FDS Options History — May 2009

In May 2009, FDS traded between $52.78 and $56.04. ATM implied volatility averaged 34.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.2% (HV 20d: 25.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.22.

Notable Days

2009-05-29: Highest Volume — 2,602 contracts
2009-05-14: Largest IV spike — 47.8% change
2009-05-14: Highest IV Rank — 19.2%
2009-05-04: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.33	$52.78	$56.04	$53.45	$52.90
Max Pain	$48.00	$45.00	$55.00	$50.00	$55.00
ATM IV	34.0%	25.7%	42.0%	28.9%	40.7%
Expected Move	11.4%	8.3%	12.5%	8.3%	11.7%
HV 20d	25.7%	22.6%	28.2%	28.2%	25.7%
HV 60d	42.3%	37.1%	45.5%	45.1%	37.3%
IV Rank	9.0%	0.0%	19.2%	0.0%	17.7%
IV Percentile	16.5%	0.0%	39.3%	0.0%	33.3%
Term Structure	0.1%	-2.9%	13.6%	13.6%	-2.9%
VWIV	43.1%	29.0%	50.2%	29.0%	46.7%
Skew 25d	9.7%	6.8%	12.6%	6.8%	9.7%
Skew 10d	20.8%	15.6%	26.1%	22.3%	16.6%
Call IV 25d	37.4%	27.3%	41.3%	27.3%	39.3%
Put IV 25d	47.0%	34.1%	51.1%	34.1%	49.0%
Bid-Ask Spread %	29.97	18.96	40.92	18.96	25.05
Gamma HHI	0.29	0.23	0.41	0.28	0.26
Net GEX	252.8K	-207.8K	721.4K	368.2K	-156.8K
Net DEX	-13.1M	-20.6M	-363.7K	-15.9M	-363.7K
Net VEX	-68.6K	-78.0K	-61.5K	-78.0K	-64.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.22	0.13	12.25	0.56	8.36
Total Volume	518	56	2,602	56	2,602
Total OI	16,034.85	14,051	17,182	16,512	15,922

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
2009-05-01	$53.45	$50.00	28.9%	8.3%	28.2%	0.0%	29.0%	6.8%	13.6%	368.2K	-15.9M	-78.0K	0.56	18.96	36	20	7,628	8,884
2009-05-04	$53.58	$45.00	29.3%	12.5%	28.2%	0.6%	45.0%	9.5%	-0.5%	378.7K	-16.1M	-75.6K	1.27	35.68	81	103	7,654	8,966
2009-05-05	$54.26	$45.00	28.0%	12.3%	23.8%	0.0%	42.4%	11.3%	-1.8%	428.3K	-18.0M	-75.2K	3.35	31.19	49	164	7,664	9,043
2009-05-06	$54.73	$45.00	27.8%	12.2%	22.6%	0.0%	48.9%	9.7%	-1.5%	455.8K	-18.6M	-72.7K	0.77	28.90	766	589	7,556	9,085
2009-05-07	$52.78	$45.00	28.0%	12.2%	27.6%	0.2%	47.7%	9.3%	-1.2%	285.0K	-13.2M	-74.2K	7.22	24.70	27	195	7,464	9,344
2009-05-08	$53.46	$45.00	25.7%	11.8%	25.7%	0.0%	50.2%	10.2%	0.2%	322.8K	-14.5M	-72.4K	0.22	24.08	162	36	7,473	9,379
2009-05-11	$53.54	$45.00	25.9%	12.1%	25.5%	0.3%	49.0%	10.8%	-0.3%	349.5K	-15.2M	-73.5K	4.75	29.93	76	361	7,564	9,402
2009-05-12	$54.72	$45.00	27.4%	12.2%	25.8%	1.9%	48.5%	10.9%	-1.5%	475.2K	-17.6M	-72.2K	0.98	38.31	217	213	7,571	9,611
2009-05-13	$54.55	$45.00	28.4%	12.0%	25.9%	3.2%	40.7%	10.3%	-0.7%	483.1K	-16.8M	-70.8K	12.25	25.22	16	196	7,467	9,442
2009-05-14	$55.55	$45.00	42.0%	12.0%	26.3%	19.2%	45.2%	11.1%	-0.3%	721.4K	-19.1M	-69.7K	1.58	21.71	31	49	7,448	9,576
2009-05-15	$55.73	$45.00	41.3%	11.8%	26.2%	18.3%	43.1%	12.6%	0.4%	528.0K	-20.6M	-67.6K	0.80	30.68	107	86	7,450	9,583
2009-05-18	$55.89	$45.00	39.6%	11.3%	24.2%	16.3%	47.6%	9.8%	-0.4%	239.2K	-15.9M	-62.1K	2.91	29.48	23	67	6,402	7,905
2009-05-19	$56.04	$45.00	40.0%	11.5%	24.3%	16.8%	42.1%	11.6%	-0.4%	252.2K	-16.5M	-61.6K	3.22	21.11	45	145	6,411	7,954
2009-05-20	$55.03	$50.00	38.1%	10.9%	25.7%	14.6%	38.1%	8.4%	0.5%	209.0K	-12.5M	-61.5K	3.29	40.92	253	832	6,060	7,991
2009-05-21	$53.81	$50.00	38.4%	11.0%	27.4%	14.9%	39.2%	7.5%	0.2%	58.6K	-8.5M	-62.7K	0.32	34.60	263	83	6,170	8,600
2009-05-22	$54.06	$50.00	38.3%	11.0%	27.3%	14.9%	38.8%	8.9%	-0.8%	97.0K	-9.3M	-64.7K	6.52	31.39	111	724	6,373	8,639
2009-05-26	$55.05	$55.00	36.6%	10.5%	23.8%	12.8%	36.8%	8.6%	1.0%	-49.4K	-9.0M	-63.2K	1.80	37.03	310	558	6,362	9,361
2009-05-27	$53.50	$55.00	37.8%	10.8%	26.0%	14.3%	46.0%	9.1%	-0.7%	-182.5K	-1.3M	-66.2K	4.04	37.82	51	206	5,751	9,868
2009-05-28	$53.90	$55.00	37.0%	10.6%	24.8%	13.4%	37.2%	7.2%	-0.8%	-207.8K	-2.1M	-62.6K	0.13	32.71	447	60	5,772	9,902
2009-05-29	$52.90	$55.00	40.7%	11.7%	25.7%	17.7%	46.7%	9.7%	-2.9%	-156.8K	-363.7K	-64.6K	8.36	25.05	278	2,324	6,013	9,909