FDS Options History — December 2010

In December 2010, FDS traded between $90.69 and $96.28. ATM implied volatility averaged 24.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.7% (HV 20d: 21.2%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2010-12-13: Highest Volume — 1,600 contracts
  • 2010-12-14: Largest IV drop — 48.5% change
  • 2010-12-13: Highest IV Rank — 100.0%
  • 2010-12-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.93$90.69$96.28$90.69$93.76
Max Pain$89.32$85.00$90.00$85.00$90.00
ATM IV24.8%18.2%48.1%28.3%18.9%
Expected Move6.3%5.2%8.1%8.1%5.4%
HV 20d21.2%18.2%24.1%19.3%19.5%
HV 60d19.0%17.5%20.6%19.7%17.5%
IV Rank30.0%8.3%100.0%42.7%10.6%
IV Percentile40.7%4.0%100.0%73.0%7.9%
Term Structure1.2%-3.3%4.3%-3.0%2.1%
VWIV22.9%19.6%27.5%27.0%20.3%
Skew 25d3.9%0.7%7.9%5.2%2.4%
Skew 10d8.1%-0.5%20.3%15.2%4.8%
Call IV 25d20.4%17.4%25.2%25.2%19.0%
Put IV 25d24.3%19.2%30.3%30.3%21.4%
Bid-Ask Spread %47.4921.7771.5332.7344.35
Gamma HHI0.440.260.740.470.27
Net GEX524.9K165.2K953.9K513.0K222.3K
Net DEX-8.4M-16.4M-3.5M-7.0M-3.9M
Net VEX-27.2K-30.5K-23.6K-26.7K-28.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.006.470.730.00
Total Volume293.27321,6002132
Total OI3,744.1822,0375,6913,5072,749

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$90.69$85.0028.3%8.1%19.3%42.7%27.0%5.2%-3.0%513.0K-7.0M-26.7K0.7332.73123901,8501,657
2010-12-02$92.52$85.0027.1%7.8%20.3%38.8%26.4%6.9%-2.1%563.0K-9.1M-27.1K0.0921.77633561,9431,696
2010-12-03$93.31$85.0027.7%7.9%19.6%40.6%27.5%7.9%-3.3%782.6K-11.3M-30.5K3.7530.624152,3501,742
2010-12-06$93.84$90.0029.5%6.7%19.6%46.7%24.0%2.6%1.4%825.0K-11.9M-28.5K0.6134.791671022,3501,757
2010-12-07$93.84$90.0027.9%6.7%19.1%41.5%0.0%4.3%1.7%866.3K-12.4M-29.3K1.6236.9121342,4521,831
2010-12-08$94.20$90.0028.5%6.6%19.0%43.3%0.0%3.4%2.1%894.4K-12.8M-28.8K0.3333.5530102,4501,865
2010-12-09$94.49$90.0028.3%6.4%19.0%42.9%23.6%3.9%2.6%953.9K-13.6M-27.6K0.5646.772241262,4771,872
2010-12-10$95.45$90.0039.3%6.7%19.1%79.5%24.4%2.5%2.0%871.4K-14.5M-28.9K0.3344.586812232,6251,984
2010-12-13$96.28$90.0048.1%7.4%18.2%100.0%24.7%3.8%-0.1%919.0K-16.4M-27.1K0.4743.161,0915092,8022,102
2010-12-14$92.81$90.0024.8%5.8%23.4%28.5%22.3%7.3%2.9%851.9K-9.4M-27.5K0.5848.445913403,3052,386
2010-12-15$91.30$90.0025.1%7.2%23.4%29.6%24.5%7.2%0.0%597.7K-6.9M-27.3K2.8757.37471353,0732,355
2010-12-16$93.15$90.0020.5%5.9%24.1%15.3%20.6%4.0%4.3%676.7K-10.0M-23.8K1.0554.2038403,0502,301
2010-12-17$93.00$90.0020.1%5.8%23.5%14.1%21.9%3.3%3.5%165.2K-9.4M-23.6K1.1452.6944503,0462,297
2010-12-20$92.82$90.0019.4%5.6%23.5%12.0%20.0%3.5%0.4%179.4K-3.5M-23.7K0.0053.633301,103934
2010-12-21$94.54$90.0018.8%5.4%24.1%10.1%19.6%0.7%2.0%212.8K-4.4M-23.6K6.4761.29191231,131934
2010-12-22$95.01$90.0018.2%5.2%23.3%8.3%0.0%2.5%1.6%220.4K-4.7M-23.9K1.0052.553013001,1481,012
2010-12-23$95.00$90.0018.2%5.2%22.1%8.5%19.7%2.6%1.8%226.1K-4.7M-29.1K3.0037.9224721,4481,312
2010-12-27$95.41$90.0019.2%5.5%22.0%11.3%20.1%4.1%2.4%246.8K-4.8M-29.0K1.0266.0353541,4601,299
2010-12-28$95.07$90.0020.0%5.7%21.8%13.9%0.0%1.8%1.4%258.4K-4.7M-28.1K0.0071.532001,4561,288
2010-12-29$95.32$90.0018.9%5.4%21.2%10.4%22.9%3.6%1.6%266.2K-5.0M-28.1K0.0655.841711,4471,288
2010-12-30$94.56$90.0019.4%5.6%20.3%12.1%20.3%2.4%1.7%235.8K-4.4M-28.2K0.2964.08721,4561,289
2010-12-31$93.76$90.0018.9%5.4%19.5%10.6%0.0%2.4%2.1%222.3K-3.9M-28.0K0.0044.35201,4621,287