FDS Options History — July 2009

In July 2009, FDS traded between $48.77 and $56.70. ATM implied volatility averaged 29.2%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.9% (HV 20d: 23.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.70.

Notable Days

  • 2009-07-10: Highest Volume — 937 contracts
  • 2009-07-15: Largest IV drop — 26.6% change
  • 2009-07-07: Highest IV Rank — 9.9%
  • 2009-07-06: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.76$48.77$56.70$50.35$56.70
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV29.2%24.3%34.1%29.9%26.5%
Expected Move8.5%7.6%9.8%8.6%7.6%
HV 20d23.3%17.4%27.5%25.8%17.4%
HV 60d26.6%25.7%27.4%27.1%25.7%
IV Rank5.0%0.0%9.9%5.0%2.6%
IV Percentile5.7%0.0%17.9%4.8%1.2%
Term Structure2.7%1.1%4.6%2.4%3.8%
VWIV30.4%23.8%37.1%31.5%23.8%
Skew 25d4.4%-2.5%6.6%5.7%3.7%
Skew 10d8.3%-6.5%15.7%12.0%7.2%
Call IV 25d29.0%24.3%33.6%31.8%24.3%
Put IV 25d33.4%23.2%40.0%37.5%28.0%
Bid-Ask Spread %26.9212.5945.3941.6930.61
Gamma HHI0.370.260.560.340.33
Net GEX142.7K-167.4K572.6K-36.7K268.6K
Net DEX-6.0M-13.2M3.4M-760.1K-13.2M
Net VEX-51.4K-63.0K-42.2K-62.2K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0025.940.170.10
Total Volume254.2731993715166
Total OI10,463.0458,69212,07911,1729,227

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$50.35$50.0029.9%8.6%25.8%5.0%31.5%5.7%2.4%-36.7K-760.1K-62.2K0.1741.69129225,5725,600
2009-07-02$49.35$50.0030.5%8.7%26.4%5.7%30.7%6.2%2.0%-68.2K1.0M-63.0K0.7237.921481065,5495,603
2009-07-06$49.56$50.0033.4%9.8%26.6%9.0%31.5%5.7%1.1%-67.5K1.2M-58.6K23.1412.9871625,6895,639
2009-07-07$48.77$50.0034.1%9.7%26.5%9.9%37.1%6.1%1.1%-96.8K3.1M-57.9K2.5814.9612315,6895,758
2009-07-08$48.80$50.0033.5%9.6%25.5%9.1%33.5%6.6%1.8%-121.9K3.4M-56.7K0.7615.691851405,6915,784
2009-07-09$49.47$50.0031.4%9.5%26.0%6.7%35.7%6.5%1.6%-124.7K1.7M-58.1K2.1718.556135,8535,903
2009-07-10$49.44$50.0028.4%9.5%25.8%3.2%33.7%5.8%1.8%-167.4K1.7M-57.2K3.1816.532247135,8535,900
2009-07-13$50.69$50.0032.2%9.2%26.4%7.7%31.7%5.7%3.1%-108.6K-2.0M-54.2K0.8512.594894165,8045,779
2009-07-14$50.90$50.0033.1%9.1%26.4%8.7%0.0%4.8%3.1%25.9K-3.9M-55.5K8.1017.15423406,2065,706
2009-07-15$52.42$50.0024.3%9.3%27.5%0.0%32.9%5.9%2.0%207.8K-8.6M-52.7K25.9420.35164156,1915,888
2009-07-16$53.50$50.0029.3%8.4%25.5%5.9%31.6%3.5%2.5%430.7K-9.5M-52.6K1.2628.951211535,9816,037
2009-07-17$54.03$50.0028.6%8.2%24.1%5.0%31.2%4.0%2.4%572.6K-9.8M-49.6K0.3834.4771275,7015,829
2009-07-20$54.44$50.0027.8%8.0%22.5%4.0%28.5%2.9%3.3%235.7K-9.9M-45.5K1.1045.392582844,1654,527
2009-07-21$54.86$50.0028.3%8.1%20.2%4.6%29.4%3.4%1.9%254.9K-10.2M-48.5K0.0324.126524,3604,723
2009-07-22$54.75$50.0027.3%7.8%19.8%3.5%27.3%3.5%3.0%271.2K-10.2M-47.5K2.5525.5322564,3714,722
2009-07-23$55.57$50.0026.7%7.6%19.3%2.8%26.4%4.9%3.7%274.0K-11.7M-45.0K4.1329.04391614,3674,682
2009-07-24$54.86$50.0027.7%7.9%20.2%3.9%27.7%3.3%2.4%265.5K-10.1M-47.2K0.0128.4312914,3574,803
2009-07-27$54.95$50.0027.3%7.8%20.2%3.5%27.0%4.7%3.6%283.8K-10.2M-46.3K0.0134.457414,4254,800
2009-07-28$55.41$50.0027.4%7.8%20.3%3.6%0.0%2.6%3.5%285.0K-11.0M-44.2K0.0033.630374,3714,765
2009-07-29$55.76$50.0027.2%7.8%19.9%3.3%0.0%3.1%3.7%278.5K-11.6M-43.3K0.0025.897204,3714,785
2009-07-30$56.21$50.0026.6%7.6%19.8%2.7%26.3%-2.5%4.6%277.5K-12.4M-42.8K0.5343.272211184,3764,785
2009-07-31$56.70$50.0026.5%7.6%17.4%2.6%23.8%3.7%3.8%268.6K-13.2M-42.2K0.1030.616064,3914,836