FDS Options History — February 2009

In February 2009, FDS traded between $36.88 and $42.77. ATM implied volatility averaged 61.2%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 18.6% (HV 20d: 42.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.73.

Notable Days

2009-02-20: Highest Volume — 4,884 contracts
2009-02-23: Largest IV spike — 16.0% change
2009-02-23: Highest IV Rank — 67.9%
2009-02-23: Largest Expected Move — 24.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.71	$36.88	$42.77	$40.77	$38.54
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	61.2%	45.1%	84.4%	50.9%	75.2%
Expected Move	18.3%	13.9%	24.2%	14.6%	21.6%
HV 20d	42.6%	31.1%	49.5%	44.5%	48.7%
HV 60d	62.1%	56.0%	66.6%	66.6%	56.0%
IV Rank	39.4%	19.6%	67.9%	26.7%	56.6%
IV Percentile	72.6%	57.1%	93.3%	63.5%	82.5%
Term Structure	-3.5%	-14.6%	12.9%	12.2%	-13.0%
VWIV	64.1%	47.1%	81.2%	51.3%	75.9%
Skew 25d	13.4%	4.4%	17.9%	12.2%	17.7%
Skew 10d	25.7%	6.6%	33.7%	21.2%	33.7%
Call IV 25d	58.2%	45.7%	73.0%	46.1%	72.3%
Put IV 25d	71.6%	51.5%	91.0%	58.3%	90.1%
Bid-Ask Spread %	21.86	13.97	31.41	21.11	23.29
Gamma HHI	0.39	0.31	0.67	0.35	0.37
Net GEX	119.5K	-347.8K	984.1K	165.8K	-314.4K
Net DEX	4.0M	-3.7M	16.4M	2.5M	11.5M
Net VEX	-87.8K	-98.5K	-77.2K	-91.9K	-90.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.02	8.30	1.61	0.08
Total Volume	934.368	91	4,884	154	566
Total OI	23,080.632	21,351	24,652	21,351	23,534

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
2009-02-02	$40.77	$40.00	50.9%	14.6%	44.5%	26.7%	51.3%	12.2%	12.2%	165.8K	2.5M	-91.9K	1.61	21.11	59	95	9,562	11,789
2009-02-03	$40.29	$40.00	50.5%	14.5%	44.5%	26.2%	63.0%	9.9%	9.6%	176.3K	3.8M	-90.0K	1.87	25.89	633	1,183	9,561	11,841
2009-02-04	$41.18	$40.00	48.8%	14.0%	44.9%	24.1%	47.1%	8.5%	12.9%	159.5K	1.7M	-98.5K	1.60	21.68	35	56	10,001	12,681
2009-02-05	$41.17	$40.00	48.4%	13.9%	42.9%	23.6%	48.1%	4.4%	12.3%	189.2K	2.3M	-94.0K	6.52	16.14	23	150	10,003	12,724
2009-02-06	$42.22	$40.00	47.1%	17.4%	44.1%	22.0%	55.1%	14.0%	-0.4%	170.3K	-1.6M	-92.4K	1.73	31.41	94	163	10,018	12,858
2009-02-09	$42.77	$40.00	45.1%	15.8%	43.3%	19.6%	63.8%	14.4%	-0.2%	138.9K	-3.7M	-92.9K	0.23	28.31	281	65	10,111	13,021
2009-02-10	$42.08	$40.00	51.9%	17.9%	43.6%	27.9%	59.2%	13.1%	-3.6%	155.4K	-1.4M	-90.9K	1.85	20.80	46	85	10,153	13,086
2009-02-11	$42.01	$40.00	48.5%	17.6%	43.6%	23.7%	58.6%	13.7%	-3.3%	221.1K	-425.9K	-86.6K	0.62	24.43	157	97	10,130	13,124
2009-02-12	$42.72	$40.00	55.3%	15.9%	41.6%	32.1%	72.7%	16.6%	-0.5%	169.2K	-3.6M	-86.0K	0.90	27.76	209	189	10,232	13,114
2009-02-13	$41.77	$40.00	62.2%	17.8%	42.1%	40.6%	58.7%	11.4%	-4.9%	273.2K	-929.2K	-86.7K	0.39	24.11	130	51	10,350	13,253
2009-02-17	$42.06	$40.00	65.6%	18.8%	41.7%	44.8%	58.1%	15.8%	-5.8%	267.5K	-1.4M	-81.5K	1.05	18.24	408	430	10,474	13,265
2009-02-18	$40.80	$40.00	64.6%	18.5%	36.9%	43.5%	60.4%	11.4%	-6.1%	519.8K	3.8M	-79.6K	0.20	25.30	230	45	10,559	13,386
2009-02-19	$40.27	$40.00	64.1%	18.4%	31.1%	42.9%	59.2%	14.0%	-6.1%	984.1K	6.0M	-77.2K	0.02	13.97	3,131	70	10,731	13,430
2009-02-20	$38.51	$40.00	72.8%	20.9%	32.7%	53.6%	72.2%	15.1%	-14.0%	276.1K	12.1M	-79.8K	8.30	18.63	525	4,359	11,202	13,450
2009-02-23	$36.88	$40.00	84.4%	24.2%	35.2%	67.9%	78.3%	17.9%	-14.6%	-319.5K	16.4M	-82.5K	0.73	18.86	892	647	7,514	14,125
2009-02-24	$40.51	$40.00	76.2%	21.8%	49.5%	57.8%	81.2%	15.1%	-13.9%	-309.1K	8.6M	-90.0K	2.02	16.70	502	1,014	8,017	14,606
2009-02-25	$39.99	$40.00	75.0%	21.5%	49.4%	56.3%	80.2%	12.7%	-12.7%	-347.8K	9.1M	-87.6K	1.47	23.42	138	203	8,346	14,892
2009-02-26	$38.94	$40.00	76.8%	22.0%	49.0%	58.5%	75.6%	16.1%	-13.8%	-305.4K	10.6M	-90.3K	1.73	15.30	290	502	8,394	14,995
2009-02-27	$38.54	$40.00	75.2%	21.6%	48.7%	56.6%	75.9%	17.7%	-13.0%	-314.4K	11.5M	-90.3K	0.08	23.29	526	40	8,476	15,058