FDS Options History — October 2011

In October 2011, FDS traded between $86.70 and $101.27. ATM implied volatility averaged 31.5%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.9% (HV 20d: 34.5%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-10-07: Highest Volume — 249 contracts
  • 2011-10-26: Largest IV drop — 20.7% change
  • 2011-10-03: Highest IV Rank — 73.3%
  • 2011-10-03: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.84$86.70$101.27$86.70$99.42
Max Pain$90.48$85.00$100.00$85.00$100.00
ATM IV31.5%25.3%45.3%45.3%27.3%
Expected Move9.2%7.2%13.0%13.0%7.8%
HV 20d34.5%32.4%36.4%33.0%32.4%
HV 60d42.4%40.9%43.2%40.9%42.4%
IV Rank40.9%26.1%73.3%73.3%30.9%
IV Percentile79.3%53.6%98.4%98.4%63.5%
Term Structure0.7%-2.4%3.9%-2.4%1.0%
VWIV31.6%22.8%40.2%40.2%28.3%
Skew 25d8.8%5.1%13.3%11.1%5.1%
Skew 10d19.4%7.7%28.3%27.0%17.1%
Call IV 25d27.5%21.3%36.3%36.3%26.1%
Put IV 25d36.3%28.6%47.4%47.4%31.2%
Bid-Ask Spread %74.8050.7795.4474.6189.54
Gamma HHI0.290.180.510.180.24
Net GEX267.2K-18.5K597.1K79.4K35.7K
Net DEX-1.7M-7.8M3.7M3.7M279.2K
Net VEX-36.6K-44.5K-31.0K-43.2K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.005.071.322.00
Total Volume113.9521824958234
Total OI4,202.192,7764,8964,6342,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$86.70$85.0045.3%13.0%33.0%73.3%40.2%11.1%-2.4%79.4K3.7M-43.2K1.3274.6125332,2642,370
2011-10-04$89.95$85.0037.5%10.8%34.3%55.0%36.8%7.2%-1.8%150.5K2.0M-43.4K0.8077.991082,2762,392
2011-10-05$90.33$85.0036.8%10.5%32.4%53.3%36.6%7.4%1.3%182.8K1.2M-44.5K1.5881.2243682,2782,392
2011-10-06$92.77$85.0030.3%8.7%33.2%38.1%32.8%13.3%3.0%271.4K-1.3M-43.0K1.3389.6672962,3082,412
2011-10-07$90.47$90.0034.4%10.0%32.4%47.7%34.3%8.7%3.9%243.7K667.0K-41.3K5.0750.77412082,2912,383
2011-10-10$94.12$90.0029.4%10.0%34.5%35.8%29.8%11.0%0.8%336.1K-2.9M-39.9K0.6360.43102642,2972,360
2011-10-11$93.40$90.0029.5%9.1%34.7%36.1%31.9%8.6%1.2%353.4K-2.4M-38.0K0.2559.13198502,2612,336
2011-10-12$94.32$90.0028.1%9.0%34.4%32.8%28.9%10.1%0.8%406.1K-3.7M-38.5K0.2172.67101212,3722,363
2011-10-13$95.74$90.0033.0%9.5%34.4%44.4%0.0%6.0%-0.2%428.5K-5.5M-38.4K0.0063.8513602,4312,361
2011-10-14$95.86$90.0032.8%9.4%34.3%43.9%28.2%8.5%1.6%442.7K-5.7M-36.5K2.2070.4410222,4332,361
2011-10-17$93.70$90.0029.3%8.4%35.2%35.6%0.0%10.3%1.3%510.5K-3.3M-34.2K0.0066.065002,4432,349
2011-10-18$95.44$90.0034.1%9.8%34.9%46.8%32.1%10.8%-0.3%582.0K-5.6M-33.5K1.9869.8350992,4722,349
2011-10-19$93.34$90.0029.3%8.4%36.0%35.6%37.4%9.1%0.8%597.1K-3.4M-31.9K0.8565.2960512,4592,320
2011-10-20$93.53$90.0032.6%9.3%34.5%43.4%36.0%7.6%-0.9%561.4K-2.8M-31.0K0.0073.879402,4882,369
2011-10-21$96.47$90.0032.6%9.3%35.6%43.4%27.7%8.7%-0.3%410.4K-7.8M-32.5K0.1970.843262,5272,369
2011-10-24$98.60$90.0029.2%8.4%35.9%35.4%32.4%8.5%1.8%-1.0K855.5K-33.0K1.0072.5837371,3721,408
2011-10-25$97.05$90.0033.0%9.5%36.3%44.4%25.7%10.5%-2.0%-2.9K1.5M-32.1K1.0995.4446501,3581,418
2011-10-26$98.54$90.0026.2%7.5%35.4%28.4%26.4%8.4%3.9%16.0K973.8K-32.8K0.6989.4948331,3881,436
2011-10-27$101.27$100.0026.5%7.6%36.4%29.0%22.8%8.4%-0.3%-18.5K-866.2K-34.7K0.0390.5010231,4161,469
2011-10-28$100.68$100.0025.3%7.2%33.8%26.1%0.0%5.6%0.9%26.5K-615.4K-33.4K0.7186.5331221,4701,461
2011-10-31$99.42$100.0027.3%7.8%32.4%30.9%28.3%5.1%1.0%35.7K279.2K-32.1K2.0089.54781561,5011,463