FDS Options History — March 2010

In March 2010, FDS traded between $67.60 and $76.17. ATM implied volatility averaged 28.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.4% (HV 20d: 19.7%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-03-15: Highest Volume — 2,632 contracts
  • 2010-03-16: Largest IV drop — 30.7% change
  • 2010-03-15: Highest IV Rank — 28.9%
  • 2010-03-02: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.87$67.60$76.17$67.60$73.37
Max Pain$69.57$60.00$75.00$60.00$75.00
ATM IV28.1%21.0%39.4%33.9%21.0%
Expected Move7.6%6.0%9.8%9.7%6.0%
HV 20d19.7%14.1%24.4%19.4%23.0%
HV 60d25.3%17.4%32.3%32.1%20.6%
IV Rank16.6%8.9%28.9%18.1%8.9%
IV Percentile32.1%1.2%84.9%69.4%1.2%
Term Structure-0.1%-5.6%4.1%-4.0%0.9%
VWIV27.2%21.1%34.4%34.2%22.2%
Skew 25d3.5%0.6%5.7%4.2%4.2%
Skew 10d8.0%4.3%14.1%8.0%6.4%
Call IV 25d25.3%19.3%33.8%32.2%19.3%
Put IV 25d28.8%23.3%36.4%36.4%23.5%
Bid-Ask Spread %38.0614.8188.6818.6262.36
Gamma HHI0.400.250.750.290.25
Net GEX468.5K125.0K1.5M438.5K170.2K
Net DEX-12.7M-31.1M-2.7M-9.5M-4.3M
Net VEX-41.5K-45.8K-37.6K-42.9K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0018.001.630.00
Total Volume379.8732,6321003
Total OI6,856.6094,1139,9056,9924,508

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$67.60$60.0033.9%9.7%19.4%18.1%34.2%4.2%-4.0%438.5K-9.5M-42.9K1.6318.6238624,4292,563
2010-03-02$68.77$60.0034.2%9.8%19.8%18.5%33.3%0.6%-5.6%446.5K-11.4M-42.8K0.4219.50102434,4462,609
2010-03-03$69.52$60.0031.5%9.0%19.6%15.5%31.8%3.3%-4.1%463.5K-13.0M-43.1K0.2624.395171324,5242,650
2010-03-04$69.01$60.0033.1%9.5%19.5%17.3%34.4%1.0%-4.6%526.6K-12.6M-45.8K0.0617.66191124,7652,758
2010-03-05$70.30$65.0032.9%7.9%15.6%17.1%25.8%4.1%0.9%580.4K-15.5M-45.3K1.8523.5634634,9102,761
2010-03-08$70.25$65.0037.1%8.3%15.7%21.6%0.0%4.7%-1.0%555.3K-15.5M-43.4K1.1027.0461674,8922,804
2010-03-09$71.00$65.0039.4%8.4%14.9%24.2%29.4%3.6%0.4%590.0K-16.6M-43.5K0.5029.2892464,9122,796
2010-03-10$71.16$70.0038.8%8.4%14.8%23.5%0.0%4.5%-0.5%601.6K-16.8M-42.4K2.2937.211754014,9522,832
2010-03-11$71.41$70.0030.0%8.6%14.6%13.9%27.6%3.9%-1.1%539.7K-16.9M-43.0K18.0022.955904,9853,016
2010-03-12$71.18$70.0028.3%8.1%14.1%21.6%27.8%3.6%0.2%502.6K-16.2M-41.8K0.3937.802581014,9873,059
2010-03-15$71.62$70.0031.5%9.0%14.1%28.9%30.0%4.2%-1.4%537.0K-17.5M-41.4K0.7514.811,5001,1325,1143,128
2010-03-16$73.89$70.0021.8%6.3%16.9%9.7%22.1%2.3%3.6%881.8K-24.0M-37.6K0.2720.581,3603685,7533,877
2010-03-17$76.17$70.0021.8%6.3%18.9%10.9%21.7%3.2%4.1%1.1M-31.1M-38.1K0.1925.17242455,7943,690
2010-03-18$75.05$70.0023.3%6.7%19.8%14.5%23.2%3.4%3.2%1.5M-27.2M-40.6K5.5125.52784305,8233,725
2010-03-19$72.62$75.0024.6%7.1%24.2%17.8%25.4%3.5%1.6%332.4K-18.0M-41.6K1.2339.792402945,7954,110
2010-03-22$73.03$75.0022.8%6.5%24.1%13.2%24.8%2.9%0.8%142.2K-3.9M-40.0K1.6167.231091762,4441,669
2010-03-23$73.55$75.0022.4%6.4%23.9%12.3%0.0%3.1%0.6%141.2K-4.4M-41.3K7.5071.5010752,5231,818
2010-03-24$72.70$75.0023.0%6.6%24.2%13.7%26.8%2.9%0.9%136.7K-3.3M-41.5K0.7834.5627212,5331,891
2010-03-25$72.23$75.0025.7%7.4%24.4%20.4%0.0%4.8%0.6%138.7K-3.2M-41.0K0.0046.181002,5601,896
2010-03-26$72.40$75.0025.0%7.2%24.4%18.7%21.1%5.7%0.4%125.0K-2.7M-40.3K0.1960.0478152,5091,896
2010-03-29$72.98$75.0022.0%6.3%23.7%11.4%22.2%3.3%1.0%153.3K-3.4M-39.9K5.0060.994202,5871,911
2010-03-30$73.25$75.0021.8%6.2%23.1%10.9%0.0%3.3%1.1%164.9K-4.0M-39.3K0.0088.681002,5871,911
2010-03-31$73.37$75.0021.0%6.0%23.0%8.9%0.0%4.2%0.9%170.2K-4.3M-38.6K0.0062.36302,5971,911