FDS Options History — May 2011

In May 2011, FDS traded between $105.88 and $111.76. ATM implied volatility averaged 23.0%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.5% (HV 20d: 19.5%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.89.

Notable Days

  • 2011-05-10: Highest Volume — 937 contracts
  • 2011-05-17: Largest IV spike — 33.5% change
  • 2011-05-13: Highest IV Rank — 37.8%
  • 2011-05-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.17$105.88$111.76$108.37$110.86
Max Pain$100.95$100.00$105.00$105.00$100.00
ATM IV23.0%19.9%27.1%19.9%26.7%
Expected Move6.8%5.7%7.8%5.7%7.7%
HV 20d19.5%17.0%22.2%17.0%20.8%
HV 60d21.0%19.0%22.5%21.0%19.6%
IV Rank25.6%16.3%37.8%16.4%36.6%
IV Percentile50.4%22.2%78.6%22.2%78.6%
Term Structure-0.4%-5.2%4.7%2.6%-5.2%
VWIV24.5%20.8%29.9%23.5%25.5%
Skew 25d4.0%0.5%10.1%9.3%0.5%
Skew 10d10.1%3.2%16.6%16.5%7.4%
Call IV 25d22.1%14.4%25.4%14.4%25.0%
Put IV 25d26.1%22.0%28.9%23.7%25.5%
Bid-Ask Spread %73.4345.0493.6393.6391.07
Gamma HHI0.290.220.360.280.36
Net GEX797.7K301.2K1.2M695.7K854.0K
Net DEX-8.8M-16.9M-3.2M-8.8M-10.0M
Net VEX-64.7K-72.2K-55.9K-55.9K-71.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0016.900.330.84
Total Volume175.61926937182236
Total OI4,458.5243,7295,2293,7294,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$108.37$105.0019.9%5.7%17.0%16.4%23.5%9.3%2.6%695.7K-8.8M-55.9K0.3393.63137452,1221,607
2011-05-03$107.01$105.0020.6%5.9%17.5%18.5%21.3%3.1%4.7%702.5K-7.2M-58.9K0.6262.4791562,2351,643
2011-05-04$106.54$105.0019.9%5.7%17.6%16.3%20.8%1.3%4.1%678.3K-6.3M-59.8K0.0490.464722,3151,685
2011-05-05$105.88$105.0022.0%6.3%17.7%22.7%0.0%4.5%2.4%641.0K-6.0M-60.1K4.2784.3511472,3371,684
2011-05-06$106.43$100.0021.7%6.6%17.7%21.7%22.6%5.6%2.2%698.1K-6.9M-60.3K0.8082.8565522,3481,721
2011-05-09$109.11$100.0021.6%7.1%19.6%21.4%22.8%3.7%1.5%873.2K-9.6M-59.5K0.1577.53137212,3771,767
2011-05-10$111.44$100.0020.7%7.6%20.4%18.7%23.5%3.5%-0.6%829.8K-13.7M-60.6K0.0477.53897402,4621,767
2011-05-11$111.76$100.0021.1%7.0%19.8%19.9%23.3%3.3%-1.4%1.2M-16.9M-68.6K0.8456.9299833,0831,797
2011-05-12$111.29$100.0024.8%7.1%19.9%30.8%24.7%3.8%-2.6%1.1M-16.9M-69.4K0.0267.544513,1341,850
2011-05-13$109.50$100.0027.1%7.8%20.9%37.8%0.0%1.4%-1.7%1.1M-14.2M-68.1K16.9064.62101693,1131,850
2011-05-16$107.52$100.0019.9%5.7%22.2%16.4%28.7%5.5%-0.1%1.0M-9.6M-70.5K3.8082.28301143,1132,010
2011-05-17$106.73$100.0026.6%7.6%20.5%36.1%26.5%2.7%-2.1%881.4K-6.2M-67.4K0.0368.213413,1092,092
2011-05-18$108.07$100.0024.4%7.0%20.7%29.8%0.0%2.8%-0.6%1.1M-9.3M-67.9K0.0082.452603,1372,092
2011-05-19$108.00$100.0021.6%6.2%19.7%21.4%24.7%3.2%-1.5%1.0M-9.1M-64.5K1.5492.2526403,0482,003
2011-05-20$108.15$100.0023.9%6.9%19.5%28.3%23.6%4.2%-1.6%863.8K-8.4M-63.5K0.0146.2518613,0262,033
2011-05-23$106.15$100.0025.4%7.3%20.7%32.7%24.4%3.9%-1.1%301.2K-3.2M-59.1K0.0045.0416602,1471,596
2011-05-24$106.05$100.0025.5%7.3%20.2%33.0%28.5%4.8%0.4%367.9K-3.4M-60.3K0.0276.01576112,2771,596
2011-05-25$107.06$100.0025.3%7.3%19.2%32.4%0.0%4.1%-4.1%560.7K-5.8M-70.9K0.0461.484622,7631,586
2011-05-26$107.61$100.0022.9%6.6%19.3%25.2%29.9%2.4%-1.0%625.7K-6.2M-72.2K9.4382.447662,7631,587
2011-05-27$108.06$100.0021.6%6.2%19.0%21.5%21.9%10.1%-2.8%699.5K-7.1M-69.9K0.0056.556502,7691,592
2011-05-31$110.86$100.0026.7%7.7%20.8%36.6%25.5%0.5%-5.2%854.0K-10.0M-71.5K0.8491.071281082,8011,592