FDS Options History — October 2009

In October 2009, FDS traded between $64.05 and $66.89. ATM implied volatility averaged 29.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.2% (HV 20d: 32.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.67.

Notable Days

  • 2009-10-26: Highest Volume — 413 contracts
  • 2009-10-30: Largest IV spike — 11.7% change
  • 2009-10-12: Highest IV Rank — 9.4%
  • 2009-10-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.66$64.05$66.89$65.03$64.05
Max Pain$64.55$60.00$65.00$60.00$65.00
ATM IV29.3%26.7%32.4%31.1%31.7%
Expected Move8.4%7.7%9.1%8.9%9.1%
HV 20d32.5%19.4%40.5%39.6%20.3%
HV 60d29.1%28.6%29.7%29.1%28.6%
IV Rank5.9%2.9%9.4%7.8%8.8%
IV Percentile15.7%4.0%32.9%22.2%32.9%
Term Structure2.4%0.7%3.8%0.8%1.9%
VWIV29.1%25.3%33.9%31.0%31.7%
Skew 25d3.3%2.0%4.8%2.0%4.1%
Skew 10d6.0%-0.2%11.5%2.4%-0.2%
Call IV 25d28.1%24.9%31.0%31.0%30.7%
Put IV 25d31.4%27.9%35.3%33.0%34.8%
Bid-Ask Spread %41.7221.6758.1621.6737.62
Gamma HHI0.390.280.660.290.31
Net GEX383.0K77.8K1.3M378.3K82.6K
Net DEX-13.0M-21.5M-5.3M-13.6M-5.3M
Net VEX-77.5K-89.6K-70.8K-87.3K-75.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.670.0050.600.600.24
Total Volume135.091541313363
Total OI9,691.4557,98311,50410,5128,709

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$65.03$60.0031.1%8.9%39.6%7.8%31.0%2.0%0.8%378.3K-13.6M-87.3K0.6021.6783505,8844,628
2009-10-02$64.05$60.0030.7%8.8%40.4%7.4%32.4%3.8%1.6%391.2K-10.9M-89.6K50.6023.3052536,1134,666
2009-10-05$65.18$65.0031.9%9.1%40.4%8.9%33.9%4.8%0.7%431.4K-14.0M-86.2K8.4433.559766,1124,747
2009-10-06$65.63$65.0030.8%8.9%40.3%7.5%30.3%3.6%1.5%465.6K-15.4M-85.5K3.6147.31381376,1204,763
2009-10-07$65.16$65.0030.1%8.9%39.3%6.8%0.0%3.5%1.1%313.5K-12.3M-89.3K0.0036.68506,1315,373
2009-10-08$65.99$65.0029.4%8.8%39.4%5.9%30.0%2.3%1.5%508.6K-17.0M-82.6K0.9928.1497966,1314,748
2009-10-09$66.89$65.0030.0%8.9%39.6%6.6%29.0%4.2%1.5%611.4K-20.4M-78.5K6.7342.8911746,1214,343
2009-10-12$66.37$65.0032.4%8.8%39.8%9.4%31.0%3.9%1.8%652.8K-19.1M-75.1K11.6955.68131526,1304,277
2009-10-13$66.37$65.0031.1%8.5%39.7%8.1%29.2%3.0%2.1%654.3K-19.0M-74.9K0.6443.131691086,1244,397
2009-10-14$66.13$65.0028.8%8.4%39.6%5.3%29.3%3.2%2.5%696.5K-18.7M-76.1K0.2957.921446,2554,468
2009-10-15$66.72$65.0029.4%8.4%39.7%6.1%28.8%2.8%2.4%397.1K-21.5M-72.7K2.4155.1029706,2134,443
2009-10-16$65.52$65.0028.5%8.2%40.3%5.0%28.5%2.4%3.3%1.3M-18.7M-73.5K0.3428.8058206,2384,466
2009-10-19$66.44$65.0027.6%7.9%40.5%3.9%27.4%2.8%2.9%220.6K-10.8M-70.8K0.5751.611881074,3723,611
2009-10-20$66.21$65.0027.1%7.8%28.0%3.3%26.7%4.1%2.7%208.8K-10.2M-72.9K0.8243.8965534,4953,695
2009-10-21$65.16$65.0026.7%7.7%24.5%2.9%27.4%2.7%3.7%178.9K-8.3M-73.0K2.7344.9722604,5353,748
2009-10-22$66.46$65.0027.0%7.7%25.0%3.2%25.3%3.3%3.1%214.1K-10.4M-72.1K3.6457.7514514,5053,758
2009-10-23$66.46$65.0026.8%7.7%19.9%3.0%26.7%3.0%3.2%215.2K-10.4M-72.9K1.4934.18931394,5163,809
2009-10-26$65.78$65.0028.2%8.1%19.4%4.6%26.7%3.5%3.4%179.9K-9.1M-73.2K4.7435.99723414,5783,871
2009-10-27$65.09$65.0028.3%8.1%19.7%4.8%28.3%3.5%3.7%104.3K-7.0M-75.5K0.0958.163434,5734,124
2009-10-28$64.36$65.0029.0%8.3%19.8%5.6%28.9%2.8%3.1%77.8K-5.5M-74.5K0.4946.1939194,5734,122
2009-10-29$65.38$65.0028.4%8.1%19.6%4.9%28.4%3.6%3.8%112.0K-7.3M-74.3K1.5333.4015234,5984,129
2009-10-30$64.05$65.0031.7%9.1%20.3%8.8%31.7%4.1%1.9%82.6K-5.3M-75.4K0.2437.6251124,5984,111