FDS Options History — December 2009

In December 2009, FDS traded between $65.48 and $76.06. ATM implied volatility averaged 31.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 5.9% (HV 20d: 36.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2009-12-15: Highest Volume — 5,320 contracts
  • 2009-12-10: Largest IV drop — 21.0% change
  • 2009-12-08: Highest IV Rank — 19.8%
  • 2009-12-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.80$65.48$76.06$73.31$65.87
Max Pain$70.23$70.00$75.00$70.00$70.00
ATM IV31.0%23.9%41.0%35.8%24.4%
Expected Move8.4%6.8%10.6%10.3%7.0%
HV 20d36.8%20.2%49.8%23.2%48.5%
HV 60d32.1%28.7%39.8%29.2%33.4%
IV Rank7.9%0.0%19.8%13.7%0.7%
IV Percentile27.9%0.0%63.9%50.8%0.8%
Term Structure0.3%-5.9%3.2%-5.2%2.4%
VWIV30.1%22.7%39.9%36.6%24.0%
Skew 25d3.1%-4.0%5.8%5.8%-4.0%
Skew 10d7.4%-8.4%15.2%14.5%-8.4%
Call IV 25d28.3%23.0%36.2%34.5%24.6%
Put IV 25d31.4%20.6%40.8%40.4%20.6%
Bid-Ask Spread %27.0112.0047.7933.3613.50
Gamma HHI0.390.280.680.280.49
Net GEX25.4K-1.1M668.7K504.9K-449.8K
Net DEX-9.3M-26.5M9.4M-20.4M327.0K
Net VEX-83.5K-94.3K-72.7K-83.7K-85.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0016.530.240.17
Total Volume668.409295,320156749
Total OI11,721.7279,42916,09010,57110,944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$73.31$70.0035.8%10.3%23.2%13.7%36.6%5.8%-5.2%504.9K-20.4M-83.7K0.2433.36126305,8944,677
2009-12-02$73.88$70.0036.4%10.5%22.4%14.4%36.7%3.5%-5.9%564.2K-22.2M-82.0K6.0033.73452705,9904,711
2009-12-03$72.75$70.0037.1%10.6%23.6%15.1%39.9%4.6%-5.7%496.6K-19.5M-84.8K0.2625.20152406,0244,918
2009-12-04$73.81$70.0037.1%8.8%22.0%15.1%33.4%4.8%0.5%579.2K-21.6M-84.1K1.0215.5247486,0834,920
2009-12-07$73.58$70.0039.5%8.9%22.1%18.0%0.0%4.2%0.3%567.4K-21.2M-82.4K1.3920.0341576,0844,967
2009-12-08$72.83$70.0041.0%8.9%20.2%19.8%30.0%4.7%0.6%514.4K-19.3M-82.1K0.3821.12108416,1055,012
2009-12-09$73.51$70.0040.6%9.0%20.4%19.4%34.4%4.0%0.2%576.4K-21.2M-80.1K5.0027.51824106,1695,035
2009-12-10$75.04$70.0032.1%9.2%21.5%9.3%32.3%4.1%-0.4%592.8K-24.2M-78.5K1.1228.902893246,1855,385
2009-12-11$75.95$70.0030.8%8.8%21.4%7.7%32.5%4.6%0.7%668.7K-26.5M-78.3K0.9747.793203126,3205,615
2009-12-14$76.06$70.0033.2%9.5%20.5%10.6%32.2%4.4%-1.0%647.6K-26.3M-77.2K0.9931.387197116,4155,738
2009-12-15$66.84$75.0031.0%8.9%49.7%8.0%30.4%2.9%2.4%-182.2K1.8M-72.7K2.5638.001,4953,8256,8066,271
2009-12-16$65.87$70.0028.9%8.3%49.8%5.5%28.5%3.0%3.0%-681.4K9.4M-84.9K1.0831.076156667,4448,325
2009-12-17$65.48$70.0028.7%8.2%49.8%5.2%28.7%2.4%3.2%-752.9K8.7M-85.9K2.0322.861673397,8488,242
2009-12-18$65.54$70.0028.8%8.3%49.7%5.4%29.3%3.5%2.0%-1.1M6.9M-83.4K16.5329.69304967,8788,115
2009-12-21$65.92$70.0026.8%7.7%49.8%3.0%25.7%3.3%1.4%-170.6K-845.9K-80.9K0.4329.742861225,1474,282
2009-12-22$66.25$70.0025.9%7.4%49.5%1.9%23.7%3.3%1.1%-145.6K-1.8M-81.6K2.4936.254271,0635,3174,283
2009-12-23$66.70$70.0024.8%7.1%49.7%0.6%25.7%2.9%2.4%-265.5K-1.7M-94.3K1.1120.2745505,7245,325
2009-12-24$66.66$70.0024.6%7.0%49.5%0.3%0.0%2.5%1.3%-306.9K-1.5M-92.9K0.0017.953605,6245,271
2009-12-28$66.56$70.0024.8%7.1%49.2%0.6%24.7%1.7%1.2%-338.0K-1.5M-88.3K0.4134.7841175,6485,271
2009-12-29$66.70$70.0024.7%7.1%49.1%0.5%0.0%2.3%0.8%-359.5K-1.5M-87.1K0.0023.553505,6535,277
2009-12-30$66.45$70.0023.9%6.8%48.7%0.0%22.7%-1.1%2.0%-393.1K-1.1M-86.0K0.0012.002905,6635,273
2009-12-31$65.87$70.0024.4%7.0%48.5%0.7%24.0%-4.0%2.4%-449.8K327.0K-85.1K0.1713.506391105,6715,273