FDS Options History — January 2012

In January 2012, FDS traded between $86.39 and $92.58. ATM implied volatility averaged 24.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.6% (HV 20d: 24.8%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 9.35.

Notable Days

2012-01-19: Highest Volume — 1,574 contracts
2012-01-04: Largest IV spike — 31.6% change
2012-01-04: Highest IV Rank — 33.0%
2012-01-04: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.23	$86.39	$92.58	$88.08	$88.32
Max Pain	$86.50	$80.00	$90.00	$90.00	$90.00
ATM IV	24.2%	20.1%	28.2%	21.4%	23.9%
Expected Move	7.0%	5.8%	8.1%	6.1%	6.9%
HV 20d	24.8%	19.2%	34.0%	34.0%	22.0%
HV 60d	32.6%	30.4%	34.4%	34.4%	30.4%
IV Rank	23.6%	14.0%	33.0%	17.1%	23.0%
IV Percentile	37.9%	13.1%	60.3%	25.4%	34.9%
Term Structure	2.2%	-1.4%	3.9%	3.3%	3.0%
VWIV	25.2%	20.7%	34.0%	28.9%	34.0%
Skew 25d	6.4%	1.4%	10.3%	9.8%	10.2%
Skew 10d	14.8%	10.9%	18.4%	18.2%	18.4%
Call IV 25d	21.4%	17.8%	24.5%	18.6%	19.3%
Put IV 25d	27.7%	24.5%	30.7%	28.4%	29.4%
Bid-Ask Spread %	67.77	46.20	97.32	72.05	96.00
Gamma HHI	0.46	0.23	0.68	0.38	0.68
Net GEX	-449.3K	-1.1M	93.8K	-271.9K	-1.1M
Net DEX	3.2M	-1.3M	9.6M	1.8M	9.6M
Net VEX	-25.6K	-32.9K	-17.2K	-24.8K	-31.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.35	0.00	59.54	0.57	2.92
Total Volume	188.45	11	1,574	22	98
Total OI	3,192.85	2,757	4,443	2,891	3,848

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$88.08	$90.00	21.4%	6.1%	34.0%	17.1%	28.9%	9.8%	3.3%	-271.9K	1.8M	-24.8K	0.57	72.05	14	8	1,101	1,790
2012-01-04	$87.23	$90.00	28.2%	8.1%	32.2%	33.0%	27.7%	5.1%	0.2%	-325.4K	2.9M	-25.1K	9.24	56.03	55	508	1,095	1,790
2012-01-05	$87.77	$90.00	24.3%	7.0%	32.4%	24.0%	26.3%	4.9%	0.1%	-210.6K	2.1M	-23.9K	1.33	57.01	9	12	1,126	1,631
2012-01-06	$86.79	$80.00	26.3%	7.7%	32.2%	28.7%	0.0%	6.8%	3.8%	-249.1K	2.5M	-22.8K	0.17	49.89	23	4	1,123	1,637
2012-01-09	$86.39	$80.00	27.6%	8.0%	32.2%	31.6%	0.0%	6.5%	1.4%	-287.2K	3.0M	-22.0K	0.27	47.14	15	4	1,144	1,641
2012-01-10	$87.66	$80.00	23.6%	6.7%	31.5%	22.2%	0.0%	6.2%	3.1%	-227.5K	2.0M	-21.4K	3.75	49.77	4	15	1,159	1,645
2012-01-11	$88.32	$80.00	21.7%	6.8%	31.7%	17.7%	0.0%	5.5%	3.5%	-171.2K	1.4M	-21.2K	12.00	56.27	1	12	1,161	1,656
2012-01-12	$88.74	$80.00	23.6%	6.8%	19.2%	22.3%	26.8%	6.2%	2.6%	-128.4K	1.0M	-20.8K	45.00	65.61	1	45	1,162	1,650
2012-01-13	$87.26	$85.00	28.0%	8.0%	20.1%	32.5%	23.2%	6.6%	-0.7%	-255.9K	2.1M	-20.4K	11.00	60.61	12	132	1,161	1,687
2012-01-17	$88.12	$85.00	23.1%	6.6%	20.4%	21.1%	27.8%	6.0%	2.7%	-222.8K	1.6M	-19.5K	0.42	46.20	24	10	1,165	1,734
2012-01-18	$88.74	$85.00	22.4%	6.4%	20.4%	19.3%	24.2%	5.6%	3.2%	52.0K	782.2K	-18.8K	10.00	53.95	1	10	1,171	1,744
2012-01-19	$92.19	$85.00	21.6%	6.2%	23.8%	17.6%	22.6%	1.4%	3.9%	93.8K	-1.3M	-17.2K	59.54	90.98	26	1,548	1,171	1,740
2012-01-20	$92.03	$90.00	25.0%	7.2%	21.7%	25.6%	21.2%	7.0%	1.5%	-688.7K	3.4M	-32.9K	0.00	90.07	33	0	1,178	3,265
2012-01-23	$92.00	$90.00	23.2%	6.7%	19.6%	21.4%	23.0%	5.6%	2.9%	-790.4K	4.0M	-31.2K	1.08	61.62	26	28	875	2,559
2012-01-24	$92.58	$90.00	20.1%	5.8%	19.5%	14.0%	21.3%	6.9%	3.9%	-772.0K	3.3M	-30.7K	0.58	64.51	150	87	899	2,577
2012-01-25	$91.49	$90.00	24.1%	6.9%	19.9%	23.5%	23.7%	5.6%	2.4%	-791.0K	4.3M	-32.0K	16.65	88.89	17	283	954	2,591
2012-01-26	$90.42	$90.00	26.7%	7.6%	20.5%	29.5%	26.5%	10.3%	-1.4%	-754.1K	5.0M	-31.6K	7.21	97.32	38	274	959	2,613
2012-01-27	$91.35	$90.00	23.8%	6.8%	19.8%	22.9%	20.7%	6.2%	2.6%	-927.7K	5.2M	-32.4K	0.77	77.58	26	20	963	2,748
2012-01-30	$89.10	$90.00	24.8%	7.1%	21.9%	25.0%	25.7%	4.9%	2.3%	-984.4K	8.2M	-31.6K	4.60	73.99	35	161	976	2,768
2012-01-31	$88.32	$90.00	23.9%	6.9%	22.0%	23.0%	34.0%	10.2%	3.0%	-1.1M	9.6M	-31.4K	2.92	96.00	25	73	985	2,863