FDS Options History — December 2011

In December 2011, FDS traded between $86.16 and $95.33. ATM implied volatility averaged 28.3%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 7.5% (HV 20d: 35.8%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.63.

Notable Days

  • 2011-12-13: Highest Volume — 2,312 contracts
  • 2011-12-12: Largest IV spike — 40.1% change
  • 2011-12-12: Highest IV Rank — 65.9%
  • 2011-12-13: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.07$86.16$95.33$92.99$87.28
Max Pain$92.86$90.00$105.00$105.00$90.00
ATM IV28.3%22.1%42.2%26.4%26.7%
Expected Move7.8%6.3%9.3%7.6%7.7%
HV 20d35.8%31.4%39.7%35.2%33.7%
HV 60d35.3%33.8%36.9%34.3%34.8%
IV Rank33.2%18.7%65.9%28.9%29.6%
IV Percentile59.1%31.7%97.6%52.8%52.8%
Term Structure1.3%-1.3%3.5%0.4%1.2%
VWIV29.1%23.1%34.3%29.3%29.9%
Skew 25d6.9%4.7%10.9%7.6%5.4%
Skew 10d14.6%7.0%22.8%7.0%11.0%
Call IV 25d24.4%20.8%28.4%21.2%22.8%
Put IV 25d31.4%26.7%37.2%28.8%28.2%
Bid-Ask Spread %58.1231.96101.83101.8337.57
Gamma HHI0.330.180.450.190.39
Net GEX-84.6K-422.5K308.9K-8.3K-293.9K
Net DEX3.7M341.9K10.3M3.8M2.9M
Net VEX-24.6K-28.2K-19.8K-22.0K-27.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.0747.170.830.27
Total Volume343.905212,31221838
Total OI3,343.4762,0645,3233,0622,868

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$92.99$105.0026.4%7.6%35.2%28.9%29.3%7.6%0.4%-8.3K3.8M-22.0K0.83101.83119991,5011,561
2011-12-02$92.60$100.0027.5%7.9%33.4%31.5%27.3%10.9%-0.8%7.3K3.7M-22.9K0.1177.25274291,5771,580
2011-12-05$95.13$90.0029.2%8.3%35.0%35.4%31.3%5.7%1.2%200.0K1.5M-24.5K2.0770.32691431,8171,598
2011-12-06$94.99$90.0029.4%7.8%35.0%35.9%28.1%6.1%1.1%233.6K473.2K-24.5K0.5665.84124691,8681,513
2011-12-07$93.51$90.0030.3%8.0%35.0%37.9%28.3%6.9%1.5%223.8K1.8M-24.2K1.8446.4844811,9571,536
2011-12-08$93.21$95.0033.0%8.5%31.4%44.2%32.6%6.5%0.3%201.9K2.3M-25.1K0.5361.1453281,9791,614
2011-12-09$95.33$95.0030.1%8.0%32.0%37.6%27.8%7.6%2.1%308.9K341.9K-25.4K3.6080.3625901,9931,630
2011-12-12$94.75$95.0042.2%8.7%31.7%65.9%31.9%8.0%-0.4%227.1K1.1M-24.6K0.5468.021,3077112,0051,697
2011-12-13$88.24$95.0034.7%9.3%39.7%48.3%31.4%8.6%0.4%-422.5K9.6M-21.4K0.8075.811,2811,0313,0982,225
2011-12-14$87.82$95.0025.0%8.4%38.8%25.6%31.9%9.5%2.4%-367.9K9.6M-21.1K0.8363.78107892,2782,190
2011-12-15$87.39$95.0031.4%9.0%37.2%40.5%34.3%7.0%-1.3%-174.1K10.1M-20.3K1.2772.6811142,3312,227
2011-12-16$87.02$95.0030.0%8.6%36.2%37.2%30.6%7.2%2.0%-56.9K10.3M-19.8K4.7937.25633022,3322,233
2011-12-19$86.16$90.0027.7%8.0%36.2%32.0%27.9%5.7%1.9%-59.0K1.8M-22.5K47.1739.80125669251,139
2011-12-20$88.77$90.0024.1%6.9%37.8%23.3%25.0%5.9%2.6%-223.4K2.4M-27.4K0.0731.967659171,656
2011-12-21$86.70$90.0026.3%7.5%38.6%28.6%33.3%9.1%3.5%-259.0K3.3M-27.3K0.1973.2779159491,653
2011-12-22$87.52$90.0023.4%6.7%38.3%21.8%26.9%6.2%1.3%-249.3K2.8M-28.2K0.0046.010211,0181,660
2011-12-23$88.41$90.0022.1%6.3%38.5%18.7%25.7%5.4%3.0%-241.0K2.2M-27.3K2.8435.4825711,0181,670
2011-12-27$88.57$90.0023.0%6.6%37.1%20.8%26.1%5.2%2.3%-248.6K2.0M-27.3K1.6764.0418301,0431,719
2011-12-28$87.23$90.0027.4%7.8%37.1%31.1%23.1%6.5%0.1%-293.7K2.9M-27.2K1.0334.6130311,0451,749
2011-12-29$87.88$90.0023.5%6.8%33.7%22.1%29.9%4.7%2.0%-282.2K2.7M-27.0K1.6337.0416261,0671,777
2011-12-30$87.28$90.0026.7%7.7%33.7%29.6%0.0%5.4%1.2%-293.9K2.9M-27.1K0.2737.573081,0751,793