FDS Options History — July 2010

In July 2010, FDS traded between $66.14 and $75.98. ATM implied volatility averaged 23.8%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.7% (HV 20d: 28.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2010-07-30: Highest Volume — 333 contracts
  • 2010-07-12: Largest IV spike — 19.8% change
  • 2010-07-06: Highest IV Rank — 38.0%
  • 2010-07-06: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.18$66.14$75.98$66.81$75.00
Max Pain$69.05$65.00$70.00$70.00$70.00
ATM IV23.8%20.3%28.0%27.5%20.4%
Expected Move7.1%5.9%9.0%7.9%5.9%
HV 20d28.5%23.1%30.8%30.4%23.1%
HV 60d29.4%27.9%30.6%27.9%29.9%
IV Rank22.9%10.4%38.0%36.1%11.0%
IV Percentile18.6%2.0%44.4%39.7%2.8%
Term Structure1.8%-0.6%3.5%3.5%3.2%
VWIV24.3%19.3%29.4%27.8%20.4%
Skew 25d4.5%0.0%9.2%0.0%9.1%
Skew 10d11.0%-0.3%17.8%0.8%16.4%
Call IV 25d22.0%14.3%26.5%26.5%14.3%
Put IV 25d26.5%23.4%32.5%26.5%23.4%
Bid-Ask Spread %38.7619.3065.0165.0140.71
Gamma HHI0.260.190.470.240.26
Net GEX53.6K-178.5K160.1K-15.6K133.8K
Net DEX-1.5M-3.7M1.1M583.8K-3.0M
Net VEX-18.4K-19.4K-17.0K-18.8K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.4310.366.680.94
Total Volume110.190333261333
Total OI2,5862,2922,8402,4082,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$66.81$70.0027.5%7.9%30.4%36.1%27.8%0.0%3.5%-15.6K583.8K-18.8K6.6865.01342271,3301,078
2010-07-02$66.14$70.0027.7%7.9%30.3%37.0%0.0%0.5%2.2%-96.7K1.1M-19.4K0.5553.5122121,3411,269
2010-07-06$66.33$70.0028.0%9.0%27.7%38.0%29.4%6.0%-0.6%-92.4K938.3K-18.6K1.4443.16731051,3531,278
2010-07-07$68.40$65.0023.7%7.9%29.6%22.6%0.0%2.7%-0.3%-178.5K-77.1K-18.6K0.9627.2673701,3731,383
2010-07-08$68.70$65.0020.3%7.3%29.6%10.4%0.0%4.0%1.4%-90.9K-158.1K-18.4K0.0019.30001,3311,406
2010-07-09$69.08$65.0020.3%7.1%28.8%10.6%24.9%3.9%1.5%-21.1K-537.0K-17.6K0.0021.1102141,3311,406
2010-07-12$69.06$65.0024.3%7.5%28.4%24.9%26.1%3.0%0.7%21.2K-522.9K-17.0K0.8321.4924201,3311,276
2010-07-13$71.52$70.0027.9%7.2%30.8%37.5%24.9%5.1%3.0%124.1K-2.2M-17.6K1.0549.141441511,3501,294
2010-07-14$71.66$70.0022.5%7.5%28.7%18.4%25.1%5.8%1.0%101.1K-2.2M-19.0K0.4942.1995471,4121,390
2010-07-15$71.09$70.0025.2%7.2%28.8%28.1%25.2%3.5%1.6%97.5K-2.0M-19.1K0.0056.380441,4191,400
2010-07-16$69.79$70.0026.2%7.5%29.6%31.6%0.0%5.2%0.5%71.9K-803.6K-18.8K0.0042.170501,4191,421
2010-07-19$70.41$70.0025.3%7.3%29.8%28.4%26.4%4.9%1.2%77.7K-1.0M-18.1K0.4829.4531151,2741,018
2010-07-20$71.37$70.0022.3%6.4%30.1%17.7%22.6%3.9%3.4%100.0K-1.5M-17.7K0.4357.3323101,2971,021
2010-07-21$71.12$70.0024.5%7.0%28.4%25.5%24.5%4.3%2.9%98.4K-1.5M-18.0K10.3647.00111141,2931,031
2010-07-22$72.87$70.0021.4%6.1%29.6%14.4%27.0%7.1%2.2%112.5K-2.1M-18.6K0.9121.9779721,2821,109
2010-07-23$74.63$70.0023.7%6.8%29.5%22.8%23.4%9.2%1.8%132.5K-3.0M-18.4K4.0057.9818721,3211,178
2010-07-26$75.98$70.0022.6%6.5%28.6%18.8%22.7%4.0%1.0%160.1K-3.7M-17.8K1.6335.7116261,3151,210
2010-07-27$75.43$70.0022.7%6.5%28.9%19.2%22.7%5.5%1.9%146.3K-3.5M-19.0K0.0031.610481,3261,236
2010-07-28$74.93$70.0021.5%6.2%24.1%14.9%19.3%3.9%2.6%125.2K-3.0M-19.0K1.3322.1712161,3251,277
2010-07-29$74.46$70.0021.1%6.1%23.3%13.6%21.1%3.5%2.5%118.9K-2.7M-18.6K1.6029.22581,3291,273
2010-07-30$75.00$70.0020.4%5.9%23.1%11.0%20.4%9.1%3.2%133.8K-3.0M-18.3K0.9440.711721611,3321,268