FDS Options History — June 2011

In June 2011, FDS traded between $97.35 and $108.51. ATM implied volatility averaged 25.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.6% (HV 20d: 23.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.96.

Notable Days

  • 2011-06-14: Highest Volume — 1,589 contracts
  • 2011-06-09: Largest IV drop — 24.1% change
  • 2011-06-08: Highest IV Rank — 51.3%
  • 2011-06-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.31$97.35$108.51$107.71$102.32
Max Pain$102.50$100.00$105.00$105.00$100.00
ATM IV25.5%21.7%31.7%23.4%23.1%
Expected Move7.1%6.2%8.2%6.7%6.6%
HV 20d23.9%20.3%26.6%22.9%23.9%
HV 60d20.4%18.7%21.5%20.4%21.5%
IV Rank32.9%21.6%51.3%26.7%25.8%
IV Percentile69.1%43.3%97.6%55.6%53.6%
Term Structure-0.3%-3.9%7.8%-2.2%-1.4%
VWIV23.7%14.1%29.8%24.3%14.1%
Skew 25d4.2%-0.1%9.9%4.1%6.0%
Skew 10d11.0%4.4%16.9%16.4%12.0%
Call IV 25d23.0%16.8%25.3%24.6%16.8%
Put IV 25d27.2%22.8%33.3%28.7%22.8%
Bid-Ask Spread %66.8342.2796.0496.0444.64
Gamma HHI0.260.180.410.390.28
Net GEX180.7K-483.6K747.3K747.3K349.3K
Net DEX1.4M-8.2M9.5M-8.2M1.1M
Net VEX-62.9K-71.6K-55.8K-71.6K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.960.0023.000.520.15
Total Volume226.531,58938202
Total OI4,668.4093,8715,9084,5104,162

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$107.71$105.0023.4%6.7%22.9%26.7%24.3%4.1%-2.2%747.3K-8.2M-71.6K0.5296.0425132,8401,670
2011-06-02$108.51$105.0023.7%6.8%22.9%27.7%24.3%1.8%-3.9%705.2K-6.9M-69.0K0.2588.953692,8621,670
2011-06-03$107.23$100.0027.8%8.2%23.3%39.8%0.0%9.9%-3.1%602.5K-5.7M-70.1K0.0095.48302,8841,673
2011-06-06$106.29$100.0031.4%7.2%23.4%50.5%26.2%5.1%0.0%556.1K-4.9M-67.0K14.7165.82213092,8871,673
2011-06-07$106.33$105.0031.1%7.1%21.5%49.6%21.8%4.7%-1.2%411.2K-3.7M-67.5K20.4346.7971432,9071,925
2011-06-08$104.78$105.0031.7%7.2%20.3%51.3%25.0%3.6%-0.7%169.1K-856.5K-64.8K3.7156.87381412,9132,030
2011-06-09$105.81$105.0024.1%6.9%20.7%28.7%24.0%4.3%-0.4%216.8K-2.2M-65.2K2.1970.6031682,9202,033
2011-06-10$104.02$105.0024.4%7.0%21.3%29.8%26.0%3.4%-0.5%79.1K-191.7K-63.4K10.6442.27394152,9302,055
2011-06-13$104.29$105.0025.3%7.2%20.8%32.3%26.6%3.5%-1.0%-83.9K1.6M-68.9K3.5649.23792812,9022,391
2011-06-14$99.90$105.0024.3%7.0%24.8%29.3%24.0%3.2%0.5%-362.2K8.2M-59.7K5.7964.712341,3552,9522,516
2011-06-15$98.65$100.0025.3%7.2%25.0%32.3%22.8%5.3%-0.4%-483.6K8.3M-59.0K0.1665.17335543,0972,610
2011-06-16$97.35$100.0028.1%8.0%24.4%40.5%25.8%3.8%-1.5%-173.3K9.5M-55.8K13.4077.415673,3562,552
2011-06-17$97.97$100.0026.2%7.5%24.7%35.0%25.5%3.8%-1.6%-213.4K8.0M-57.1K5.0679.6916813,3612,465
2011-06-20$98.38$100.0026.1%7.5%24.8%34.7%29.8%4.0%0.1%117.2K4.4M-56.7K0.0364.466022,2281,643
2011-06-21$100.90$100.0024.7%7.1%26.4%30.5%20.1%4.0%0.1%224.3K2.7M-61.1K1.5056.3328422,2831,645
2011-06-22$99.81$105.0023.6%6.8%26.6%27.2%22.6%5.2%-0.3%231.7K2.5M-59.8K2.0781.311032132,2901,654
2011-06-23$99.76$105.0023.6%6.8%26.2%27.3%0.0%-0.1%1.7%109.5K4.5M-58.6K23.0069.251232,3121,793
2011-06-24$98.44$105.0024.4%7.0%26.2%29.8%0.0%4.3%0.1%122.0K4.1M-60.1K0.0156.388112,3131,811
2011-06-27$99.32$100.0023.2%6.7%26.4%26.2%22.5%3.4%1.3%138.3K4.1M-59.6K0.0656.42308202,3831,801
2011-06-28$100.95$100.0023.7%6.8%25.2%27.5%22.7%4.5%0.4%213.8K2.7M-62.1K1.7073.9410172,3461,811
2011-06-29$102.02$100.0021.7%6.2%24.1%21.6%21.2%4.9%7.8%298.8K1.6M-64.3K0.2268.5855122,3551,801
2011-06-30$102.32$100.0023.1%6.6%23.9%25.8%14.1%6.0%-1.4%349.3K1.1M-63.2K0.1544.64175272,3641,798