FDS Options History — September 2009

In September 2009, FDS traded between $54.95 and $70.23. ATM implied volatility averaged 31.3%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.8% (HV 20d: 25.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-09-22: Highest Volume — 2,106 contracts
  • 2009-09-10: Largest IV spike — 16.8% change
  • 2009-09-17: Highest IV Rank — 11.0%
  • 2009-09-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.05$54.95$70.23$54.95$66.24
Max Pain$55.71$50.00$60.00$50.00$60.00
ATM IV31.3%27.8%33.8%30.8%31.0%
Expected Move9.2%8.0%10.0%8.8%8.9%
HV 20d25.5%16.8%38.9%25.5%38.5%
HV 60d24.5%20.9%29.2%24.0%28.7%
IV Rank8.2%4.1%11.0%7.5%7.8%
IV Percentile20.3%8.3%28.6%17.5%21.4%
Term Structure-0.2%-3.0%4.5%3.3%-0.0%
VWIV32.0%29.0%36.3%30.8%30.5%
Skew 25d3.4%0.7%6.3%4.6%3.3%
Skew 10d7.4%-1.6%14.0%5.6%10.2%
Call IV 25d30.9%27.8%33.3%30.3%29.4%
Put IV 25d34.3%29.5%37.3%34.9%32.7%
Bid-Ask Spread %32.2216.1351.1616.1335.93
Gamma HHI0.440.250.670.340.30
Net GEX278.0K20.2K457.1K34.5K252.5K
Net DEX-15.5M-23.8M-3.7M-3.7M-14.5M
Net VEX-62.6K-81.4K-53.7K-56.7K-79.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.006.201.580.02
Total Volume564.09562,1066591,219
Total OI10,062.1436,70512,0909,7849,763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$54.95$50.0030.8%8.8%25.5%7.5%30.8%4.6%3.3%34.5K-3.7M-56.7K1.5816.132554044,2595,525
2009-09-02$54.95$50.0030.3%8.7%24.6%7.0%0.0%6.3%4.5%20.2K-3.8M-57.5K0.0017.231004,4245,651
2009-09-03$55.80$50.0032.4%9.3%20.9%9.4%32.2%4.4%2.4%53.8K-5.2M-56.3K0.0017.6258804,4345,651
2009-09-04$56.70$55.0031.0%10.0%20.5%7.8%0.0%4.2%-1.4%184.1K-8.6M-57.8K0.0026.18604,7865,651
2009-09-08$57.55$55.0028.0%9.4%21.0%4.3%36.3%4.8%-1.2%182.6K-10.7M-53.7K1.1423.932292614,7865,651
2009-09-09$59.47$55.0028.4%9.6%22.3%4.8%33.7%4.5%-1.8%272.0K-15.0M-59.1K0.8437.8838325,0085,889
2009-09-10$59.74$55.0033.2%9.5%21.3%10.3%32.9%3.1%-0.9%280.8K-15.7M-58.5K0.1135.33475525,0095,905
2009-09-11$60.11$55.0032.8%9.4%21.0%9.9%0.0%3.1%-0.7%350.1K-16.9M-58.6K0.3436.4144155,2505,938
2009-09-14$60.55$55.0033.6%9.6%19.9%10.8%34.7%3.5%-0.9%378.7K-17.8M-56.9K0.3837.21138525,2465,953
2009-09-15$61.37$55.0033.4%9.6%17.0%10.6%33.0%3.6%-0.8%399.1K-19.6M-56.1K0.0040.6510505,3235,975
2009-09-16$62.25$55.0033.2%9.5%17.2%10.3%30.8%4.1%-0.9%371.5K-21.3M-55.3K0.0528.62933455,3815,975
2009-09-17$62.35$55.0033.8%9.7%16.9%11.0%34.3%3.6%-1.1%404.6K-23.8M-63.5K1.1921.771712036,0725,970
2009-09-18$62.17$55.0033.6%9.6%17.1%10.8%32.2%2.8%-2.2%401.9K-23.7M-63.3K0.2035.006141246,1055,985
2009-09-21$62.35$55.0033.6%9.6%16.8%10.8%33.3%2.8%-3.0%442.0K-12.2M-63.3K1.7434.983906804,2892,416
2009-09-22$67.66$55.0028.9%8.3%32.0%5.3%29.0%0.7%-1.3%457.1K-20.7M-55.0K2.4239.066161,4904,3782,781
2009-09-23$70.23$60.0027.8%8.0%33.4%4.1%29.3%2.0%0.7%233.5K-23.7M-59.0K2.4033.841393334,7033,766
2009-09-24$68.82$60.0029.0%8.3%34.4%5.5%29.9%1.6%0.6%252.2K-21.2M-65.8K2.4826.593969844,7693,847
2009-09-25$65.97$60.0031.0%8.9%38.9%7.8%30.7%2.6%0.3%258.3K-14.6M-81.4K0.6145.642931785,0454,438
2009-09-28$67.00$60.0031.4%9.0%38.6%8.2%31.1%2.6%0.8%319.6K-17.3M-78.9K0.6535.36115755,2334,441
2009-09-29$66.84$60.0030.9%8.8%38.1%7.6%30.7%2.4%0.4%288.2K-16.6M-78.1K6.2051.16201245,1484,486
2009-09-30$66.24$60.0031.0%8.9%38.5%7.8%30.5%3.3%-0.0%252.5K-14.5M-79.2K0.0235.931,194255,1334,630