FDS Options History — April 2009

In April 2009, FDS traded between $46.28 and $53.59. ATM implied volatility averaged 37.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.0% (HV 20d: 42.8%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.11.

Notable Days

  • 2009-04-21: Highest Volume — 2,746 contracts
  • 2009-04-06: Largest IV spike — 30.9% change
  • 2009-04-06: Highest IV Rank — 23.5%
  • 2009-04-07: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.34$46.28$53.59$48.72$53.59
Max Pain$49.05$40.00$50.00$40.00$50.00
ATM IV37.8%30.3%48.3%39.6%31.3%
Expected Move10.7%8.7%12.8%11.4%9.0%
HV 20d42.8%28.5%51.3%50.6%28.5%
HV 60d47.4%45.0%49.8%49.8%45.2%
IV Rank10.6%1.4%23.5%12.9%2.6%
IV Percentile26.6%2.4%50.0%34.5%4.4%
Term Structure9.6%0.6%15.6%0.6%12.0%
VWIV36.9%24.3%46.5%39.6%31.4%
Skew 25d9.0%6.4%14.0%14.0%6.4%
Skew 10d17.7%8.6%40.5%40.5%8.6%
Call IV 25d34.3%28.3%40.1%33.0%28.3%
Put IV 25d43.2%34.7%49.8%46.9%34.7%
Bid-Ask Spread %34.5310.7252.8322.1510.72
Gamma HHI0.240.190.320.250.27
Net GEX58.1K-83.1K351.2K-6.0K351.2K
Net DEX-11.2M-16.4M-3.1M-15.4M-16.4M
Net VEX-78.5K-86.6K-64.2K-85.0K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.110.1092.690.414.93
Total Volume543.524182,746517326
Total OI16,66213,13918,68617,40616,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$48.72$40.0039.6%11.4%50.6%12.9%39.6%14.0%0.6%-6.0K-15.4M-85.0K0.4122.153661518,6098,797
2009-04-02$48.25$40.0038.7%11.1%50.8%11.7%39.5%13.5%1.4%113.9K-15.1M-84.3K0.7335.3194698,7468,462
2009-04-03$48.60$50.0036.9%10.9%50.7%9.5%46.5%7.4%7.1%22.0K-16.1M-80.5K92.6936.40161,4838,7508,511
2009-04-06$46.90$50.0048.3%12.8%51.3%23.5%45.8%10.9%7.3%-83.1K-10.1M-85.3K1.3136.5058768,7529,852
2009-04-07$46.28$50.0046.5%12.8%50.6%21.3%43.2%9.6%5.2%15.2K-9.3M-81.3K3.2437.591013278,7419,257
2009-04-08$46.59$50.0045.7%12.3%50.0%20.4%42.7%9.8%6.2%-15.4K-10.5M-80.4K5.7727.01392258,7789,557
2009-04-09$48.22$50.0036.0%10.3%50.6%8.4%35.5%8.2%11.0%-48.0K-14.8M-78.3K2.1033.361002108,7789,648
2009-04-13$48.84$50.0037.8%10.8%50.2%10.6%27.3%8.0%10.7%-36.6K-16.1M-76.1K1.1432.2866758,7809,828
2009-04-14$48.47$50.0038.1%10.9%50.5%11.0%35.1%9.0%10.0%-23.4K-15.6M-72.3K0.1531.26637988,8139,873
2009-04-15$49.03$50.0038.2%10.9%44.5%11.1%38.7%8.5%11.2%51.1K-10.3M-69.6K0.3833.661357,7039,905
2009-04-16$49.14$50.0037.2%10.7%41.6%9.9%38.5%8.0%11.5%43.2K-9.5M-70.8K0.1641.37117197,3819,626
2009-04-17$49.16$50.0037.2%10.7%41.6%9.9%37.2%8.6%10.2%30.0K-8.8M-70.1K8.2742.4811917,2439,620
2009-04-20$48.14$50.0038.0%10.9%40.1%10.8%39.1%7.2%9.7%620-3.1M-64.2K0.6444.0288566,0077,132
2009-04-21$48.55$50.0037.9%10.9%36.7%10.7%40.5%12.0%9.0%-5.0K-3.5M-66.6K1.1052.831,3051,4416,0627,183
2009-04-22$49.26$50.0037.6%10.8%36.0%10.4%34.2%7.8%10.8%47.6K-6.0M-86.5K1.3636.101321807,0058,323
2009-04-23$49.82$50.0035.0%10.0%35.9%7.2%28.5%8.6%14.1%68.8K-6.3M-86.6K0.6335.7632207,0208,305
2009-04-24$50.38$50.0036.4%10.4%34.9%8.9%37.7%10.1%12.6%94.6K-7.9M-84.1K0.3849.8477297,0108,321
2009-04-27$52.58$50.0030.6%8.8%37.4%1.7%35.5%6.4%15.6%165.7K-13.0M-82.8K2.2827.432024617,0208,321
2009-04-28$52.22$50.0037.0%10.6%36.6%9.6%33.9%7.0%13.1%155.2K-11.9M-85.2K0.4324.952861237,0918,654
2009-04-29$53.47$50.0030.3%8.7%30.5%1.4%24.3%7.1%11.7%277.7K-14.9M-77.4K0.1034.172,0072027,3338,698
2009-04-30$53.59$50.0031.3%9.0%28.5%2.6%31.4%6.4%12.0%351.2K-16.4M-80.5K4.9310.72552717,6278,780