FDS Options History — June 2009

In June 2009, FDS traded between $47.65 and $55.00. ATM implied volatility averaged 39.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.5% (HV 20d: 28.3%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2009-06-15: Highest Volume — 4,880 contracts
  • 2009-06-08: Largest IV spike — 27.5% change
  • 2009-06-08: Highest IV Rank — 38.8%
  • 2009-06-12: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.05$47.65$55.00$55.00$49.87
Max Pain$54.55$50.00$60.00$55.00$50.00
ATM IV39.8%30.3%58.6%43.1%30.3%
Expected Move10.8%8.7%12.8%12.4%8.7%
HV 20d28.3%25.9%30.5%29.2%25.9%
HV 60d33.1%28.1%37.9%37.8%28.1%
IV Rank16.7%5.4%38.8%20.5%5.4%
IV Percentile29.7%5.2%65.1%43.3%5.2%
Term Structure0.0%-5.7%5.0%-4.0%1.6%
VWIV39.1%30.0%53.2%44.2%30.0%
Skew 25d8.7%6.2%11.8%10.9%6.2%
Skew 10d18.6%12.0%29.0%23.8%12.0%
Call IV 25d40.4%31.8%60.0%38.7%31.8%
Put IV 25d49.1%38.0%69.4%49.6%38.0%
Bid-Ask Spread %19.498.6334.6328.6632.28
Gamma HHI0.340.210.690.330.34
Net GEX-256.0K-580.5K-1.3K-242.5K-50.3K
Net DEX3.9M-4.0M20.3M-4.0M391.1K
Net VEX-61.8K-71.1K-52.1K-71.1K-61.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0211.740.712.07
Total Volume910.909794,880219252
Total OI16,469.0919,01523,62217,78211,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$55.00$55.0043.1%12.4%29.2%20.5%44.2%10.9%-4.0%-242.5K-4.0M-71.1K0.7128.66128916,21911,563
2009-06-02$54.60$55.0043.8%12.5%29.4%21.3%44.1%9.6%-5.7%-234.8K-3.3M-68.4K0.4822.7889436,23711,095
2009-06-03$53.57$55.0044.1%12.6%29.9%21.6%53.2%11.4%-5.0%-298.7K-324.4K-67.9K0.3321.11120396,26911,126
2009-06-04$53.53$55.0044.2%12.7%29.7%21.8%52.8%11.8%-5.2%-298.1K-255.1K-66.6K3.1422.041133556,37511,135
2009-06-05$53.40$60.0045.9%11.2%26.6%23.8%41.6%11.2%0.1%-347.1K442.6K-67.7K11.7412.15627286,46911,458
2009-06-08$52.47$60.0058.6%12.7%27.0%38.8%44.7%10.4%-1.2%-418.8K3.8M-62.8K0.4514.175892636,48611,558
2009-06-09$53.32$60.0050.7%11.5%27.6%29.4%41.7%11.1%-0.5%-355.9K-1.1M-66.8K2.9112.41551607,04111,698
2009-06-10$52.59$60.0052.4%11.4%26.7%31.5%39.8%11.8%-0.2%-396.0K1.5M-65.8K1.3114.09931227,07711,731
2009-06-11$51.94$55.0044.8%12.8%27.0%22.5%41.2%9.0%-2.4%-413.2K3.8M-63.6K0.3212.35247807,07711,730
2009-06-12$50.77$55.0044.8%12.8%26.8%22.5%44.3%9.3%-1.9%-422.4K7.7M-61.4K2.2118.734149137,27411,766
2009-06-15$50.92$55.0044.3%12.7%26.7%21.9%43.4%8.1%-3.2%-489.5K7.7M-58.0K0.8118.502,6902,1907,52512,289
2009-06-16$50.00$55.0034.6%9.9%27.0%10.6%35.0%6.8%3.1%-580.5K11.1M-60.9K1.0415.231,8841,9578,73413,315
2009-06-17$48.57$55.0035.4%10.1%28.1%11.4%36.2%7.6%2.6%-208.7K17.3M-60.7K1.5818.65981559,91313,709
2009-06-18$49.96$55.0034.0%9.8%30.4%9.8%34.1%7.3%3.9%-74.8K9.3M-60.1K0.5714.651,2667229,90213,650
2009-06-19$49.01$55.0032.0%9.2%30.1%7.5%32.4%7.6%5.0%-404.6K20.3M-53.4K6.4414.101298318,87513,503
2009-06-22$47.99$55.0034.3%9.8%30.5%10.1%34.3%7.0%1.8%-60.5K2.4M-52.1K1.3623.675157014,4254,590
2009-06-23$47.65$50.0033.7%9.7%29.1%9.4%34.8%8.0%1.9%-57.7K3.6M-55.9K0.328.6360194,5374,905
2009-06-24$48.69$50.0032.7%9.4%29.7%8.3%33.0%7.2%2.4%-66.9K2.6M-58.3K8.4324.86231944,5725,016
2009-06-25$49.42$50.0030.9%8.9%30.2%6.2%30.7%6.7%2.0%-91.6K1.5M-57.4K6.1634.63442714,5945,130
2009-06-26$49.77$50.0030.7%8.8%29.9%5.9%33.5%6.5%2.3%-117.4K1.0M-58.8K0.0226.46955174,5745,347
2009-06-29$50.16$50.0031.2%8.9%25.9%6.5%34.3%6.4%3.3%-1.3K-339.3K-60.7K0.8518.591961675,4195,349
2009-06-30$49.87$50.0030.3%8.7%25.9%5.4%30.0%6.2%1.6%-50.3K391.1K-61.5K2.0732.28821705,5645,499