FDS Options History — February 2010

In February 2010, FDS traded between $62.19 and $66.24. ATM implied volatility averaged 29.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 9.0% (HV 20d: 20.6%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.14.

Notable Days

2010-02-05: Highest Volume — 391 contracts
2010-02-11: Largest IV spike — 45.3% change
2010-02-11: Highest IV Rank — 17.4%
2010-02-08: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.51	$62.19	$66.24	$63.76	$66.20
Max Pain	$61.05	$60.00	$65.00	$65.00	$60.00
ATM IV	29.5%	22.9%	33.2%	25.4%	33.1%
Expected Move	9.1%	7.0%	10.7%	7.3%	9.5%
HV 20d	20.6%	18.9%	22.0%	19.0%	18.9%
HV 60d	32.4%	31.9%	33.1%	33.0%	31.9%
IV Rank	13.4%	6.1%	17.4%	8.9%	17.3%
IV Percentile	37.9%	1.6%	63.5%	6.7%	63.5%
Term Structure	-0.4%	-5.8%	7.0%	6.6%	-3.5%
VWIV	31.1%	24.4%	36.6%	25.5%	30.2%
Skew 25d	4.4%	1.1%	8.7%	7.8%	5.0%
Skew 10d	7.6%	0.8%	16.0%	10.3%	10.9%
Call IV 25d	29.4%	18.4%	34.5%	21.1%	30.2%
Put IV 25d	33.8%	27.1%	37.5%	28.8%	35.2%
Bid-Ask Spread %	33.35	15.07	54.78	35.52	32.03
Gamma HHI	0.41	0.27	0.81	0.35	0.27
Net GEX	-251.8K	-3.0M	393.2K	-56.1K	390.1K
Net DEX	-3.7M	-8.3M	2.0M	-1.2M	-7.1M
Net VEX	-53.5K	-64.2K	-43.2K	-63.9K	-43.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.00	4.80	0.40	0.20
Total Volume	119.947	2	391	42	166
Total OI	8,519.526	6,751	9,249	8,772	6,871

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
2010-02-01	$63.76	$65.00	25.4%	7.3%	19.0%	8.9%	25.5%	7.8%	6.6%	-56.1K	-1.2M	-63.9K	0.40	35.52	30	12	5,148	3,624
2010-02-02	$64.65	$65.00	24.9%	7.1%	19.2%	8.3%	24.9%	8.7%	7.0%	-89.3K	-3.3M	-64.2K	0.19	18.82	160	31	5,140	3,624
2010-02-03	$64.08	$65.00	24.5%	7.0%	18.9%	7.9%	24.4%	7.1%	6.9%	-73.6K	-2.1M	-61.8K	0.50	15.07	12	6	5,202	3,648
2010-02-04	$62.19	$65.00	30.1%	8.6%	21.2%	14.0%	28.9%	1.1%	5.5%	-725	1.8M	-59.6K	2.22	17.13	89	198	5,200	3,653
2010-02-05	$62.85	$60.00	26.2%	9.8%	21.4%	9.7%	33.9%	3.2%	-1.8%	-76.4K	1.4M	-59.7K	0.51	35.57	259	132	5,254	3,776
2010-02-08	$62.31	$60.00	29.1%	10.7%	21.3%	12.9%	36.6%	3.0%	-5.8%	-63.7K	2.0M	-58.2K	2.00	47.85	7	14	5,362	3,821
2010-02-09	$63.09	$60.00	24.4%	10.0%	21.7%	7.7%	34.5%	3.1%	-2.6%	-119.1K	955.3K	-57.9K	0.48	54.78	23	11	5,358	3,833
2010-02-10	$63.10	$60.00	22.9%	10.1%	21.6%	6.1%	0.0%	2.9%	-2.4%	-146.3K	1.1M	-57.2K	1.00	33.11	1	1	5,368	3,833
2010-02-11	$64.33	$60.00	33.2%	9.5%	21.5%	17.4%	33.8%	4.5%	-1.3%	-284.2K	-2.2M	-57.8K	0.41	40.76	112	46	5,369	3,833
2010-02-12	$64.90	$60.00	30.7%	8.8%	21.6%	14.6%	33.3%	1.3%	0.4%	-467.7K	-3.8M	-55.2K	0.57	29.76	54	31	5,351	3,829
2010-02-16	$65.28	$60.00	33.2%	9.5%	21.7%	17.3%	34.5%	3.8%	-3.0%	-505.1K	-5.5M	-53.8K	4.10	37.03	10	41	5,372	3,837
2010-02-17	$65.85	$60.00	32.6%	9.3%	22.0%	16.7%	32.5%	6.0%	-1.4%	-716.8K	-8.3M	-51.4K	0.00	35.19	12	0	5,382	3,853
2010-02-18	$65.31	$60.00	32.3%	9.3%	21.1%	16.4%	30.8%	4.1%	-2.1%	-1.2M	-6.6M	-49.8K	1.43	36.63	7	10	5,382	3,852
2010-02-19	$65.21	$60.00	31.1%	8.9%	20.2%	15.1%	30.9%	3.6%	-1.8%	-3.0M	-6.9M	-47.7K	4.80	43.90	46	221	5,387	3,862
2010-02-22	$65.23	$60.00	31.4%	9.0%	19.6%	15.4%	31.1%	4.2%	-1.7%	393.2K	-8.1M	-44.5K	1.52	30.39	91	138	4,646	2,461
2010-02-23	$65.00	$60.00	32.2%	9.2%	19.5%	16.3%	31.6%	4.1%	-2.2%	392.2K	-7.9M	-44.0K	0.13	34.36	79	10	4,672	2,479
2010-02-24	$66.24	$60.00	31.4%	9.0%	20.3%	15.4%	29.4%	4.7%	-2.1%	377.5K	-7.1M	-43.2K	0.35	31.22	107	37	4,262	2,489
2010-02-25	$66.15	$60.00	32.7%	9.4%	20.0%	16.9%	32.5%	5.0%	-2.5%	384.0K	-7.1M	-43.8K	0.83	24.58	41	34	4,322	2,516
2010-02-26	$66.20	$60.00	33.1%	9.5%	18.9%	17.3%	30.2%	5.0%	-3.5%	390.1K	-7.1M	-43.4K	0.20	32.03	138	28	4,335	2,536