FDS Options History — March 2011

In March 2011, FDS traded between $96.62 and $105.11. ATM implied volatility averaged 26.1%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.2% (HV 20d: 25.9%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.97.

Notable Days

  • 2011-03-15: Highest Volume — 808 contracts
  • 2011-03-18: Largest IV drop — 21.7% change
  • 2011-03-17: Highest IV Rank — 48.9%
  • 2011-03-17: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.91$96.62$105.11$102.38$104.73
Max Pain$99.35$95.00$105.00$100.00$95.00
ATM IV26.1%20.2%31.5%31.4%20.6%
Expected Move7.3%5.8%9.0%9.0%5.9%
HV 20d25.9%21.9%30.4%23.5%21.9%
HV 60d20.4%18.9%21.0%19.8%20.4%
IV Rank32.6%14.6%48.9%48.8%15.8%
IV Percentile63.6%20.2%89.3%86.1%26.2%
Term Structure-0.7%-4.1%2.4%-2.0%-0.2%
VWIV26.2%16.3%33.0%32.3%20.6%
Skew 25d5.8%3.9%8.7%7.7%5.2%
Skew 10d13.0%4.8%18.2%4.8%9.8%
Call IV 25d22.6%16.3%27.7%26.0%18.4%
Put IV 25d28.5%23.1%33.7%33.7%23.6%
Bid-Ask Spread %64.1536.8698.1788.2156.17
Gamma HHI0.270.170.420.270.30
Net GEX118.5K-237.9K305.8K171.1K305.8K
Net DEX-3.6M-7.5M3.8M-5.7M-6.2M
Net VEX-33.5K-37.6K-29.4K-30.6K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0019.003.250.17
Total Volume215.217268083470
Total OI3,470.2172,2084,7953,4752,811

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$102.38$100.0031.4%9.0%23.5%48.8%32.3%7.7%-2.0%171.1K-5.7M-30.6K3.2588.218261,8161,659
2011-03-02$103.19$100.0027.8%8.0%23.6%37.7%28.4%5.1%-2.1%175.3K-5.5M-30.3K0.5457.6650271,8161,657
2011-03-03$105.11$100.0027.0%7.8%24.4%35.4%28.0%4.5%-2.6%191.2K-7.3M-30.0K0.4336.8669301,8521,673
2011-03-04$104.04$105.0028.4%7.4%24.7%39.7%0.0%5.7%-1.9%180.0K-6.6M-31.2K0.0061.802701,9101,703
2011-03-07$102.93$105.0030.6%7.2%25.0%46.3%27.6%5.9%-0.9%171.6K-5.3M-29.4K0.2839.746021671,9351,703
2011-03-08$104.25$105.0028.7%7.3%25.2%40.6%25.9%5.0%-0.5%191.4K-7.5M-35.1K0.9638.9254522,1281,768
2011-03-09$104.00$105.0030.4%7.6%25.1%45.9%26.6%3.9%-1.9%198.0K-7.3M-35.6K8.7739.97131142,1601,805
2011-03-10$102.03$105.0028.8%8.3%26.1%40.8%26.8%5.6%-2.2%123.1K-4.7M-36.4K3.8539.26712732,1721,918
2011-03-11$102.43$105.0028.5%8.2%26.1%39.9%33.0%5.9%-2.4%-15.7K-4.2M-37.6K0.8369.851401162,2142,180
2011-03-14$102.16$105.0030.0%8.6%25.7%44.4%29.5%6.2%-2.4%-56.8K-4.0M-35.7K1.1763.232292672,1582,268
2011-03-15$98.26$105.0026.9%7.7%28.8%35.0%29.6%7.6%-0.1%-224.1K2.4M-32.3K0.3270.376111972,2542,392
2011-03-16$96.62$100.0030.7%8.8%29.2%46.7%29.9%5.0%-0.1%32.9K3.8M-32.0K1.0542.651881972,3592,334
2011-03-17$97.13$95.0031.5%9.0%28.9%48.9%25.0%7.4%-4.1%29.6K3.7M-31.2K1.1171.911231362,3262,359
2011-03-18$98.51$95.0024.6%7.1%29.2%28.0%26.2%5.5%0.5%-237.9K2.7M-32.3K1.1672.5874862,3632,432
2011-03-21$100.50$95.0022.8%6.5%30.4%22.3%27.0%4.9%1.7%111.0K-2.4M-31.9K0.5072.95103511,230978
2011-03-22$99.96$95.0022.5%6.4%29.4%21.4%26.4%5.4%-0.2%133.3K-2.4M-33.6K0.2287.5373161,321996
2011-03-23$100.65$95.0022.7%6.5%27.1%22.0%26.2%5.2%2.4%153.4K-2.9M-34.2K0.0281.0312831,3901,012
2011-03-24$101.67$95.0021.9%6.3%27.3%19.7%20.1%4.3%1.0%167.0K-3.3M-33.7K0.0065.612601,3901,015
2011-03-25$102.11$95.0022.8%6.5%24.0%22.3%20.8%6.9%0.7%184.6K-3.9M-34.0K0.5977.7146271,3871,015
2011-03-28$102.63$95.0020.2%5.8%24.1%14.6%0.0%8.7%2.0%214.8K-4.3M-33.5K1.1382.151431611,4191,035
2011-03-29$103.97$95.0021.8%6.2%23.0%19.2%24.1%7.4%-1.3%241.5K-5.0M-36.6K19.0098.173571,5551,196
2011-03-30$104.63$95.0020.4%5.9%22.9%15.2%16.3%5.2%-0.2%283.7K-5.9M-36.4K0.0761.139061,5561,195
2011-03-31$104.73$95.0020.6%5.9%21.9%15.8%20.6%5.2%-0.2%305.8K-6.2M-36.6K0.1756.1760101,6421,169