FDS Options History — September 2011

In September 2011, FDS traded between $82.24 and $93.45. ATM implied volatility averaged 34.0%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 4.6% (HV 20d: 38.5%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 6.60.

Notable Days

  • 2011-09-19: Highest Volume — 1,136 contracts
  • 2011-09-09: Largest IV spike — 41.9% change
  • 2011-09-09: Highest IV Rank — 76.1%
  • 2011-09-09: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.79$82.24$93.45$86.66$88.97
Max Pain$87.38$85.00$95.00$95.00$85.00
ATM IV34.0%29.8%46.5%29.8%38.0%
Expected Move9.9%8.5%11.5%8.5%10.9%
HV 20d38.5%30.4%58.0%57.1%33.6%
HV 60d39.3%38.2%40.7%38.2%40.7%
IV Rank46.6%36.7%76.1%36.7%56.0%
IV Percentile91.2%81.7%98.8%86.9%95.6%
Term Structure0.6%-5.3%5.7%5.7%3.3%
VWIV33.8%21.9%42.4%31.6%42.4%
Skew 25d7.0%-4.9%11.1%-4.9%8.4%
Skew 10d18.3%-8.9%34.1%-8.9%17.0%
Call IV 25d31.2%21.8%37.1%31.6%35.3%
Put IV 25d38.2%26.7%46.0%26.7%43.7%
Bid-Ask Spread %71.5349.3496.1795.6470.97
Gamma HHI0.180.130.230.150.19
Net GEX57.9K-82.3K245.9K-48.8K106.9K
Net DEX4.9M-2.6M10.8M8.3M2.0M
Net VEX-40.8K-51.4K-30.4K-33.8K-47.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.600.00114.000.99114.00
Total Volume246.286151,136143115
Total OI5,033.9053,9055,9395,0454,660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$86.66$95.0029.8%8.5%57.1%36.7%31.6%-4.9%5.7%-48.8K8.3M-33.8K0.9995.6472712,8092,236
2011-09-02$83.99$95.0032.5%9.3%58.0%43.2%21.9%8.3%2.0%-54.6K9.7M-32.1K1.1891.4544522,8622,307
2011-09-06$82.46$90.0038.6%11.3%49.2%57.4%0.0%11.1%-5.3%-82.3K10.8M-30.5K0.0561.604222,8722,338
2011-09-07$85.41$90.0030.5%9.6%44.9%38.5%34.9%6.9%-1.1%-37.0K9.4M-31.5K0.3849.34151582,9122,297
2011-09-08$84.81$90.0032.8%9.7%41.6%43.9%32.2%8.6%-0.6%-33.1K9.2M-33.0K0.1350.932332,9852,337
2011-09-09$82.24$90.0046.5%11.5%40.5%76.1%35.8%8.9%-4.8%-64.2K10.2M-30.4K0.4260.411252,9772,317
2011-09-12$83.54$90.0033.0%10.7%40.7%44.4%33.6%4.9%-0.2%-57.8K10.0M-30.5K0.1555.49260402,9802,316
2011-09-13$84.73$90.0032.5%10.0%40.1%43.2%36.0%8.6%-1.1%-12.9K9.1M-31.8K0.5956.023792223,0982,336
2011-09-14$86.37$85.0030.1%10.0%40.5%37.6%33.2%7.5%-0.6%51.7K7.5M-38.5K0.3461.6474253,4112,528
2011-09-15$87.64$85.0032.5%9.3%40.8%43.2%0.0%7.1%1.3%51.8K6.7M-40.4K0.0077.722103,4062,511
2011-09-16$87.25$85.0034.4%9.9%34.3%47.7%38.3%9.8%-0.9%9.7K6.8M-38.3K4.5959.371084963,3952,511
2011-09-19$88.81$85.0035.1%10.1%32.9%49.2%35.1%7.7%-0.3%-56.9K4.5M-42.8K0.2773.648942421,6492,256
2011-09-20$90.88$85.0030.8%8.8%33.4%39.3%34.2%6.1%4.6%165.7K-142.9K-50.1K0.2378.365201192,2682,376
2011-09-21$91.33$85.0029.8%8.6%31.2%36.9%26.3%10.3%5.5%212.8K-516.7K-50.0K0.0888.32226172,3102,404
2011-09-22$89.00$85.0034.3%9.8%32.9%47.4%34.6%2.5%1.1%120.6K2.0M-50.1K0.5083.202591292,3312,404
2011-09-23$90.62$85.0037.9%10.9%32.7%55.8%38.0%3.7%-2.1%136.6K785.2K-51.4K4.0071.123122,3472,347
2011-09-26$92.06$85.0035.7%10.2%31.5%50.6%31.9%8.5%-1.4%192.8K-738.5K-49.1K3.4270.8624822,3492,345
2011-09-27$93.45$85.0029.9%8.6%30.4%37.0%35.7%7.3%2.6%245.9K-2.6M-49.0K1.0978.571081182,3452,345
2011-09-28$91.43$85.0035.5%10.2%31.6%50.3%35.7%8.1%1.8%169.7K-269.8K-48.2K3.0871.2825772,2502,350
2011-09-29$91.99$85.0032.8%9.4%31.6%44.0%30.6%8.8%3.5%200.3K-822.9K-47.8K3.2096.1710322,2542,381
2011-09-30$88.97$85.0038.0%10.9%33.6%56.0%42.4%8.4%3.3%106.9K2.0M-47.0K114.0070.9711142,2642,396