FDS Options History — June 2010

In June 2010, FDS traded between $65.77 and $71.87. ATM implied volatility averaged 31.2%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.0% (HV 20d: 31.3%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2010-06-14: Highest Volume — 1,548 contracts
  • 2010-06-10: Largest IV drop — 24.9% change
  • 2010-06-09: Highest IV Rank — 78.1%
  • 2010-06-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.04$65.77$71.87$67.41$66.99
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV31.2%22.6%45.5%42.3%32.4%
Expected Move8.5%6.5%12.1%12.1%9.3%
HV 20d31.3%27.0%35.1%34.2%30.9%
HV 60d25.9%25.2%27.9%25.2%27.9%
IV Rank40.8%18.6%78.1%60.6%53.4%
IV Percentile52.7%8.7%98.8%95.6%75.4%
Term Structure0.5%-4.9%7.1%-4.9%3.0%
VWIV30.0%13.3%41.2%39.7%26.6%
Skew 25d6.9%-1.6%16.0%7.8%12.6%
Skew 10d12.9%0.2%29.3%12.6%19.0%
Call IV 25d25.7%16.4%37.1%37.1%21.0%
Put IV 25d32.6%21.0%44.9%44.9%33.6%
Bid-Ask Spread %45.9626.4083.2438.9444.17
Gamma HHI0.340.160.700.310.18
Net GEX207.1K8.4K597.9K180.3K8.4K
Net DEX-2.3M-8.2M309.5K-747.0K309.5K
Net VEX-22.5K-28.4K-17.5K-27.9K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0016.360.840.60
Total Volume245.955371,54892263
Total OI3,781.3182,0165,4534,2042,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$67.41$70.0042.3%12.1%34.2%60.6%39.7%7.8%-4.9%180.3K-747.0K-27.9K0.8438.9450422,4721,732
2010-06-02$68.40$70.0036.0%10.3%34.2%45.3%36.3%13.6%-3.7%209.7K-1.4M-28.2K0.3344.1460202,4821,752
2010-06-03$69.34$70.0036.3%10.4%34.7%46.0%41.0%16.0%-4.6%254.6K-2.2M-27.9K3.9036.8321822,5221,762
2010-06-04$68.46$70.0039.4%9.7%33.9%53.4%33.7%7.0%-1.5%216.8K-1.6M-28.4K0.0226.4040872,5321,793
2010-06-07$66.13$70.0044.3%10.3%35.1%65.5%41.2%6.5%-1.9%190.2K242.6K-25.8K0.2933.93197582,7181,796
2010-06-08$65.77$70.0045.5%10.4%31.1%68.3%32.1%6.1%-3.4%208.6K56.4K-25.8K0.4432.9152232,8691,816
2010-06-09$66.05$70.0044.8%10.2%31.3%78.1%0.0%6.5%-3.0%216.7K-149.0K-25.0K0.0036.156902,8621,816
2010-06-10$67.47$70.0033.6%9.6%31.3%46.3%32.0%5.0%-2.5%281.1K-1.7M-24.9K0.2737.1337102,8421,800
2010-06-11$68.42$70.0031.6%9.1%31.8%50.6%30.1%4.5%-1.7%329.3K-2.7M-24.4K1.0141.0473742,8541,790
2010-06-14$69.08$70.0031.5%9.0%31.8%50.4%32.7%5.6%-1.1%405.1K-4.3M-23.2K1.0444.737577912,8881,843
2010-06-15$71.27$70.0026.4%7.6%34.0%32.1%26.0%5.2%1.7%339.1K-7.0M-23.1K0.2554.054361102,9982,455
2010-06-16$71.58$70.0026.6%7.6%33.3%33.1%0.0%8.1%1.4%289.1K-6.5M-23.3K4.2854.50291242,9262,393
2010-06-17$71.54$70.0025.1%7.2%33.1%27.5%22.5%-1.6%2.8%289.8K-7.2M-21.6K16.3671.20365892,9122,437
2010-06-18$71.35$70.0023.8%6.8%27.6%23.1%25.0%4.3%3.1%597.9K-8.2M-19.3K1.7234.8743742,8852,043
2010-06-21$71.87$70.0023.8%6.8%27.3%22.9%24.2%3.7%7.1%95.5K-1.8M-18.3K1.2037.001561871,148920
2010-06-22$69.97$70.0023.8%6.8%29.0%23.1%0.0%4.3%2.0%76.6K-1.0M-17.5K0.1250.1589111,140876
2010-06-23$69.74$70.0023.0%6.6%28.5%20.2%0.0%10.2%3.3%80.2K-932.4K-18.4K2.7065.2410271,219887
2010-06-24$68.50$70.0024.5%7.0%29.0%25.7%13.3%8.6%2.3%60.1K-509.2K-18.4K14.0049.117981,229914
2010-06-25$70.46$70.0022.6%6.5%27.8%18.6%0.0%4.5%4.1%87.4K-1.1M-18.5K2.4546.5133811,222941
2010-06-28$70.91$70.0023.4%6.7%27.0%21.8%23.4%4.0%3.3%97.4K-1.4M-19.4K0.0048.910821,253981
2010-06-29$68.07$70.0026.4%7.6%30.8%32.4%30.4%9.1%5.2%42.5K-231.1K-18.4K3.3283.2422731,233974
2010-06-30$66.99$70.0032.4%9.3%30.9%53.4%26.6%12.6%3.0%8.4K309.5K-17.6K0.6044.17164991,2261,036