FDS Options History — August 2010

In August 2010, FDS traded between $73.15 and $78.69. ATM implied volatility averaged 23.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.9% (HV 20d: 21.1%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.92.

Notable Days

  • 2010-08-11: Highest Volume — 184 contracts
  • 2010-08-06: Largest IV drop — 28.8% change
  • 2010-08-25: Highest IV Rank — 36.9%
  • 2010-08-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.59$73.15$78.69$76.45$73.55
Max Pain$70.68$70.00$75.00$70.00$75.00
ATM IV23.0%15.5%26.6%21.1%24.1%
Expected Move6.8%5.4%7.6%6.1%6.9%
HV 20d21.1%18.4%22.8%22.7%19.9%
HV 60d26.9%24.1%29.7%29.7%24.1%
IV Rank24.1%0.0%36.9%13.6%28.9%
IV Percentile21.9%0.0%44.4%4.4%27.8%
Term Structure4.3%1.5%6.1%2.5%5.8%
VWIV24.7%20.6%28.2%21.1%26.8%
Skew 25d4.7%1.3%7.9%4.1%7.6%
Skew 10d10.7%-0.5%19.1%9.1%8.2%
Call IV 25d22.1%18.7%24.5%19.0%20.7%
Put IV 25d26.7%21.0%30.3%23.1%28.3%
Bid-Ask Spread %30.6915.9361.5330.6961.53
Gamma HHI0.210.170.270.230.22
Net GEX127.7K53.1K236.8K158.6K67.9K
Net DEX-3.0M-5.4M-427.2K-3.9M-427.2K
Net VEX-22.0K-23.6K-19.9K-22.3K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.0029.670.142.48
Total Volume76.0911118482181
Total OI3,048.0912,7713,3412,8372,771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$76.45$70.0021.1%6.1%22.7%13.6%21.1%4.1%2.5%158.6K-3.9M-22.3K0.0030.690821,4411,396
2010-08-03$76.54$70.0022.7%6.5%22.8%19.3%21.1%3.7%1.5%152.1K-3.9M-22.3K0.1439.9280111,4411,428
2010-08-04$77.80$70.0018.9%5.4%21.3%5.6%0.0%2.3%3.0%192.7K-4.8M-22.2K0.9416.3631291,5091,438
2010-08-05$76.81$70.0021.7%6.2%22.4%15.7%20.6%1.3%3.2%179.0K-4.3M-23.2K0.3322.5130101,5251,467
2010-08-06$77.96$70.0015.5%6.3%22.6%0.0%23.4%3.9%4.7%209.3K-4.9M-23.2K1.7720.8022391,5481,472
2010-08-09$78.69$70.0018.1%6.2%22.5%8.9%0.0%4.1%4.6%236.8K-5.4M-22.3K0.8524.2433281,5701,511
2010-08-10$78.20$70.0017.8%6.3%20.3%7.9%25.3%4.7%4.9%231.4K-5.2M-22.4K5.0021.4612601,5921,539
2010-08-11$76.77$70.0022.9%7.3%21.8%24.8%27.0%4.9%3.6%181.1K-4.2M-23.1K29.6731.5961781,6041,590
2010-08-12$75.86$70.0025.6%7.3%22.2%33.6%28.2%4.2%4.1%128.0K-3.4M-23.6K0.0031.550111,6001,662
2010-08-13$75.09$70.0025.5%7.3%21.3%33.4%23.6%4.8%4.6%102.2K-3.0M-23.1K2.0534.4220411,6001,671
2010-08-16$74.74$70.0025.9%7.4%21.4%34.9%26.0%4.7%4.0%96.7K-2.7M-22.4K1.3328.0724321,6201,692
2010-08-17$75.55$70.0025.5%7.3%21.2%33.5%23.5%5.7%4.5%110.6K-2.9M-22.6K1.1315.9338431,5771,709
2010-08-18$75.12$70.0025.2%7.2%21.3%32.4%0.0%4.3%4.2%110.5K-2.7M-22.1K0.4022.5490361,5931,711
2010-08-19$74.07$70.0025.6%7.3%20.5%33.6%25.4%5.1%4.5%65.4K-1.8M-22.3K0.3927.6536141,5891,737
2010-08-20$75.19$70.0024.1%6.9%19.4%28.9%23.6%6.4%5.3%100.3K-2.8M-22.2K0.6534.0720131,6101,731
2010-08-23$75.73$70.0023.1%6.6%18.4%25.5%23.1%4.9%4.9%108.6K-2.5M-20.8K0.6331.8819121,4191,402
2010-08-24$73.87$70.0025.0%7.2%20.3%31.9%28.1%4.8%4.1%81.2K-1.8M-20.9K8.4732.76191611,4361,414
2010-08-25$73.15$70.0026.6%7.6%20.5%36.9%27.9%7.9%4.1%53.1K-1.1M-21.4K0.7458.3943321,4511,475
2010-08-26$73.88$70.0023.7%6.8%20.7%27.3%25.8%5.3%5.8%81.1K-1.7M-21.4K0.7531.6328211,4771,479
2010-08-27$74.48$75.0023.8%6.8%20.8%27.8%24.4%3.0%5.6%87.7K-960.6K-20.7K0.7126.4134241,3211,459
2010-08-30$73.52$75.0023.3%6.7%19.9%26.1%0.0%5.2%6.1%76.2K-566.0K-20.7K0.0030.883101,3081,473
2010-08-31$73.55$75.0024.1%6.9%19.9%28.9%26.8%7.6%5.8%67.9K-427.2K-19.9K2.4861.53521291,2981,473