FDS Options History — April 2010

In April 2010, FDS traded between $73.60 and $76.93. ATM implied volatility averaged 22.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.0% (HV 20d: 16.2%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.59.

Notable Days

2010-04-19: Highest Volume — 144 contracts
2010-04-15: Largest IV spike — 17.1% change
2010-04-27: Highest IV Rank — 17.3%
2010-04-27: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.31	$73.60	$76.93	$73.60	$75.22
Max Pain	$70.71	$70.00	$75.00	$75.00	$70.00
ATM IV	22.2%	18.6%	24.4%	20.0%	23.1%
Expected Move	6.4%	5.7%	7.0%	5.7%	6.6%
HV 20d	16.2%	9.6%	22.7%	22.7%	12.2%
HV 60d	19.5%	18.4%	20.7%	20.6%	18.4%
IV Rank	11.7%	3.0%	17.3%	6.4%	14.1%
IV Percentile	6.2%	0.8%	14.3%	1.2%	11.5%
Term Structure	4.0%	2.3%	5.9%	2.3%	5.9%
VWIV	20.8%	15.8%	24.7%	19.8%	23.1%
Skew 25d	3.3%	-5.1%	5.3%	-5.1%	4.0%
Skew 10d	9.6%	1.5%	13.1%	7.3%	5.7%
Call IV 25d	20.8%	19.0%	22.5%	19.0%	21.5%
Put IV 25d	24.0%	13.8%	26.8%	13.8%	25.5%
Bid-Ask Spread %	47.53	27.43	91.75	91.75	32.22
Gamma HHI	0.24	0.21	0.30	0.24	0.21
Net GEX	223.6K	109.1K	298.2K	168.7K	263.4K
Net DEX	-6.4M	-8.8M	-4.2M	-4.2M	-6.2M
Net VEX	-32.2K	-38.1K	-28.4K	-38.1K	-32.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.00	21.00	0.24	0.00
Total Volume	51.81	1	144	1	35
Total OI	4,048.762	3,263	4,572	4,510	3,720

Daily Data (21 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
2010-04-01	$73.60	$75.00	20.0%	5.7%	22.7%	6.4%	19.8%	-5.1%	2.3%	168.7K	-4.2M	-38.1K	0.00	91.75	0	1	2,599	1,911
2010-04-05	$74.41	$70.00	21.8%	6.5%	22.1%	10.9%	22.8%	4.0%	3.0%	176.5K	-5.5M	-37.0K	0.24	44.29	45	11	2,599	1,910
2010-04-06	$74.62	$70.00	22.1%	6.5%	22.1%	11.7%	22.9%	3.1%	2.6%	177.7K	-5.9M	-36.4K	0.00	48.00	9	0	2,602	1,909
2010-04-07	$75.08	$70.00	22.9%	6.6%	21.9%	13.4%	20.9%	3.7%	3.1%	174.7K	-6.5M	-35.4K	0.00	42.19	57	0	2,596	1,909
2010-04-08	$74.64	$70.00	23.2%	6.4%	22.2%	14.2%	18.7%	3.6%	3.6%	176.4K	-5.9M	-35.5K	0.16	44.21	43	7	2,596	1,909
2010-04-09	$74.95	$70.00	20.6%	6.3%	22.2%	7.9%	0.0%	2.6%	2.8%	195.1K	-6.4M	-34.7K	0.00	48.36	11	0	2,665	1,907
2010-04-12	$75.47	$70.00	24.0%	6.3%	22.1%	16.2%	0.0%	3.5%	3.8%	199.1K	-7.4M	-33.9K	0.00	48.16	14	0	2,657	1,907
2010-04-13	$75.44	$70.00	21.2%	6.2%	22.1%	9.4%	21.3%	3.9%	3.4%	204.3K	-7.5M	-32.5K	0.53	46.41	19	10	2,651	1,907
2010-04-14	$75.98	$70.00	18.6%	6.2%	19.5%	3.0%	22.9%	4.0%	4.2%	184.1K	-8.8M	-30.9K	0.42	50.69	40	17	2,647	1,917
2010-04-15	$75.58	$70.00	21.7%	6.2%	16.3%	10.7%	21.9%	1.3%	3.7%	165.0K	-8.4M	-30.4K	0.36	54.48	22	8	2,628	1,920
2010-04-16	$74.56	$75.00	22.1%	6.3%	16.1%	11.5%	22.5%	2.6%	4.2%	109.1K	-4.4M	-29.6K	1.00	66.28	14	14	2,643	1,927
2010-04-19	$74.66	$75.00	22.3%	6.4%	10.6%	12.2%	16.9%	4.2%	3.6%	257.2K	-5.4M	-28.4K	1.77	36.48	52	92	2,129	1,134
2010-04-20	$75.72	$70.00	22.4%	6.4%	11.4%	12.3%	19.6%	3.8%	2.9%	257.0K	-6.3M	-29.4K	0.24	43.83	42	10	2,171	1,185
2010-04-21	$75.97	$70.00	22.0%	6.3%	11.3%	11.5%	19.2%	4.3%	3.8%	261.0K	-6.6M	-29.2K	0.12	44.35	95	11	2,181	1,195
2010-04-22	$76.17	$70.00	20.8%	6.0%	10.1%	8.6%	19.2%	3.4%	4.8%	298.2K	-6.7M	-28.7K	2.90	50.68	10	29	2,266	1,206
2010-04-23	$76.61	$70.00	21.7%	6.2%	9.6%	10.6%	19.4%	3.7%	5.6%	285.2K	-7.1M	-29.9K	0.32	41.27	44	14	2,276	1,222
2010-04-26	$76.93	$70.00	22.6%	6.5%	9.7%	12.9%	0.0%	4.0%	5.4%	294.2K	-7.4M	-30.1K	0.38	27.43	42	16	2,301	1,236
2010-04-27	$76.09	$70.00	24.4%	7.0%	10.7%	17.3%	23.3%	5.3%	5.1%	288.0K	-6.8M	-30.5K	0.29	47.38	77	22	2,322	1,251
2010-04-28	$74.98	$70.00	24.1%	6.9%	12.2%	16.4%	24.7%	3.8%	4.7%	280.5K	-5.8M	-31.4K	2.17	45.57	42	91	2,353	1,252
2010-04-29	$74.93	$70.00	23.6%	6.8%	12.2%	15.2%	15.8%	5.0%	5.2%	279.8K	-5.7M	-31.5K	21.00	44.04	1	21	2,386	1,322
2010-04-30	$75.22	$70.00	23.1%	6.6%	12.2%	14.1%	23.1%	4.0%	5.9%	263.4K	-6.2M	-32.7K	0.00	32.22	35	0	2,387	1,333