FDS Options History — August 2009

In August 2009, FDS traded between $53.49 and $56.84. ATM implied volatility averaged 29.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.6% (HV 20d: 23.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 8.28.

Notable Days

  • 2009-08-26: Highest Volume — 1,344 contracts
  • 2009-08-13: Largest IV spike — 16.4% change
  • 2009-08-19: Highest IV Rank — 9.5%
  • 2009-08-19: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.47$53.49$56.84$56.74$55.04
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV29.3%25.8%32.5%27.5%30.7%
Expected Move8.6%7.5%9.3%7.9%8.8%
HV 20d23.7%15.6%25.7%17.5%25.5%
HV 60d25.4%24.1%26.5%24.5%24.3%
IV Rank5.8%1.8%9.5%3.7%7.4%
IV Percentile11.2%0.8%21.0%4.4%16.7%
Term Structure2.7%-0.0%4.0%3.1%3.1%
VWIV32.1%25.6%45.1%25.6%30.7%
Skew 25d5.4%-1.4%10.4%4.6%5.1%
Skew 10d13.0%-6.6%20.2%9.7%6.7%
Call IV 25d28.0%19.0%31.2%24.7%29.7%
Put IV 25d33.4%27.9%37.8%29.2%34.8%
Bid-Ask Spread %23.6511.3266.2233.6114.20
Gamma HHI0.380.320.540.320.34
Net GEX272.1K22.9K557.6K288.6K22.9K
Net DEX-8.1M-12.7M-3.5M-12.3M-3.5M
Net VEX-45.3K-56.1K-39.3K-39.3K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.280.0095.7512.500.03
Total Volume299.14301,34410889
Total OI9,408.198,55110,1599,0479,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$56.74$50.0027.5%7.9%17.5%3.7%25.6%4.6%3.1%288.6K-12.3M-39.3K12.5033.6181004,2114,836
2009-08-04$56.65$50.0027.0%7.7%15.6%3.2%36.8%3.5%4.0%272.3K-11.3M-43.0K4.0827.66251024,1814,916
2009-08-05$55.54$50.0026.2%7.5%18.3%2.2%26.2%10.4%4.0%296.8K-8.7M-42.5K0.0040.428204,0274,905
2009-08-06$53.49$50.0027.3%7.8%23.8%3.5%28.0%-1.4%3.3%284.0K-5.2M-43.8K0.1239.49226274,0694,905
2009-08-07$54.56$50.0025.8%8.6%24.4%1.8%32.5%5.0%3.2%333.0K-7.3M-43.3K0.4714.47133634,2184,910
2009-08-10$54.97$50.0027.2%8.7%23.3%3.3%0.0%6.6%3.6%349.6K-8.0M-42.2K0.0013.12004,2804,964
2009-08-11$54.06$50.0026.7%8.9%24.4%2.8%0.0%4.8%3.1%334.2K-6.5M-42.6K0.0062.080544,2804,964
2009-08-12$55.32$50.0026.5%8.7%23.6%2.6%35.4%5.9%3.4%367.0K-9.0M-40.4K95.7515.1643834,2804,964
2009-08-13$56.08$50.0030.9%8.9%23.0%7.7%31.1%7.1%2.9%318.7K-9.9M-40.5K0.0023.040894,2555,316
2009-08-14$55.26$50.0031.1%8.9%23.6%7.9%0.0%7.3%2.3%343.6K-8.2M-41.3K0.0415.37501214,2345,330
2009-08-17$53.95$50.0032.4%9.3%25.1%9.4%37.6%6.6%1.7%346.7K-6.2M-48.2K2.0366.22741504,7345,341
2009-08-18$54.27$50.0031.7%9.1%25.0%8.6%36.8%5.5%2.0%415.3K-6.9M-46.3K0.5913.3917104,7635,396
2009-08-19$55.18$50.0032.5%9.3%25.7%9.5%45.1%5.5%0.5%547.2K-9.1M-45.5K22.5012.372454,7595,355
2009-08-20$55.74$50.0031.6%9.1%25.4%8.5%31.5%6.3%1.4%557.6K-10.8M-43.5K0.0011.974204,7395,299
2009-08-21$56.54$50.0030.5%8.7%25.4%7.2%31.4%6.7%2.5%156.1K-12.7M-43.4K0.0611.99377234,7355,299
2009-08-24$56.84$50.0031.3%9.0%25.4%8.1%29.0%5.1%-0.0%78.5K-8.1M-42.8K0.7014.872251583,6534,898
2009-08-25$56.78$50.0030.7%8.8%25.3%7.4%29.9%5.9%1.6%97.1K-7.9M-44.4K0.1911.326141143,7735,014
2009-08-26$56.26$50.0029.2%8.4%25.5%5.7%31.0%4.4%3.5%128.5K-8.0M-51.7K0.0314.721,299454,2525,094
2009-08-27$55.97$50.0029.0%8.3%25.4%5.5%30.8%4.6%3.5%145.9K-5.7M-54.5K9.9317.97919044,0155,129
2009-08-28$55.68$50.0028.7%8.2%25.3%5.1%28.4%4.2%3.5%30.8K-4.5M-56.1K0.0623.27175104,0615,517
2009-08-31$55.04$50.0030.7%8.8%25.5%7.4%30.7%5.1%3.1%22.9K-3.5M-56.1K0.0314.208634,1795,522