FDS Options History — January 2010

In January 2010, FDS traded between $63.00 and $68.18. ATM implied volatility averaged 24.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.5% (HV 20d: 29.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2010-01-19: Highest Volume — 566 contracts
2010-01-14: Largest IV spike — 42.2% change
2010-01-29: Highest IV Rank — 10.5%
2010-01-29: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.97	$63.00	$68.18	$66.68	$63.00
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	24.2%	17.3%	27.0%	26.2%	27.0%
Expected Move	7.3%	6.7%	7.7%	7.5%	7.7%
HV 20d	29.7%	13.5%	48.7%	48.7%	18.5%
HV 60d	33.4%	33.3%	33.5%	33.5%	33.3%
IV Rank	6.5%	0.0%	10.5%	2.8%	10.5%
IV Percentile	5.2%	0.0%	15.1%	4.8%	15.1%
Term Structure	5.0%	4.3%	5.7%	4.4%	5.1%
VWIV	25.6%	22.6%	29.1%	25.0%	29.1%
Skew 25d	3.4%	2.3%	5.1%	3.2%	4.8%
Skew 10d	5.7%	-3.4%	13.5%	6.9%	4.5%
Call IV 25d	24.1%	21.3%	25.7%	24.8%	24.2%
Put IV 25d	27.5%	26.2%	29.0%	28.1%	29.0%
Bid-Ask Spread %	33.57	16.00	51.61	23.26	51.49
Gamma HHI	0.37	0.28	0.54	0.45	0.33
Net GEX	-143.6K	-713.0K	124.9K	-396.1K	-6.5K
Net DEX	-4.7M	-8.7M	309.0K	-3.7M	309.0K
Net VEX	-73.1K	-87.2K	-63.1K	-87.2K	-63.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	4.67	0.18	0.42
Total Volume	185.789	52	566	113	139
Total OI	10,012.947	8,089	11,585	11,402	8,703

Daily Data (19 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
2010-01-04	$66.68	$65.00	26.2%	7.5%	48.7%	2.8%	25.0%	3.2%	4.4%	-396.1K	-3.7M	-87.2K	0.18	23.26	96	17	6,096	5,306
2010-01-05	$67.31	$65.00	25.9%	7.6%	48.5%	2.4%	26.4%	3.6%	4.5%	-307.1K	-6.0M	-86.6K	1.38	32.90	156	216	6,139	5,311
2010-01-06	$67.46	$65.00	19.5%	7.4%	48.6%	0.0%	25.4%	3.1%	4.9%	-309.3K	-6.4M	-84.8K	0.04	19.10	109	4	6,080	5,317
2010-01-07	$68.03	$65.00	22.9%	6.8%	48.7%	3.9%	23.8%	3.3%	5.1%	-162.9K	-8.3M	-82.6K	0.79	27.03	38	30	6,072	5,321
2010-01-08	$68.18	$65.00	17.3%	6.7%	48.5%	0.0%	26.2%	3.3%	5.0%	-99.7K	-8.7M	-80.8K	0.11	26.10	74	8	6,047	5,341
2010-01-11	$67.12	$65.00	22.7%	7.5%	47.8%	5.9%	24.8%	3.7%	4.3%	-392.3K	-5.5M	-77.2K	0.43	31.05	54	23	6,050	5,347
2010-01-12	$66.60	$65.00	23.3%	7.3%	47.4%	6.5%	24.7%	3.9%	4.6%	-713.0K	-3.5M	-75.0K	1.38	34.58	111	153	6,038	5,331
2010-01-13	$67.94	$65.00	17.9%	6.8%	48.2%	0.6%	24.7%	3.3%	5.2%	110.9K	-8.5M	-71.7K	0.14	36.84	69	10	6,043	5,332
2010-01-14	$67.09	$65.00	25.4%	7.3%	14.7%	8.9%	25.1%	3.1%	5.3%	-447.6K	-5.5M	-72.7K	2.25	42.53	68	153	6,048	5,392
2010-01-15	$66.81	$65.00	25.1%	7.2%	13.8%	8.5%	24.1%	3.2%	4.9%	-275.3K	-5.6M	-71.2K	0.08	44.47	101	8	6,093	5,492
2010-01-19	$67.03	$65.00	25.5%	7.3%	13.5%	9.0%	22.6%	5.1%	4.6%	124.9K	-8.7M	-66.8K	0.11	21.27	509	57	4,766	3,323
2010-01-20	$65.78	$65.00	24.9%	7.1%	15.3%	8.3%	24.7%	2.8%	4.9%	100.7K	-6.3M	-67.6K	0.54	16.00	276	149	4,870	3,351
2010-01-21	$64.70	$65.00	25.7%	7.4%	16.2%	9.2%	26.0%	2.3%	5.0%	65.2K	-4.1M	-67.6K	0.81	17.80	153	124	4,890	3,360
2010-01-22	$63.87	$65.00	26.4%	7.6%	16.6%	9.9%	26.8%	2.3%	5.2%	42.1K	-2.2M	-68.7K	4.67	39.09	30	140	4,947	3,463
2010-01-25	$63.42	$65.00	26.3%	7.5%	16.4%	9.8%	26.4%	2.7%	5.7%	182	-698.8K	-65.9K	1.34	51.61	47	63	4,958	3,567
2010-01-26	$63.95	$65.00	26.5%	7.6%	16.8%	10.0%	26.5%	3.3%	4.5%	-14.4K	-1.9M	-66.9K	0.06	32.70	89	5	4,956	3,600
2010-01-27	$64.72	$65.00	25.1%	7.2%	17.5%	8.5%	0.0%	4.0%	5.4%	-29.7K	-3.2M	-66.6K	0.00	44.80	199	0	4,999	3,600
2010-01-28	$63.67	$65.00	25.7%	7.4%	18.3%	9.1%	27.8%	3.2%	5.3%	-18.2K	-1.1M	-65.7K	1.17	45.18	24	28	5,097	3,600
2010-01-29	$63.00	$65.00	27.0%	7.7%	18.5%	10.5%	29.1%	4.8%	5.1%	-6.5K	309.0K	-63.1K	0.42	51.49	98	41	5,087	3,616