FDS Options History — April 2011

In April 2011, FDS traded between $101.64 and $109.41. ATM implied volatility averaged 18.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.3% (HV 20d: 16.6%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.56.

Notable Days

2011-04-29: Highest Volume — 796 contracts
2011-04-14: Largest IV spike — 34.7% change
2011-04-18: Highest IV Rank — 24.7%
2011-04-18: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.04	$101.64	$109.41	$104.91	$109.41
Max Pain	$100.00	$95.00	$105.00	$95.00	$105.00
ATM IV	18.9%	14.4%	22.7%	20.1%	18.7%
Expected Move	5.6%	4.8%	6.5%	5.7%	5.4%
HV 20d	16.6%	12.1%	21.6%	21.6%	16.5%
HV 60d	20.4%	19.7%	20.9%	20.4%	20.9%
IV Rank	12.1%	0.0%	24.7%	14.0%	12.8%
IV Percentile	14.0%	0.0%	46.0%	18.7%	10.7%
Term Structure	2.5%	0.3%	5.5%	1.6%	3.1%
VWIV	20.6%	17.3%	25.4%	20.5%	18.1%
Skew 25d	4.3%	2.2%	6.4%	4.1%	2.3%
Skew 10d	9.8%	0.0%	14.6%	9.2%	0.0%
Call IV 25d	18.0%	15.9%	20.1%	18.3%	17.5%
Put IV 25d	22.3%	19.1%	24.9%	22.4%	19.8%
Bid-Ask Spread %	73.80	51.39	99.40	93.96	99.40
Gamma HHI	0.36	0.29	0.45	0.32	0.36
Net GEX	356.6K	193.5K	662.1K	329.4K	662.1K
Net DEX	-6.3M	-10.4M	-2.7M	-6.9M	-10.4M
Net VEX	-35.3K	-37.5K	-32.1K	-37.5K	-36.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.00	8.80	0.48	1.15
Total Volume	121.85	3	796	37	796
Total OI	2,769.8	2,217	3,031	2,871	2,985

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
2011-04-01	$104.91	$95.00	20.1%	5.7%	21.6%	14.0%	20.5%	4.1%	1.6%	329.4K	-6.9M	-37.5K	0.48	93.96	25	12	1,702	1,169
2011-04-04	$105.79	$100.00	20.5%	6.0%	21.4%	15.3%	0.0%	5.4%	0.9%	379.3K	-7.5M	-36.3K	0.00	51.39	3	0	1,705	1,171
2011-04-05	$105.62	$100.00	19.5%	5.9%	21.0%	12.2%	0.0%	6.4%	5.5%	391.0K	-7.7M	-36.0K	0.00	70.06	0	40	1,708	1,171
2011-04-06	$105.03	$100.00	20.0%	5.9%	21.1%	13.8%	20.4%	4.4%	2.9%	304.6K	-6.9M	-36.3K	0.00	67.41	6	0	1,708	1,204
2011-04-07	$104.90	$100.00	20.1%	5.9%	19.8%	14.2%	20.6%	5.2%	0.3%	307.8K	-6.6M	-36.0K	0.00	59.63	0	14	1,711	1,204
2011-04-08	$104.46	$100.00	19.5%	5.9%	19.8%	12.3%	0.0%	4.6%	3.1%	290.1K	-6.5M	-35.0K	0.81	75.57	27	22	1,711	1,207
2011-04-11	$103.76	$100.00	18.2%	5.9%	20.0%	8.4%	23.3%	5.3%	3.2%	222.5K	-5.7M	-34.2K	3.88	69.18	8	31	1,696	1,200
2011-04-12	$102.84	$100.00	15.5%	5.9%	14.1%	0.0%	23.4%	4.8%	2.6%	193.5K	-4.9M	-33.6K	1.24	73.80	25	31	1,700	1,207
2011-04-13	$103.83	$100.00	14.4%	5.9%	12.3%	0.0%	17.9%	4.5%	2.0%	244.2K	-5.5M	-33.0K	1.23	74.30	26	32	1,676	1,184
2011-04-14	$103.30	$100.00	19.4%	5.6%	12.7%	14.8%	19.8%	4.5%	3.2%	210.4K	-4.8M	-33.0K	0.69	53.19	104	72	1,686	1,205
2011-04-15	$104.00	$100.00	18.3%	5.2%	12.1%	11.5%	0.0%	4.8%	3.5%	301.2K	-6.0M	-33.9K	0.00	72.46	3	0	1,784	1,247
2011-04-18	$101.64	$100.00	22.7%	6.5%	13.5%	24.7%	25.4%	5.7%	0.8%	219.6K	-2.7M	-32.1K	2.09	72.88	64	134	1,300	917
2011-04-19	$102.50	$100.00	20.8%	6.0%	13.5%	19.0%	19.7%	4.2%	1.9%	233.4K	-2.8M	-34.8K	0.73	78.59	123	90	1,360	1,019
2011-04-20	$104.57	$100.00	18.1%	5.2%	15.0%	10.9%	20.4%	4.2%	2.8%	382.3K	-5.0M	-37.3K	3.81	80.95	16	61	1,463	1,067
2011-04-21	$105.50	$100.00	17.9%	5.1%	14.9%	10.3%	0.0%	4.2%	3.1%	400.1K	-5.9M	-37.1K	0.80	76.58	10	8	1,460	1,096
2011-04-25	$105.18	$100.00	19.2%	5.5%	15.0%	14.3%	22.6%	4.3%	1.7%	404.9K	-5.9M	-35.5K	8.80	85.87	10	88	1,460	1,088
2011-04-26	$106.52	$100.00	20.6%	5.9%	15.4%	18.5%	18.8%	2.4%	1.4%	394.3K	-6.5M	-35.1K	0.00	78.64	263	0	1,460	1,122
2011-04-27	$108.63	$100.00	17.3%	5.0%	16.2%	8.7%	0.0%	2.2%	2.5%	631.0K	-9.3M	-36.1K	1.82	89.15	11	20	1,700	1,122
2011-04-28	$108.33	$100.00	16.8%	4.8%	16.3%	7.1%	17.3%	3.2%	4.1%	629.5K	-9.1M	-36.0K	0.47	52.95	178	84	1,699	1,122
2011-04-29	$109.41	$105.00	18.7%	5.4%	16.5%	12.8%	18.1%	2.3%	3.1%	662.1K	-10.4M	-36.6K	1.15	99.40	371	425	1,793	1,192