FDS Options History — September 2010

In September 2010, FDS traded between $76.36 and $84.09. ATM implied volatility averaged 24.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.3% (HV 20d: 25.2%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2010-09-14: Highest Volume — 746 contracts
  • 2010-09-09: Largest IV spike — 25.4% change
  • 2010-09-15: Highest IV Rank — 49.9%
  • 2010-09-15: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.82$76.36$84.09$76.36$81.13
Max Pain$77.38$70.00$80.00$75.00$80.00
ATM IV24.9%17.0%30.4%23.9%23.3%
Expected Move7.5%6.4%8.7%6.9%6.7%
HV 20d25.2%23.4%27.8%23.5%25.0%
HV 60d24.7%23.4%25.8%25.1%23.4%
IV Rank31.5%5.1%49.9%28.2%26.1%
IV Percentile35.7%0.4%65.5%26.6%23.8%
Term Structure0.0%-3.2%5.9%5.1%1.8%
VWIV25.6%19.0%30.5%24.0%21.3%
Skew 25d5.2%3.2%11.1%11.1%3.6%
Skew 10d10.7%5.7%15.0%15.0%9.7%
Call IV 25d24.0%14.0%27.8%14.0%21.6%
Put IV 25d29.1%22.8%33.4%25.1%25.3%
Bid-Ask Spread %31.0317.7647.8436.8438.35
Gamma HHI0.330.190.640.250.28
Net GEX139.6K-81.9K547.7K131.1K-33.8K
Net DEX-3.5M-7.1M-1.1M-1.9M-2.5M
Net VEX-26.4K-33.8K-19.7K-20.2K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.006.126.120.33
Total Volume215.0481174629968
Total OI3,540.9052,8954,2572,8953,760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$76.36$75.0023.9%6.9%23.5%28.2%24.0%11.1%5.1%131.1K-1.9M-20.2K6.1236.84422571,3331,562
2010-09-02$77.11$75.0022.4%6.4%23.4%23.2%19.0%3.2%5.9%107.0K-2.1M-21.7K0.4528.5447211,3331,798
2010-09-03$78.98$70.0017.0%7.4%24.4%5.1%0.0%5.4%0.4%145.6K-3.1M-20.7K1.2621.5931391,3191,819
2010-09-07$78.17$70.0018.0%8.0%24.4%8.5%30.5%6.5%0.6%119.2K-2.9M-21.6K0.6820.41102691,3501,854
2010-09-08$79.20$75.0022.4%8.1%24.8%23.1%25.7%6.0%-0.4%182.3K-3.3M-21.6K0.0017.761101,4061,857
2010-09-09$79.73$75.0028.1%8.1%23.8%42.1%28.0%5.7%-0.2%186.2K-3.7M-21.3K0.2718.4741111,4061,857
2010-09-10$80.57$75.0027.0%7.7%23.4%38.4%26.7%4.9%0.3%192.7K-4.4M-20.2K0.4422.6232141,4311,868
2010-09-13$83.08$75.0026.2%7.5%24.8%35.7%26.7%4.5%-0.4%348.1K-6.1M-19.7K0.1127.61408431,4431,882
2010-09-14$83.03$75.0027.9%8.0%24.6%41.3%30.3%4.5%-1.4%547.7K-7.1M-22.1K1.7529.142714751,7561,889
2010-09-15$82.37$80.0030.4%8.7%24.9%49.9%25.6%6.2%-1.9%205.5K-5.4M-27.2K0.0833.19127101,9182,339
2010-09-16$82.53$80.0028.2%8.1%24.7%42.4%0.0%5.0%-1.2%260.7K-6.2M-27.4K0.0033.093502,0342,214
2010-09-17$82.05$80.0030.4%8.7%24.0%49.7%28.4%4.8%-2.3%333.4K-5.1M-28.1K0.1441.23154211,9482,214
2010-09-20$83.61$80.0028.7%8.2%24.3%44.1%30.1%4.6%-3.2%155.3K-4.3M-28.4K1.7731.242344151,4241,642
2010-09-21$84.09$80.0023.6%6.8%24.3%27.0%25.0%4.3%-0.4%158.1K-4.5M-29.3K0.4732.373101471,5071,869
2010-09-22$80.56$80.0023.7%6.8%27.8%27.3%23.7%5.6%0.6%-2.8K-2.0M-32.2K0.9247.842702491,6961,933
2010-09-23$79.93$80.0025.5%7.3%27.7%33.4%26.8%4.6%-0.4%-26.0K-1.1M-33.8K3.0031.35391171,7581,993
2010-09-24$80.53$80.0024.5%7.0%27.6%30.1%21.7%5.4%-0.1%-23.1K-1.5M-32.7K0.2632.75122321,7711,998
2010-09-27$80.46$80.0023.8%6.8%27.7%27.7%23.9%3.7%0.0%-81.9K-1.3M-31.6K1.9737.71591161,6582,028
2010-09-28$81.81$80.0024.8%7.1%27.3%31.0%24.5%4.8%-1.8%-2.3K-2.6M-31.5K0.0034.430311,7042,037
2010-09-29$82.00$80.0023.9%6.8%27.2%28.0%24.4%4.0%-0.1%29.5K-3.0M-31.6K0.4435.0932141,7042,047
2010-09-30$81.13$80.0023.3%6.7%25.0%26.1%21.3%3.6%1.8%-33.8K-2.5M-30.9K0.3338.3551171,7012,059