FDS Options History — July 2011

In July 2011, FDS traded between $92.03 and $103.14. ATM implied volatility averaged 22.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.9% (HV 20d: 21.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.31.

Notable Days

2011-07-15: Highest Volume — 1,025 contracts
2011-07-08: Largest IV spike — 36.1% change
2011-07-29: Highest IV Rank — 40.7%
2011-07-29: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.22	$92.03	$103.14	$103.14	$92.09
Max Pain	$102.25	$100.00	$105.00	$100.00	$100.00
ATM IV	22.9%	14.1%	28.0%	14.1%	28.0%
Expected Move	6.7%	4.0%	8.0%	4.0%	8.0%
HV 20d	21.9%	18.4%	23.9%	23.9%	21.2%
HV 60d	22.1%	21.5%	22.7%	21.5%	22.7%
IV Rank	25.7%	0.0%	40.7%	0.0%	40.7%
IV Percentile	52.8%	0.0%	88.9%	0.0%	88.9%
Term Structure	0.8%	-2.7%	5.3%	1.8%	-0.9%
VWIV	22.8%	15.2%	26.7%	18.2%	26.3%
Skew 25d	3.6%	2.1%	7.9%	7.9%	2.9%
Skew 10d	7.7%	-1.4%	14.0%	-1.4%	3.1%
Call IV 25d	22.2%	19.1%	25.5%	19.1%	25.5%
Put IV 25d	25.8%	23.3%	28.6%	27.0%	28.4%
Bid-Ask Spread %	71.92	41.21	92.10	89.22	89.21
Gamma HHI	0.27	0.16	0.79	0.28	0.22
Net GEX	-52.9K	-2.4M	401.9K	359.9K	-94.0K
Net DEX	7.3M	1.3M	13.6M	1.3M	11.2M
Net VEX	-52.2K	-65.5K	-40.1K	-60.7K	-40.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.01	20.28	0.46	0.04
Total Volume	213.25	5	1,025	51	28
Total OI	4,820.2	4,115	5,306	4,115	5,276

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
2011-07-01	$103.14	$100.00	14.1%	4.0%	23.9%	0.0%	18.2%	7.9%	1.8%	359.9K	1.3M	-60.7K	0.46	89.22	35	16	2,316	1,799
2011-07-05	$102.70	$105.00	18.3%	6.0%	23.8%	12.2%	21.1%	3.8%	0.2%	401.9K	1.4M	-59.3K	6.53	83.18	58	379	2,317	1,809
2011-07-06	$102.99	$105.00	17.2%	5.9%	23.9%	9.0%	22.8%	3.5%	0.8%	243.0K	2.8M	-64.0K	0.50	85.19	12	6	2,329	2,140
2011-07-07	$102.91	$105.00	16.1%	5.9%	23.3%	5.8%	20.8%	3.8%	1.0%	340.4K	2.2M	-65.5K	0.54	49.61	56	30	2,332	2,141
2011-07-08	$101.45	$105.00	21.9%	6.3%	23.4%	22.8%	24.5%	3.4%	0.5%	54.5K	5.1M	-62.1K	1.50	50.55	2	3	2,338	2,170
2011-07-11	$99.52	$105.00	23.9%	6.6%	23.6%	28.7%	25.9%	4.5%	2.0%	-128.9K	7.0M	-54.6K	1.12	41.21	78	87	2,339	2,169
2011-07-12	$98.46	$105.00	25.3%	6.8%	23.8%	32.8%	15.2%	3.0%	-0.2%	-201.1K	8.4M	-52.1K	0.35	58.23	48	17	2,376	2,222
2011-07-13	$98.14	$105.00	19.1%	6.5%	18.4%	14.6%	20.5%	4.0%	0.6%	-212.4K	8.6M	-51.3K	0.68	53.48	151	102	2,398	2,236
2011-07-14	$95.15	$105.00	22.7%	6.5%	21.0%	25.3%	19.9%	3.1%	5.3%	-218.3K	9.9M	-50.3K	20.28	77.20	39	791	2,490	2,290
2011-07-15	$94.99	$105.00	26.7%	7.7%	20.5%	37.0%	23.2%	4.7%	-2.7%	-2.4M	13.6M	-46.4K	0.01	75.74	1,012	13	2,479	2,655
2011-07-18	$93.94	$100.00	26.5%	7.6%	20.6%	36.3%	21.9%	6.1%	-0.9%	-15.5K	9.0M	-44.7K	0.04	48.74	397	15	2,713	1,983
2011-07-19	$96.30	$100.00	24.1%	6.9%	22.6%	29.3%	24.0%	2.1%	0.6%	130.7K	7.1M	-51.6K	0.74	67.79	140	103	2,787	1,994
2011-07-20	$95.02	$100.00	24.4%	7.0%	20.8%	30.3%	23.4%	2.6%	0.5%	70.0K	7.9M	-48.9K	0.34	92.10	91	31	2,837	2,045
2011-07-21	$96.32	$100.00	25.1%	7.2%	21.3%	32.3%	23.3%	3.4%	1.8%	235.5K	6.2M	-56.3K	0.53	89.89	30	16	3,106	2,075
2011-07-22	$96.10	$100.00	23.4%	6.7%	21.3%	27.2%	22.8%	3.3%	0.6%	231.5K	6.6M	-53.5K	5.50	86.06	10	55	3,126	2,061
2011-07-25	$95.61	$100.00	23.1%	6.6%	20.9%	26.5%	26.7%	2.4%	1.1%	172.1K	7.6M	-49.7K	0.00	72.20	0	90	3,126	2,076
2011-07-26	$94.76	$100.00	24.1%	6.9%	20.7%	29.2%	24.3%	2.3%	1.3%	113.0K	8.4M	-48.9K	4.00	89.25	3	12	3,126	2,146
2011-07-27	$92.03	$100.00	27.7%	7.9%	21.6%	40.0%	25.6%	3.2%	3.1%	-50.6K	10.6M	-41.1K	0.61	66.16	33	20	3,129	2,147
2011-07-28	$92.79	$100.00	25.6%	7.3%	21.4%	33.6%	25.2%	3.3%	-1.2%	-39.1K	10.3M	-42.2K	0.22	73.40	210	46	3,144	2,162
2011-07-29	$92.09	$100.00	28.0%	8.0%	21.2%	40.7%	26.3%	2.9%	-0.9%	-94.0K	11.2M	-40.1K	0.04	89.21	27	1	3,076	2,200