FDS Options History — January 2011

In January 2011, FDS traded between $93.51 and $100.80. ATM implied volatility averaged 19.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.0% (HV 20d: 17.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.43.

Notable Days

2011-01-25: Highest Volume — 285 contracts
2011-01-21: Largest IV drop — 15.6% change
2011-01-10: Highest IV Rank — 19.0%
2011-01-20: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.25	$93.51	$100.80	$95.16	$100.80
Max Pain	$94.00	$90.00	$95.00	$90.00	$95.00
ATM IV	19.5%	17.3%	21.7%	19.4%	19.0%
Expected Move	5.6%	5.0%	6.2%	5.6%	5.4%
HV 20d	17.5%	12.3%	20.9%	19.9%	16.3%
HV 60d	18.0%	17.2%	18.6%	17.7%	18.6%
IV Rank	12.2%	5.6%	19.0%	12.0%	10.7%
IV Percentile	11.4%	1.2%	23.8%	9.5%	9.9%
Term Structure	2.5%	0.3%	4.6%	2.5%	3.1%
VWIV	19.2%	14.3%	23.1%	19.4%	18.4%
Skew 25d	3.8%	1.3%	8.2%	2.7%	8.2%
Skew 10d	8.8%	-2.9%	14.9%	4.1%	10.2%
Call IV 25d	17.7%	12.3%	19.9%	19.0%	12.8%
Put IV 25d	21.4%	19.2%	22.7%	21.7%	21.0%
Bid-Ask Spread %	79.34	53.91	98.10	72.53	98.10
Gamma HHI	0.33	0.29	0.36	0.29	0.36
Net GEX	381.3K	240.5K	648.1K	277.1K	648.1K
Net DEX	-6.3M	-10.0M	-4.2M	-5.0M	-10.0M
Net VEX	-23.2K	-26.7K	-18.5K	-26.4K	-19.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.43	0.00	31.00	0.14	0.13
Total Volume	75.6	2	285	96	85
Total OI	2,885.75	2,580	3,134	2,749	2,952

Daily Data (20 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
2011-01-03	$95.16	$90.00	19.4%	5.6%	19.9%	12.0%	19.4%	2.7%	2.5%	277.1K	-5.0M	-26.4K	0.14	72.53	84	12	1,462	1,287
2011-01-04	$93.51	$90.00	19.6%	5.6%	20.9%	12.5%	21.3%	1.8%	0.3%	252.4K	-4.3M	-26.7K	31.00	64.16	2	62	1,529	1,289
2011-01-05	$93.71	$90.00	18.8%	5.4%	20.9%	10.1%	19.7%	2.3%	1.5%	240.5K	-4.2M	-26.2K	0.00	92.08	4	0	1,529	1,319
2011-01-06	$94.13	$90.00	19.1%	5.5%	20.9%	11.3%	19.1%	2.1%	1.5%	257.9K	-4.5M	-25.9K	0.00	58.16	2	0	1,526	1,319
2011-01-07	$94.39	$95.00	20.3%	5.8%	20.9%	14.8%	0.0%	3.2%	3.0%	272.2K	-4.7M	-25.4K	0.50	72.74	22	11	1,528	1,319
2011-01-10	$94.62	$95.00	21.7%	5.9%	20.6%	19.0%	19.2%	1.7%	3.5%	259.9K	-4.8M	-23.8K	0.00	64.14	26	0	1,528	1,319
2011-01-11	$94.85	$95.00	19.1%	5.7%	20.3%	11.2%	23.1%	3.7%	2.5%	330.5K	-5.3M	-23.8K	8.80	71.57	5	44	1,544	1,319
2011-01-12	$94.44	$95.00	17.8%	5.5%	15.4%	7.2%	18.5%	3.8%	3.1%	319.0K	-4.9M	-23.4K	0.12	72.15	123	15	1,549	1,363
2011-01-13	$94.50	$95.00	19.8%	5.7%	14.0%	13.4%	0.0%	3.6%	2.5%	317.5K	-4.8M	-23.3K	1.25	53.91	8	10	1,550	1,373
2011-01-14	$95.05	$95.00	21.3%	6.1%	12.3%	17.7%	18.9%	2.1%	2.2%	343.6K	-5.3M	-22.9K	0.00	84.27	92	0	1,551	1,372
2011-01-18	$98.03	$95.00	18.0%	5.2%	16.2%	7.9%	20.6%	4.8%	2.7%	455.4K	-8.3M	-18.5K	0.47	83.74	86	40	1,612	1,372
2011-01-19	$97.04	$95.00	20.7%	5.9%	16.8%	16.1%	18.1%	7.5%	1.5%	534.4K	-8.1M	-22.6K	0.01	83.11	98	1	1,677	1,408
2011-01-20	$96.38	$95.00	21.5%	6.2%	15.9%	18.4%	19.3%	4.5%	1.7%	452.8K	-7.5M	-22.8K	0.00	89.89	63	0	1,704	1,409
2011-01-21	$96.10	$95.00	18.1%	5.2%	15.9%	8.1%	14.3%	3.1%	3.3%	467.2K	-7.3M	-22.2K	0.63	86.08	32	20	1,725	1,409
2011-01-24	$96.98	$95.00	19.6%	5.6%	16.2%	12.7%	19.0%	1.3%	3.4%	292.2K	-5.6M	-20.2K	0.76	87.10	34	26	1,388	1,192
2011-01-25	$97.43	$95.00	19.8%	5.7%	16.2%	13.2%	19.5%	4.0%	4.1%	337.5K	-5.9M	-20.9K	0.40	84.21	203	82	1,422	1,208
2011-01-26	$98.49	$95.00	18.7%	5.4%	16.4%	9.9%	20.2%	5.8%	2.3%	477.3K	-7.7M	-23.0K	0.30	86.02	37	11	1,606	1,242
2011-01-27	$99.78	$95.00	17.3%	5.0%	16.9%	5.6%	17.8%	6.9%	4.6%	560.5K	-9.0M	-22.4K	0.37	93.27	71	26	1,637	1,242
2011-01-28	$99.66	$95.00	19.6%	5.6%	16.5%	12.6%	19.7%	1.9%	1.1%	530.8K	-8.9M	-23.1K	3.69	89.54	16	59	1,676	1,259
2011-01-31	$100.80	$95.00	19.0%	5.4%	16.3%	10.7%	18.4%	8.2%	3.1%	648.1K	-10.0M	-19.6K	0.13	98.10	75	10	1,679	1,273