FDS Options History — November 2010

In November 2010, FDS traded between $86.52 and $90.80. ATM implied volatility averaged 23.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.3% (HV 20d: 14.0%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2010-11-23: Highest Volume — 243 contracts
  • 2010-11-26: Largest IV spike — 22.0% change
  • 2010-11-12: Highest IV Rank — 44.0%
  • 2010-11-12: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.68$86.52$90.80$88.09$88.67
Max Pain$81.43$80.00$85.00$85.00$85.00
ATM IV23.3%17.8%28.7%20.5%27.9%
Expected Move6.9%5.3%8.2%5.9%8.0%
HV 20d14.0%11.7%17.7%14.4%17.7%
HV 60d20.8%19.4%21.6%21.6%19.4%
IV Rank26.2%7.8%44.0%16.7%41.4%
IV Percentile36.2%2.0%71.4%8.7%71.4%
Term Structure0.7%-4.0%5.9%3.6%-2.4%
VWIV25.3%20.6%35.0%24.1%27.9%
Skew 25d3.7%1.7%8.3%6.3%4.2%
Skew 10d9.6%-4.6%15.9%15.3%11.5%
Call IV 25d22.9%16.3%26.8%18.0%26.8%
Put IV 25d26.7%22.0%30.9%24.3%30.9%
Bid-Ask Spread %73.2539.3894.8480.1241.73
Gamma HHI0.480.360.620.470.46
Net GEX562.1K435.6K986.5K494.0K437.9K
Net DEX-8.5M-10.3M-5.3M-8.7M-5.3M
Net VEX-26.4K-30.8K-21.3K-30.8K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0012.0012.009.75
Total Volume83.28632431343
Total OI3,770.8573,2174,0073,8393,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$88.09$85.0020.5%5.9%14.4%16.7%24.1%6.3%3.6%494.0K-8.7M-30.8K12.0080.121122,1311,708
2010-11-02$88.11$85.0020.5%5.9%12.4%16.8%20.6%3.9%4.5%496.9K-8.7M-30.6K0.0081.074702,1311,720
2010-11-03$87.84$85.0018.4%5.3%12.3%9.8%35.0%8.3%5.9%505.3K-8.6M-30.2K0.1294.844252,1431,720
2010-11-04$89.45$85.0020.0%5.7%13.4%15.2%0.0%1.9%3.5%598.1K-10.3M-28.5K0.3975.3051202,1811,725
2010-11-05$89.30$80.0019.3%6.7%13.6%12.7%23.2%4.9%1.3%596.4K-10.0M-28.0K0.0078.132902,1621,725
2010-11-08$88.40$80.0018.4%6.8%14.3%9.8%31.0%3.2%0.2%592.8K-9.2M-27.0K0.0474.802312,1531,725
2010-11-09$88.28$80.0017.8%6.8%14.2%7.8%22.9%4.2%0.7%590.0K-9.2M-26.5K0.6082.8050302,1431,725
2010-11-10$88.53$80.0020.2%6.7%11.7%15.9%25.6%4.2%2.1%603.1K-9.2M-26.4K6.2590.864252,1841,741
2010-11-11$88.46$80.0024.2%6.9%11.7%29.0%0.0%3.3%1.7%618.7K-9.0M-25.1K0.0083.57302,1841,726
2010-11-12$87.41$80.0028.7%8.2%12.4%44.0%25.8%3.1%-1.8%573.5K-8.3M-26.9K0.4987.3071352,1841,726
2010-11-15$87.96$80.0025.2%7.2%12.0%32.4%25.8%1.7%0.5%567.7K-8.2M-24.7K0.0585.086032,2351,737
2010-11-16$86.52$80.0026.9%7.7%13.3%38.0%25.1%3.9%1.2%478.9K-7.1M-25.7K0.3087.7893282,2591,740
2010-11-17$87.34$80.0026.2%7.5%13.1%35.6%24.4%3.7%1.7%453.0K-7.8M-24.0K0.5978.5917102,2341,721
2010-11-18$88.95$80.0024.7%7.1%14.7%30.8%24.8%2.4%1.1%743.9K-9.7M-24.3K0.0091.829902,2381,731
2010-11-19$89.41$80.0024.2%6.9%14.1%29.2%23.0%2.5%1.5%986.5K-10.3M-24.6K0.0054.3918302,2761,731
2010-11-22$90.12$80.0026.3%7.5%13.8%36.0%24.4%2.3%-2.4%461.8K-8.7M-21.3K0.3763.79163611,8111,406
2010-11-23$88.78$80.0024.6%7.1%14.9%30.5%25.0%2.5%-0.9%435.6K-7.8M-24.5K0.3162.06185581,9431,460
2010-11-24$90.80$80.0021.7%6.2%16.7%20.7%24.1%3.5%-0.4%575.5K-9.7M-25.9K3.4659.6826902,0271,489
2010-11-26$90.29$80.0026.4%7.6%16.9%36.6%22.6%4.2%-2.7%502.7K-6.9M-26.9K1.1445.0842481,7941,575
2010-11-29$89.64$85.0027.8%8.0%17.2%41.0%24.7%4.2%-4.0%491.3K-6.2M-26.0K2.9639.3823681,8361,604
2010-11-30$88.67$85.0027.9%8.0%17.7%41.4%27.9%4.2%-2.4%437.9K-5.3M-26.5K9.7541.734391,8461,658