1M	-64.1K	0.31	50.13	4,698	1,447	8,389	9,387
2009-01-20	$40.27	$40.00	60.6%	17.4%	45.2%	38.6%	58.8%	12.7%	5.7%	229.6K	-2.1M	-74.2K	0.95	35.04	304	290	8,043	6,471
2009-01-21	$42.53	$40.00	51.7%	14.8%	46.5%	27.7%	55.8%	13.5%	8.9%	244.6K	-6.0M	-78.9K	0.32	36.59	428	136	8,255	6,755
2009-01-22	$41.11	$40.00	59.8%	17.1%	47.8%	37.6%	54.0%	13.7%	5.3%	253.7K	-3.4M	-78.4K	0.28	27.27	799	227	8,489	6,858
2009-01-23	$40.27	$40.00	57.0%	16.3%	47.7%	34.2%	50.6%	14.2%	8.2%	285.1K	-2.3M	-82.7K	0.61	43.60	360	219	9,208	7,030
2009-01-26	$40.55	$40.00	59.0%	16.9%	47.4%	36.7%	58.0%	14.4%	6.3%	301.1K	-2.1M	-81.6K	1.20	33.61	212	254	9,428	7,184
2009-01-27	$39.89	$40.00	53.8%	15.4%	47.5%	30.2%	53.2%	12.3%	7.8%	302.3K	-6.8K	-79.4K	0.56	45.56	142	79	9,582	7,372
2009-01-28	$41.05	$40.00	53.4%	15.3%	48.3%	29.8%	45.7%	12.4%	5.6%	330.9K	-2.5M	-78.8K	2.48	24.54	77	191	9,481	7,421
2009-01-29	$40.23	$40.00	51.8%	14.9%	45.8%	27.9%	56.1%	13.5%	7.5%	321.0K	-367.4K	-76.8K	63.48	22.29	63	3,999	9,487	7,592
2009-01-30	$39.80	$40.00	49.9%	14.3%	45.1%	25.4%	50.6%	7.9%	11.1%	149.3K	4.5M	-91.2K	1.98	19.20	125	247	9,528	11,554