FDS Options History — November 2011

In November 2011, FDS traded between $88.06 and $100.06. ATM implied volatility averaged 32.8%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 3.3% (HV 20d: 36.1%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.13.

Notable Days

  • 2011-11-04: Highest Volume — 288 contracts
  • 2011-11-17: Largest IV spike — 23.6% change
  • 2011-11-01: Highest IV Rank — 58.2%
  • 2011-11-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.39$88.06$100.06$94.84$93.23
Max Pain$104.05$100.00$105.00$100.00$100.00
ATM IV32.8%27.5%38.9%38.9%27.5%
Expected Move9.3%7.9%11.2%11.2%7.9%
HV 20d36.1%32.5%39.3%35.7%36.3%
HV 60d35.5%34.2%39.7%39.7%35.0%
IV Rank43.9%31.3%58.2%58.2%31.3%
IV Percentile81.7%56.7%96.0%96.0%56.7%
Term Structure-0.2%-6.8%3.6%-4.4%2.1%
VWIV33.1%22.6%45.3%35.1%28.1%
Skew 25d8.4%4.0%18.6%11.8%7.8%
Skew 10d18.2%4.0%42.8%7.0%14.4%
Call IV 25d28.8%25.1%31.8%27.4%26.2%
Put IV 25d37.2%33.0%43.7%39.2%33.9%
Bid-Ask Spread %84.0061.36109.8194.8093.62
Gamma HHI0.270.170.440.210.19
Net GEX-251-107.8K154.7K-6.6K-3.2K
Net DEX4.0M-106.7K7.5M3.0M3.8M
Net VEX-28.0K-33.7K-21.4K-32.0K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.0028.672.931.18
Total Volume85.905528810648
Total OI3,303.5242,9903,6873,1223,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$94.84$100.0038.9%11.2%35.7%58.2%35.1%11.8%-4.4%-6.6K3.0M-32.0K2.9394.8027791,5541,568
2011-11-02$96.99$100.0032.7%9.4%36.4%43.7%38.5%6.0%-1.4%-3.5K2.8M-31.6K4.0089.67141,5741,626
2011-11-03$99.74$100.0028.9%8.3%36.5%34.8%0.0%18.6%1.3%30.5K893.7K-32.9K0.00109.812601,5751,628
2011-11-04$98.97$105.0031.3%8.6%35.2%40.3%29.9%7.6%0.3%15.6K970.0K-33.7K0.3578.73213751,5651,628
2011-11-07$99.08$105.0032.2%8.8%32.6%42.4%30.3%7.5%1.1%60.8K869.6K-33.7K1.6877.96631061,6571,673
2011-11-08$100.06$105.0032.9%8.4%32.5%44.0%28.5%7.4%1.5%93.6K-106.7K-33.7K0.1761.364171,7161,691
2011-11-09$95.63$105.0038.9%10.6%36.7%58.2%39.5%9.5%-4.1%47.7K2.7M-31.7K0.3384.41931,7381,698
2011-11-10$96.98$105.0032.2%9.2%36.6%42.4%30.9%7.6%-0.1%55.2K2.6M-31.3K0.4481.0734151,7441,700
2011-11-11$98.25$105.0028.2%8.1%36.9%33.0%26.5%7.2%1.7%121.6K1.5M-31.6K0.6987.5635241,7551,701
2011-11-14$96.29$105.0033.8%9.7%36.7%46.2%33.5%8.4%-0.9%78.1K2.9M-29.1K5.8981.339531,7751,724
2011-11-15$98.06$105.0030.9%8.9%36.7%39.5%30.4%4.0%0.2%154.7K2.3M-31.4K1.4181.5939551,7761,777
2011-11-16$94.66$105.0031.1%8.9%38.1%40.0%30.5%8.8%3.6%-105.6K4.3M-28.4K8.0085.537561,8031,754
2011-11-17$92.10$105.0038.5%11.0%39.3%57.3%33.9%8.2%-6.8%-104.5K6.4M-26.3K0.7885.401561221,8001,775
2011-11-18$91.17$105.0035.2%10.1%37.6%49.5%41.1%8.6%-0.7%-107.8K7.2M-25.5K28.6780.493861,8371,850
2011-11-21$90.05$105.0034.4%9.9%36.6%47.7%30.4%6.7%1.8%-52.5K6.5M-23.0K1.3680.9850681,3991,591
2011-11-22$89.68$105.0033.1%9.5%36.3%44.6%41.0%7.5%-0.6%-55.2K6.8M-23.2K1.0087.0411111,4321,635
2011-11-23$88.06$105.0032.0%9.2%35.9%41.9%35.8%9.2%0.2%-65.3K7.4M-21.4K0.8180.3197791,4431,636
2011-11-25$88.27$105.0033.5%9.6%33.9%45.6%22.6%8.2%-0.7%-61.3K7.5M-21.5K5.0084.232101,4911,671
2011-11-28$90.75$105.0033.8%9.7%36.1%46.3%45.3%7.0%0.2%-47.3K6.4M-22.4K0.2994.462471,4911,681
2011-11-29$89.42$105.0028.6%8.2%36.1%34.0%29.7%7.8%0.7%-50.3K6.5M-21.6K0.6963.6129201,5111,680
2011-11-30$93.23$100.0027.5%7.9%36.3%31.3%28.1%7.8%2.1%-3.2K3.8M-22.7K1.1893.6222261,5081,543