FDS Options History — August 2011

In August 2011, FDS traded between $78.45 and $91.43. ATM implied volatility averaged 36.2%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 10.2% (HV 20d: 46.4%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 3.34.

Notable Days

  • 2011-08-02: Highest Volume — 417 contracts
  • 2011-08-08: Largest IV spike — 53.9% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.66$78.45$91.43$91.43$87.90
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV36.2%25.9%56.7%27.7%32.6%
Expected Move10.1%7.4%13.6%7.9%9.4%
HV 20d46.4%20.6%59.1%20.6%58.4%
HV 60d32.8%22.5%38.2%22.7%38.2%
IV Rank54.1%27.8%100.0%39.9%43.5%
IV Percentile94.3%69.4%100.0%85.3%93.3%
Term Structure-2.4%-10.6%4.1%1.9%-0.7%
VWIV31.6%17.8%48.0%23.4%17.8%
Skew 25d7.6%-0.6%14.6%5.5%7.5%
Skew 10d15.2%-3.7%31.4%7.8%15.3%
Call IV 25d31.7%24.5%39.1%25.0%27.3%
Put IV 25d39.3%28.2%49.2%30.4%34.8%
Bid-Ask Spread %86.4261.5598.6897.1292.82
Gamma HHI0.160.130.230.210.17
Net GEX-110.4K-206.4K-73.7K-133.3K-77.8K
Net DEX11.6M8.3M13.1M11.3M8.3M
Net VEX-25.7K-38.2K-18.2K-38.2K-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.340.0451.130.400.60
Total Volume126.65223417132230
Total OI5,1664,1285,7025,2904,873

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$91.43$100.0027.7%7.9%20.6%39.9%23.4%5.5%1.9%-133.3K11.3M-38.2K0.4097.1294383,0902,200
2011-08-02$89.06$100.0030.6%8.8%21.8%48.4%28.1%6.4%-2.8%-155.9K12.5M-32.0K51.1366.1984093,1712,179
2011-08-03$89.75$100.0027.6%7.9%22.2%39.5%26.9%-0.6%-0.1%-206.4K11.9M-29.2K2.5385.5430763,1792,033
2011-08-04$86.44$100.0036.8%10.6%24.6%66.7%0.0%3.9%-2.6%-176.5K12.2M-24.7K0.3079.1340123,2071,994
2011-08-05$85.47$100.0036.8%9.6%24.5%66.8%33.0%6.1%-3.0%-127.3K11.9M-25.7K0.8985.971481313,2311,972
2011-08-08$78.45$100.0056.7%12.9%36.7%100.0%45.0%8.4%-8.3%-89.0K12.4M-21.0K0.3888.11108413,3112,046
2011-08-09$83.86$100.0038.6%10.7%46.1%57.5%28.2%10.9%-4.4%-132.1K12.5M-25.2K0.7098.6893653,3912,065
2011-08-10$80.17$100.0055.2%13.6%47.9%96.5%38.0%10.1%-10.6%-106.6K12.6M-22.7K0.0479.1412853,4392,090
2011-08-11$83.65$100.0036.9%10.6%50.6%53.5%23.9%6.1%-3.3%-110.3K12.3M-25.6K0.0089.290263,5402,090
2011-08-12$84.55$100.0034.3%9.8%51.0%47.4%29.1%10.1%-2.5%-118.2K12.5M-24.0K0.0888.868873,5402,070
2011-08-15$86.57$100.0037.1%10.6%52.0%54.0%36.7%5.0%-6.3%-105.1K12.1M-24.8K1.4084.3235493,5542,075
2011-08-16$85.65$100.0033.8%9.7%50.9%46.2%30.0%6.6%-2.5%-99.5K12.1M-24.9K0.7781.2613103,5862,112
2011-08-17$86.08$100.0031.7%9.1%50.9%41.2%30.2%6.2%-1.4%-97.4K12.3M-24.4K1.5061.5516243,5802,122
2011-08-18$81.17$100.0039.9%11.5%53.8%60.7%36.1%9.3%-6.2%-109.1K13.1M-18.4K0.7793.5822173,5792,098
2011-08-19$79.15$100.0044.0%12.6%54.1%70.3%48.0%10.4%-7.9%-107.5K12.9M-18.7K2.4385.117173,5962,099
2011-08-22$80.16$100.0039.6%11.3%54.7%59.7%38.5%7.0%1.5%-85.1K11.0M-18.2K0.3680.71130472,3261,802
2011-08-23$83.29$100.0029.0%8.3%57.2%34.9%24.8%10.2%-0.5%-73.7K10.9M-19.4K1.0398.5979812,4481,835
2011-08-24$83.06$100.0033.0%9.5%56.5%44.4%31.6%7.2%1.3%-78.4K11.0M-24.4K0.9681.1857552,5051,997
2011-08-25$81.95$100.0040.6%11.6%56.4%62.3%39.8%9.2%-2.0%-86.5K11.2M-24.4K0.8983.3564572,5192,044
2011-08-26$84.50$100.0033.4%9.6%57.9%45.3%25.0%14.6%-0.4%-84.2K11.1M-26.4K3.1797.50411302,5812,072
2011-08-29$87.04$100.0030.7%8.8%59.1%38.9%28.2%3.9%2.6%-93.2K10.2M-31.2K2.6793.1818482,5912,202
2011-08-30$87.80$100.0025.9%7.4%58.5%27.8%32.3%9.5%4.1%-86.8K9.0M-32.9K0.4996.4980392,6182,166
2011-08-31$87.90$100.0032.6%9.4%58.4%43.5%17.8%7.5%-0.7%-77.8K8.3M-34.6K0.6092.82144862,6862,187