FDS Options History — March 2009

In March 2009, FDS traded between $35.76 and $49.99. ATM implied volatility averaged 66.6%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 13.8% (HV 20d: 52.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.27.

Notable Days

  • 2009-03-16: Highest Volume — 8,181 contracts
  • 2009-03-12: Largest IV drop — 37.4% change
  • 2009-03-11: Highest IV Rank — 97.8%
  • 2009-03-05: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$35.76$49.99$37.43$49.99
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV66.6%36.0%108.7%95.1%39.8%
Expected Move17.5%10.3%28.2%27.3%11.4%
HV 20d52.8%48.1%61.6%49.6%48.5%
HV 60d50.0%45.5%55.2%55.2%49.6%
IV Rank46.0%8.4%97.8%81.0%13.0%
IV Percentile66.1%26.2%99.6%98.8%34.9%
Term Structure-4.8%-24.6%8.7%-23.1%-0.9%
VWIV59.6%34.1%95.3%86.0%40.6%
Skew 25d14.8%6.3%25.7%18.2%6.3%
Skew 10d30.1%11.6%50.8%30.2%11.6%
Call IV 25d64.3%33.7%100.7%81.8%39.7%
Put IV 25d79.1%44.3%122.8%100.0%46.0%
Bid-Ask Spread %23.037.4843.7116.3626.61
Gamma HHI0.350.210.520.350.23
Net GEX-103.1K-456.2K457.5K-315.4K101.9K
Net DEX65.5K-21.6M20.4M14.6M-20.4M
Net VEX-73.5K-84.8K-60.8K-81.8K-70.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.348.180.498.18
Total Volume1,683.864938,1812,144955
Total OI24,413.90914,12636,44423,89216,094

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$37.43$40.0095.1%27.3%49.6%81.0%86.0%18.2%-23.1%-315.4K14.6M-81.8K0.4916.361,4437018,84015,052
2009-03-03$36.23$40.0094.3%27.0%49.5%80.0%94.6%16.2%-22.8%-312.1K17.7M-84.2K0.5123.561547810,18215,540
2009-03-04$37.08$40.0094.4%27.1%50.5%80.2%95.3%15.8%-22.2%-317.8K15.9M-84.8K2.6515.933841,01910,26915,599
2009-03-05$36.84$40.0098.3%28.2%49.6%85.0%92.3%16.8%-24.6%-345.1K17.4M-84.2K0.3423.221936610,42816,066
2009-03-06$36.88$40.0099.3%21.1%49.6%86.2%71.2%25.7%-8.8%-331.6K17.0M-81.1K1.6511.2918730910,47215,783
2009-03-09$35.76$40.00108.2%21.3%49.0%97.1%66.1%20.8%-6.1%-357.4K20.4M-75.4K2.0111.9620140510,59416,391
2009-03-10$37.46$40.00107.0%21.4%52.3%95.7%68.8%17.5%-8.9%-377.8K16.4M-76.2K1.4710.0815122210,72916,538
2009-03-11$37.09$40.00108.7%21.2%52.1%97.8%61.7%23.6%-6.4%-368.9K16.9M-71.7K4.9112.2516982910,51416,467
2009-03-12$37.79$40.0068.1%19.5%52.9%47.8%72.6%23.6%-6.6%-394.9K15.6M-70.5K1.297.489161,17910,60616,584
2009-03-13$38.95$40.0066.5%19.1%53.8%45.8%68.7%16.3%-4.0%-456.2K11.8M-67.4K4.0619.723571,45110,74417,340
2009-03-16$38.97$40.0064.0%18.3%53.4%42.7%64.5%11.9%-4.2%-433.6K12.4M-60.8K0.8313.634,4733,70811,08017,895
2009-03-17$41.99$40.0048.4%13.9%60.2%23.7%46.7%12.9%7.8%-259.3K-10.1M-65.6K2.1919.801,7363,80313,69119,374
2009-03-18$44.17$40.0042.3%12.1%61.6%16.2%46.3%11.2%8.7%331.7K-21.0M-63.9K0.6926.361,39096013,71919,516
2009-03-19$44.53$40.0043.8%12.5%61.3%17.9%46.8%10.2%6.3%457.5K-21.6M-68.4K0.3743.713,1451,16113,71219,914
2009-03-20$43.00$40.0042.0%12.0%60.3%15.8%42.8%9.8%7.2%76.3K-17.7M-76.8K5.7836.012061,19115,60520,839
2009-03-23$45.17$40.0041.5%11.9%59.3%15.2%45.5%11.7%1.4%203.9K-10.0M-65.7K0.9442.003413207,6536,473
2009-03-24$46.33$40.0041.2%11.8%50.9%14.8%34.1%15.1%2.5%152.8K-13.5M-67.2K0.6223.176954287,8786,626
2009-03-25$47.01$40.0043.0%12.3%50.4%17.0%40.5%10.2%-1.1%216.3K-14.5M-70.2K0.6728.208255557,9936,837
2009-03-26$48.31$40.0036.0%10.3%49.1%8.4%36.0%10.1%0.2%114.2K-17.5M-73.2K5.2029.0915788,5727,243
2009-03-27$47.81$40.0036.8%10.5%49.1%9.3%42.4%7.6%0.8%186.9K-15.6M-78.1K3.0226.63892698,4837,308
2009-03-30$46.93$40.0046.9%13.5%48.1%21.8%47.9%14.0%-0.4%161.6K-12.7M-79.2K2.0039.52961928,4787,385
2009-03-31$49.99$40.0039.8%11.4%48.5%13.0%40.6%6.3%-0.9%101.9K-20.4M-70.1K8.1826.611048518,5387,556