FDS Options History — May 2010

In May 2010, FDS traded between $66.80 and $76.70. ATM implied volatility averaged 33.2%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.9% (HV 20d: 26.3%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.52.

Notable Days

2010-05-27: Highest Volume — 437 contracts
2010-05-06: Largest IV spike — 35.0% change
2010-05-20: Highest IV Rank — 60.5%
2010-05-20: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.59	$66.80	$76.70	$76.70	$68.05
Max Pain	$70.75	$70.00	$75.00	$70.00	$70.00
ATM IV	33.2%	22.7%	42.3%	22.7%	34.6%
Expected Move	9.7%	6.5%	12.1%	6.5%	9.9%
HV 20d	26.3%	13.4%	35.4%	13.4%	35.4%
HV 60d	21.9%	17.4%	25.4%	17.4%	25.4%
IV Rank	38.4%	12.9%	60.5%	12.9%	41.8%
IV Percentile	67.5%	9.1%	95.6%	9.1%	86.5%
Term Structure	-1.7%	-6.5%	7.0%	7.0%	-3.1%
VWIV	34.7%	23.3%	44.5%	23.3%	33.2%
Skew 25d	6.9%	2.7%	12.7%	2.7%	7.1%
Skew 10d	15.7%	3.2%	25.2%	9.5%	11.9%
Call IV 25d	31.4%	21.9%	38.5%	21.9%	33.1%
Put IV 25d	38.3%	24.5%	50.4%	24.5%	40.2%
Bid-Ask Spread %	42.01	27.64	78.01	27.64	31.15
Gamma HHI	0.27	0.20	0.38	0.21	0.30
Net GEX	246.6K	137.4K	310.0K	298.5K	195.6K
Net DEX	-3.1M	-7.3M	196.2K	-7.3M	-1.3M
Net VEX	-30.8K	-33.7K	-27.2K	-30.6K	-29.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.06	6.90	1.79	0.32
Total Volume	113.8	30	437	67	41
Total OI	3,993.45	3,747	4,299	3,747	4,193

Daily Data (20 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
2010-05-03	$76.70	$70.00	22.7%	6.5%	13.4%	12.9%	23.3%	2.7%	7.0%	298.5K	-7.3M	-30.6K	1.79	27.64	24	43	2,414	1,333
2010-05-04	$74.77	$75.00	25.7%	7.4%	16.5%	20.4%	25.7%	4.0%	5.1%	255.1K	-5.6M	-31.6K	0.51	45.74	51	26	2,409	1,376
2010-05-05	$73.99	$75.00	24.7%	7.1%	16.7%	17.8%	24.5%	4.8%	6.8%	253.3K	-5.1M	-32.6K	1.82	53.67	22	40	2,431	1,392
2010-05-06	$72.16	$75.00	33.3%	9.6%	18.8%	38.8%	31.9%	4.8%	-2.1%	235.9K	-3.3M	-32.6K	0.70	78.01	94	66	2,428	1,425
2010-05-07	$70.56	$70.00	34.6%	10.5%	20.0%	42.0%	37.4%	7.4%	-3.5%	206.4K	-2.5M	-33.7K	0.87	57.24	100	87	2,483	1,445
2010-05-10	$73.46	$70.00	32.8%	9.3%	25.1%	37.6%	32.3%	5.9%	-3.1%	262.9K	-4.3M	-31.8K	2.63	40.24	16	42	2,466	1,434
2010-05-11	$72.78	$70.00	27.8%	8.8%	25.2%	25.3%	35.3%	7.2%	-1.7%	268.2K	-3.9M	-32.0K	0.98	31.94	54	53	2,481	1,437
2010-05-12	$74.31	$70.00	23.4%	8.8%	26.3%	14.8%	0.0%	5.8%	-1.6%	308.3K	-5.3M	-31.6K	2.50	31.74	12	30	2,529	1,462
2010-05-13	$74.73	$70.00	30.6%	8.8%	26.4%	32.1%	28.6%	5.9%	-1.7%	310.0K	-5.6M	-32.1K	1.05	30.08	58	61	2,520	1,459
2010-05-14	$73.44	$70.00	30.7%	8.8%	26.7%	32.5%	29.8%	6.1%	-0.8%	303.5K	-4.5M	-31.5K	1.40	31.82	50	70	2,538	1,499
2010-05-17	$73.72	$70.00	34.0%	9.7%	26.7%	40.4%	33.8%	6.6%	-3.9%	299.9K	-4.5M	-31.3K	1.00	39.51	21	21	2,568	1,569
2010-05-18	$72.17	$70.00	37.9%	10.9%	27.0%	49.9%	38.3%	8.4%	-4.5%	265.9K	-3.4M	-31.3K	6.90	37.76	10	69	2,585	1,580
2010-05-19	$71.51	$70.00	37.8%	10.8%	27.1%	49.6%	36.5%	8.9%	-4.4%	192.5K	-2.6M	-31.4K	0.06	35.47	83	5	2,585	1,645
2010-05-20	$68.09	$70.00	42.3%	12.1%	31.5%	60.5%	37.4%	12.7%	-6.5%	151.9K	-368.1K	-30.8K	0.59	49.43	88	52	2,658	1,641
2010-05-21	$69.08	$70.00	38.7%	11.1%	32.0%	51.9%	44.5%	9.5%	-3.5%	137.4K	-4.1K	-30.3K	1.04	43.28	68	71	2,655	1,642
2010-05-24	$68.58	$70.00	38.5%	11.0%	31.9%	51.4%	41.2%	9.0%	-3.6%	246.8K	-928.9K	-28.2K	1.80	44.95	59	106	2,334	1,486
2010-05-25	$67.59	$70.00	39.1%	11.2%	32.0%	52.9%	43.4%	8.5%	-2.1%	221.8K	-135.6K	-28.8K	0.67	50.86	18	12	2,380	1,568
2010-05-26	$66.80	$70.00	41.1%	11.8%	31.9%	57.8%	43.9%	6.8%	-4.7%	222.7K	196.2K	-27.2K	1.07	44.89	56	60	2,381	1,578
2010-05-27	$69.26	$70.00	33.1%	9.5%	35.2%	38.4%	37.6%	6.5%	-1.8%	295.7K	-2.5M	-28.0K	2.73	34.85	117	320	2,422	1,438
2010-05-28	$68.05	$70.00	34.6%	9.9%	35.4%	41.8%	33.2%	7.1%	-3.1%	195.6K	-1.3M	-29.2K	0.32	31.15	31	10	2,471	1,722