FDS Options History — October 2010

In October 2010, FDS traded between $80.37 and $89.07. ATM implied volatility averaged 21.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.5% (HV 20d: 21.9%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.28.

Notable Days

2010-10-13: Highest Volume — 633 contracts
2010-10-05: Largest IV drop — 27.9% change
2010-10-04: Highest IV Rank — 40.1%
2010-10-04: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.61	$80.37	$89.07	$81.98	$87.78
Max Pain	$82.62	$80.00	$85.00	$80.00	$85.00
ATM IV	21.3%	16.7%	27.5%	22.6%	20.1%
Expected Move	6.1%	4.8%	7.2%	6.5%	5.8%
HV 20d	21.9%	16.8%	25.9%	25.0%	16.8%
HV 60d	22.8%	21.8%	24.3%	23.5%	21.8%
IV Rank	19.6%	4.1%	40.1%	23.7%	15.3%
IV Percentile	14.9%	0.4%	56.3%	16.3%	7.1%
Term Structure	3.2%	0.1%	5.5%	0.1%	3.7%
VWIV	22.0%	17.9%	28.1%	22.4%	23.5%
Skew 25d	3.8%	0.8%	6.4%	3.7%	6.3%
Skew 10d	9.8%	4.3%	14.4%	11.0%	14.4%
Call IV 25d	19.5%	17.5%	21.5%	20.2%	17.5%
Put IV 25d	23.3%	20.0%	27.5%	23.9%	23.7%
Bid-Ask Spread %	49.33	19.40	78.58	32.79	66.82
Gamma HHI	0.37	0.28	0.46	0.29	0.46
Net GEX	311.1K	-80.6K	663.5K	-783	472.0K
Net DEX	-6.5M	-9.7M	-1.4M	-2.9M	-8.4M
Net VEX	-30.1K	-33.4K	-26.1K	-30.9K	-32.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	0.00	11.45	0.29	3.67
Total Volume	132.81	0	633	124	32
Total OI	3,757.143	3,219	4,247	3,804	3,829

Daily Data (21 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
2010-10-01	$81.98	$80.00	22.6%	6.5%	25.0%	23.7%	22.4%	3.7%	0.1%	-783	-2.9M	-30.9K	0.29	32.79	96	28	1,738	2,066
2010-10-04	$80.37	$80.00	27.5%	7.2%	25.0%	40.1%	25.5%	6.4%	2.1%	-80.6K	-1.4M	-30.2K	1.94	25.77	31	60	1,721	2,080
2010-10-05	$82.33	$80.00	19.8%	7.1%	25.9%	14.5%	25.6%	5.0%	1.4%	25.4K	-3.2M	-28.3K	0.82	29.03	55	45	1,741	2,040
2010-10-06	$81.96	$80.00	25.3%	6.9%	25.7%	32.9%	23.6%	4.0%	3.4%	22.3K	-3.0M	-29.2K	0.70	19.40	27	19	1,760	2,074
2010-10-07	$82.34	$80.00	18.6%	6.8%	25.7%	10.4%	0.0%	3.9%	3.0%	51.5K	-3.5M	-28.7K	6.67	20.22	6	40	1,752	2,078
2010-10-08	$82.67	$80.00	23.4%	5.8%	25.5%	26.4%	20.5%	3.9%	4.5%	-24.9K	-3.7M	-27.5K	11.45	35.26	31	355	1,752	2,072
2010-10-11	$83.45	$80.00	21.8%	6.3%	23.2%	21.0%	21.4%	3.2%	3.2%	-27.9K	-4.0M	-27.8K	0.44	31.32	59	26	1,768	2,412
2010-10-12	$84.16	$80.00	22.1%	6.2%	23.4%	22.3%	21.6%	1.2%	3.1%	455.5K	-5.7M	-26.1K	1.25	46.12	20	25	1,798	1,996
2010-10-13	$86.19	$80.00	26.8%	6.4%	24.6%	37.9%	22.1%	2.4%	1.7%	480.0K	-7.7M	-26.2K	0.00	59.38	633	0	1,808	1,992
2010-10-14	$86.09	$80.00	21.6%	6.2%	24.6%	20.3%	21.2%	3.4%	2.3%	663.5K	-8.9M	-29.6K	1.09	53.50	87	95	2,112	1,982
2010-10-15	$86.73	$85.00	21.1%	6.0%	24.5%	18.7%	19.7%	4.5%	3.3%	525.1K	-9.7M	-29.8K	0.17	56.11	133	23	2,179	2,068
2010-10-18	$87.63	$85.00	21.2%	6.1%	23.9%	19.1%	20.5%	0.8%	1.7%	387.1K	-7.6M	-29.6K	1.88	43.89	24	45	1,801	1,418
2010-10-19	$87.21	$85.00	21.3%	6.1%	24.0%	19.3%	20.7%	2.0%	3.5%	355.6K	-7.3M	-30.4K	0.34	54.96	200	68	1,821	1,458
2010-10-20	$88.16	$85.00	22.0%	6.3%	17.4%	21.8%	22.6%	3.3%	2.8%	445.1K	-8.4M	-31.2K	6.00	64.34	3	18	1,982	1,520
2010-10-21	$87.94	$85.00	19.5%	5.6%	17.0%	13.5%	20.1%	4.0%	5.5%	442.7K	-8.5M	-32.5K	0.51	68.56	43	22	1,982	1,527
2010-10-22	$89.07	$85.00	18.6%	5.3%	17.2%	10.6%	17.9%	1.8%	4.7%	482.2K	-9.3M	-30.8K	2.67	58.53	12	32	2,003	1,544
2010-10-25	$88.15	$85.00	17.4%	5.0%	17.9%	6.3%	19.5%	5.7%	5.3%	466.0K	-8.9M	-31.4K	0.84	66.34	125	105	2,015	1,575
2010-10-26	$87.94	$85.00	19.5%	5.6%	17.5%	13.5%	28.1%	3.2%	3.3%	477.0K	-8.6M	-33.4K	2.57	70.03	23	59	2,133	1,651
2010-10-27	$87.69	$85.00	21.5%	6.2%	17.7%	20.0%	22.3%	6.1%	3.9%	454.6K	-8.2M	-32.6K	3.67	55.04	18	66	2,135	1,688
2010-10-28	$87.88	$85.00	16.7%	4.8%	16.9%	4.1%	0.0%	4.8%	4.8%	461.2K	-8.2M	-32.3K	0.00	78.58	0	0	2,131	1,698
2010-10-29	$87.78	$85.00	20.1%	5.8%	16.8%	15.3%	23.5%	6.3%	3.7%	472.0K	-8.4M	-32.6K	0.00	66.82	0	32	2,131	1,698