FDS Options History — November 2009

In November 2009, FDS traded between $64.41 and $74.28. ATM implied volatility averaged 31.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.8% (HV 20d: 23.7%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.74.

Notable Days

2009-11-25: Highest Volume — 1,763 contracts
2009-11-27: Largest IV spike — 14.8% change
2009-11-30: Highest IV Rank — 16.7%
2009-11-30: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.94	$64.41	$74.28	$64.41	$72.35
Max Pain	$64.50	$60.00	$70.00	$65.00	$70.00
ATM IV	31.6%	28.3%	38.4%	32.4%	38.4%
Expected Move	9.2%	8.1%	11.0%	9.3%	11.0%
HV 20d	23.7%	19.3%	25.3%	19.3%	23.1%
HV 60d	28.7%	28.2%	29.3%	28.4%	29.2%
IV Rank	8.6%	4.7%	16.7%	9.6%	16.7%
IV Percentile	31.9%	12.7%	59.1%	35.3%	59.1%
Term Structure	-0.5%	-5.4%	3.4%	1.6%	-5.4%
VWIV	32.5%	29.8%	37.7%	33.1%	37.7%
Skew 25d	4.2%	2.4%	7.5%	4.4%	5.1%
Skew 10d	9.3%	0.7%	18.1%	0.7%	9.5%
Call IV 25d	30.5%	24.1%	34.8%	31.2%	34.8%
Put IV 25d	34.7%	31.5%	39.9%	35.6%	39.9%
Bid-Ask Spread %	28.61	14.96	68.15	68.15	21.38
Gamma HHI	0.37	0.24	0.57	0.31	0.27
Net GEX	414.7K	90.4K	608.5K	90.4K	440.4K
Net DEX	-20.6M	-32.1M	-5.5M	-5.5M	-18.2M
Net VEX	-76.7K	-88.0K	-63.9K	-72.5K	-84.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.02	14.75	14.75	2.59
Total Volume	376.65	43	1,763	63	273
Total OI	10,035	8,758	11,770	8,758	10,485

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$64.41	$65.00	32.4%	9.3%	19.3%	9.6%	33.1%	4.4%	1.6%	90.4K	-5.5M	-72.5K	14.75	68.15	4	59	4,646	4,112
2009-11-03	$65.94	$65.00	32.6%	9.3%	21.0%	9.9%	32.5%	5.5%	1.3%	144.6K	-8.7M	-71.9K	0.02	33.69	55	1	4,645	4,124
2009-11-04	$66.43	$65.00	32.1%	9.2%	21.0%	9.3%	32.0%	3.1%	1.8%	175.9K	-10.0M	-71.7K	2.07	40.60	14	29	4,699	4,124
2009-11-05	$68.44	$65.00	28.4%	8.1%	23.0%	4.8%	30.6%	7.5%	3.4%	268.9K	-14.1M	-69.0K	0.51	23.19	143	73	4,699	4,138
2009-11-06	$68.67	$60.00	28.3%	9.1%	22.6%	4.8%	35.4%	4.9%	0.0%	289.6K	-15.2M	-69.8K	2.93	24.04	30	88	4,815	4,176
2009-11-09	$70.76	$60.00	28.9%	9.2%	24.5%	5.4%	31.3%	4.9%	-1.1%	376.0K	-20.1M	-63.9K	0.10	29.82	431	41	4,817	4,239
2009-11-10	$71.02	$60.00	28.3%	9.2%	24.5%	4.7%	31.9%	4.3%	-1.0%	410.2K	-21.6M	-66.8K	1.52	31.11	312	475	5,054	4,226
2009-11-11	$71.22	$60.00	29.2%	9.2%	24.3%	5.8%	32.9%	4.7%	-0.5%	404.3K	-20.5M	-78.3K	3.64	37.02	28	102	5,351	4,672
2009-11-12	$70.74	$65.00	31.9%	9.2%	24.5%	9.1%	32.0%	4.2%	-0.4%	402.4K	-19.6M	-79.8K	0.14	25.66	538	77	5,337	4,727
2009-11-13	$72.20	$65.00	32.3%	9.3%	23.9%	9.5%	30.8%	4.6%	-1.2%	608.5K	-24.5M	-75.4K	1.70	32.41	110	187	5,678	4,728
2009-11-16	$74.28	$65.00	31.1%	8.9%	25.2%	8.1%	31.3%	3.5%	0.1%	442.7K	-29.5M	-70.4K	0.10	23.74	939	91	5,769	4,907
2009-11-17	$74.19	$65.00	31.2%	8.9%	25.1%	8.2%	30.6%	4.0%	-0.5%	562.8K	-32.1M	-81.7K	0.17	19.96	261	45	6,613	4,899
2009-11-18	$73.57	$65.00	31.2%	9.0%	24.3%	8.2%	32.9%	3.7%	-0.5%	606.1K	-31.4M	-83.2K	0.13	21.93	400	50	6,853	4,906
2009-11-19	$72.45	$65.00	32.9%	9.4%	24.9%	10.2%	31.6%	3.9%	-1.3%	549.4K	-28.8M	-83.8K	0.50	25.39	64	32	6,819	4,951
2009-11-20	$71.86	$65.00	31.9%	9.2%	25.3%	9.0%	31.4%	3.4%	0.1%	537.0K	-27.8M	-83.5K	0.55	14.96	179	99	6,826	4,902
2009-11-23	$72.88	$65.00	30.6%	8.8%	24.9%	7.5%	31.0%	2.4%	-0.8%	504.6K	-23.1M	-78.6K	0.50	26.55	237	119	5,839	3,866
2009-11-24	$72.50	$65.00	30.8%	8.8%	24.5%	7.6%	29.8%	2.6%	-0.0%	535.9K	-23.1M	-79.0K	0.27	27.01	52	14	6,056	3,985
2009-11-25	$73.14	$65.00	32.0%	9.2%	23.8%	9.2%	34.6%	4.4%	-1.9%	532.7K	-20.3M	-82.2K	0.90	22.87	930	833	5,554	3,989
2009-11-27	$71.85	$70.00	36.8%	10.5%	25.0%	14.8%	37.0%	3.8%	-3.7%	411.2K	-17.4M	-88.0K	1.68	22.63	44	74	5,821	4,653
2009-11-30	$72.35	$70.00	38.4%	11.0%	23.1%	16.7%	37.7%	5.1%	-5.4%	440.4K	-18.2M	-84.6K	2.59	21.38	76	197	5,823	4,662