FDS Options History — February 2011

In February 2011, FDS traded between $101.20 and $107.88. ATM implied volatility averaged 22.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.0% (HV 20d: 14.2%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.94.

Notable Days

2011-02-23: Highest Volume — 1,206 contracts
2011-02-23: Largest IV spike — 38.8% change
2011-02-23: Highest IV Rank — 50.8%
2011-02-23: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.96	$101.20	$107.88	$101.20	$104.88
Max Pain	$90.53	$85.00	$100.00	$95.00	$100.00
ATM IV	22.2%	18.2%	32.0%	18.2%	25.4%
Expected Move	6.4%	5.2%	9.2%	5.2%	7.3%
HV 20d	14.2%	7.5%	21.9%	15.7%	21.9%
HV 60d	18.0%	16.9%	19.8%	18.3%	19.4%
IV Rank	20.7%	8.4%	50.8%	8.4%	30.5%
IV Percentile	34.9%	5.2%	86.9%	5.2%	66.7%
Term Structure	0.5%	-8.9%	3.6%	3.6%	-1.7%
VWIV	21.2%	15.1%	29.4%	18.2%	26.5%
Skew 25d	4.4%	1.8%	6.5%	1.8%	4.9%
Skew 10d	10.5%	2.2%	14.3%	5.1%	9.3%
Call IV 25d	19.7%	14.9%	26.6%	17.9%	24.4%
Put IV 25d	24.1%	19.7%	31.8%	19.7%	29.3%
Bid-Ask Spread %	72.30	48.91	93.27	93.27	81.20
Gamma HHI	0.35	0.27	0.47	0.36	0.34
Net GEX	564.3K	175.4K	802.7K	639.7K	196.3K
Net DEX	-12.3M	-18.4M	-3.9M	-10.7M	-6.9M
Net VEX	-23.2K	-29.8K	-19.7K	-21.5K	-29.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	5.38	0.85	0.20
Total Volume	171.684	18	1,206	200	292
Total OI	3,346.526	2,657	3,749	3,015	3,417

Daily Data (19 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
2011-02-01	$101.20	$95.00	18.2%	5.2%	15.7%	8.4%	18.2%	1.8%	3.6%	639.7K	-10.7M	-21.5K	0.85	93.27	108	92	1,732	1,283
2011-02-02	$101.68	$95.00	20.3%	5.8%	13.7%	14.9%	15.1%	6.5%	2.1%	578.8K	-11.6M	-23.4K	0.00	79.79	93	0	1,819	1,365
2011-02-03	$101.36	$95.00	19.6%	5.6%	13.9%	12.5%	21.0%	4.4%	1.8%	616.9K	-11.2M	-24.0K	0.14	72.73	22	3	1,873	1,365
2011-02-04	$101.91	$85.00	18.9%	6.1%	13.9%	10.4%	18.3%	4.4%	0.9%	636.6K	-11.8M	-23.7K	0.00	56.74	18	0	1,891	1,368
2011-02-07	$102.83	$85.00	20.5%	5.5%	14.1%	15.4%	19.5%	4.6%	2.6%	699.5K	-12.7M	-21.0K	1.20	52.12	10	12	1,900	1,368
2011-02-08	$103.57	$85.00	21.0%	5.6%	14.1%	16.8%	17.8%	4.2%	1.5%	695.5K	-13.2M	-20.8K	0.00	53.21	118	0	1,908	1,380
2011-02-09	$103.55	$85.00	21.3%	5.9%	14.2%	17.9%	19.3%	4.6%	-0.1%	768.6K	-13.5M	-22.2K	0.25	68.97	81	20	1,994	1,380
2011-02-10	$103.63	$85.00	19.9%	5.7%	13.8%	13.7%	20.7%	4.6%	1.6%	767.5K	-13.5M	-23.3K	1.03	48.91	38	39	2,072	1,400
2011-02-11	$104.83	$85.00	20.4%	5.9%	14.0%	15.2%	18.9%	2.1%	1.4%	797.9K	-15.3M	-20.9K	0.00	56.68	59	0	2,108	1,431
2011-02-14	$105.34	$85.00	20.5%	5.9%	14.0%	15.4%	19.4%	3.9%	1.7%	797.1K	-16.1M	-21.1K	0.38	52.47	56	21	2,156	1,431
2011-02-15	$105.39	$85.00	21.1%	6.0%	10.2%	17.2%	20.2%	3.8%	0.9%	802.7K	-16.1M	-21.8K	0.00	58.95	0	30	2,202	1,452
2011-02-16	$106.41	$90.00	20.1%	5.8%	9.0%	14.3%	19.5%	4.6%	2.2%	706.5K	-17.1M	-21.2K	0.49	91.44	41	20	2,202	1,482
2011-02-17	$107.49	$90.00	21.0%	6.0%	8.1%	17.0%	20.3%	5.8%	1.3%	545.0K	-18.0M	-19.7K	0.64	91.80	47	30	2,184	1,492
2011-02-18	$107.88	$90.00	22.5%	6.4%	7.5%	21.4%	19.9%	4.0%	1.6%	507.6K	-18.4M	-21.2K	0.42	72.80	71	30	2,227	1,522
2011-02-22	$105.28	$90.00	23.1%	6.6%	13.0%	23.3%	23.0%	4.7%	-0.9%	362.3K	-10.1M	-21.1K	5.38	86.93	71	382	1,634	1,023
2011-02-23	$101.75	$95.00	32.0%	9.2%	18.8%	50.8%	29.4%	5.2%	-8.9%	243.4K	-6.8M	-24.8K	0.66	83.79	727	479	1,691	1,239
2011-02-24	$101.35	$100.00	27.9%	8.0%	18.6%	38.0%	27.3%	5.6%	1.1%	175.4K	-3.9M	-29.1K	4.70	81.04	20	94	1,732	1,521
2011-02-25	$105.00	$100.00	28.4%	8.2%	21.9%	39.7%	28.6%	4.0%	-4.0%	185.0K	-6.4M	-29.8K	0.60	90.79	86	52	1,742	1,598
2011-02-28	$104.88	$100.00	25.4%	7.3%	21.9%	30.5%	26.5%	4.9%	-1.7%	196.3K	-6.9M	-29.8K	0.20	81.20	244	48	1,789	1,628